TY - JOUR
T1 - Overreaction in the Hong Kong stock market
AU - Fung, Alexander Kwok Wah
N1 - Funding Information:
The author would like to thank Hung-Wan Kot, for his excellent research assistance in data gathering, computation, and graphing, and the Hong Kong Baptist University, for its financial support. The comments from the editor, the reviewer, and Professor Kin Lam are greatly appreciated.
PY - 1999
Y1 - 1999
N2 - Overreaction reported in the equity markets of the United States, Spain, and Brazil is also observed in the Hong Kong stock market. The "loser" portfolios of the 33 stocks in the Hang Seng Index (HSI), on average, outperform the "winner" portfolios by 9.9% 1 year after the formation periods. Besides its emphasis on the importance of the Hong Kong market in international investment, this paper is unique in some special features related to the overreaction study. Hong Kong has markets for index futures and stock futures. Only three stocks are used in the portfolios. All the stocks in the HSI have large market capitalization and liquidity and can be shorted with no up-tick rule. Unlike other studies in international stock markets, the "arbitrage" portfolio of buying the loser portfolio and shorting the winner portfolio can actually be formed with minimum cost and easy execution, which makes the overreaction phenomena in this study very powerful.
AB - Overreaction reported in the equity markets of the United States, Spain, and Brazil is also observed in the Hong Kong stock market. The "loser" portfolios of the 33 stocks in the Hang Seng Index (HSI), on average, outperform the "winner" portfolios by 9.9% 1 year after the formation periods. Besides its emphasis on the importance of the Hong Kong market in international investment, this paper is unique in some special features related to the overreaction study. Hong Kong has markets for index futures and stock futures. Only three stocks are used in the portfolios. All the stocks in the HSI have large market capitalization and liquidity and can be shorted with no up-tick rule. Unlike other studies in international stock markets, the "arbitrage" portfolio of buying the loser portfolio and shorting the winner portfolio can actually be formed with minimum cost and easy execution, which makes the overreaction phenomena in this study very powerful.
KW - G14
KW - G15
KW - Hong Kong stock market
KW - Market efficiency
KW - Overreaction
UR - http://www.scopus.com/inward/record.url?scp=0033195866&partnerID=8YFLogxK
U2 - 10.1016/s1044-0283(99)00016-2
DO - 10.1016/s1044-0283(99)00016-2
M3 - Journal article
AN - SCOPUS:0033195866
SN - 1044-0283
VL - 10
SP - 223
EP - 230
JO - Global Finance Journal
JF - Global Finance Journal
IS - 2
ER -