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J. Risk Financial Manag. 2018, 11(4), 76;

Stock Market Volatility and Trading Volume: A Special Case in Hong Kong With Stock Connect Turnover

CASH Algo Finance Group Limited, Hong Kong, China
Author to whom correspondence should be addressed.
Received: 5 September 2018 / Revised: 18 October 2018 / Accepted: 25 October 2018 / Published: 31 October 2018
(This article belongs to the Special Issue Stock Market Volatility Modelling and Forecasting)
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The cross-boundary Shanghai-Hong Kong and Shenzhen-Hong Kong Stock Connect provides a special data set to study the dynamic relationships among volatility, trading volume and turnover among three stock markets, namely Shanghai, Shenzhen, and Hong Kong. We employ the Granger Causality test with the vector autoregressive model (VAR) to examine whether Stock Connect turnover contributes to future realized volatility and market volume of these three markets. Our results support the evidence of causality from Stock Connect turnover to market volatility and trading volume. The finding of this causality is consistent with the implication of the sequential information arrival model in the literature. View Full-Text
Keywords: Volatility-Volume; realized volatility; Stock Connect Volatility-Volume; realized volatility; Stock Connect
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Chan, B.S.F.; Cheng, A.C.H.; Ma, A.K.C. Stock Market Volatility and Trading Volume: A Special Case in Hong Kong With Stock Connect Turnover. J. Risk Financial Manag. 2018, 11, 76.

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