SEASONAL EFFECTS AND ARCH IN THE HONG KONG FUTURES MARKETS

Abstract

This paper attempts to examine a number of issues regarding the returns on the Hang Seng Index Futures traded in Hong Kong. The daily returns are separated into close‐to‐close, close‐to‐open, and open‐to‐close periods and the three returns examined for autocorrelation, GARCH and seasonal effects. The study reveals that the CLCL returns are autocorrelated and that most of the returns exhibit GARCH effects. With regard to seasonal effects the results are mixed.

Citation

RAJ, M. (2003), "SEASONAL EFFECTS AND ARCH IN THE HONG KONG FUTURES MARKETS", Studies in Economics and Finance, Vol. 21 No. 2, pp. 84-97. https://doi.org/10.1108/eb028776