Central Banking

Return and volatility spillovers In Hong Kong

Laurence Fung and Ip-wing Yu discuss the return and volatility spillovers between the stock market, the Exchange Fund Notes market and the Hong Kong dollar forward exchange market.

Their key finding include:

"The estimation results suggest that while the pattern of return spillover is not clear, there is some evidence of volatility transmissions between selected financial markets inHong Kong. In terms of the economic impact, however, most of these spillovers are minimal.

When financial markets

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