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Please use this identifier to cite or link to this item: http://hdl.handle.net/2031/3960

Title: Testing for covariance stationarity of stock market returns : an intervention analysis
Other Titles: Gu piao shi chang hui bao lu de xie fang cha ping wen xing jian yan : gan rao fen xi fa
股票市場回報率的協方差平穩性檢驗 : 干擾分析法
Authors: Ho, Ada Ka Fung (何嘉鳳)
Department: Dept. of Management Sciences
Degree: Master of Philosophy
Issue Date: 2001
Publisher: Dept. of Management Sciences, City University of Hong Kong
Subjects: Rate of return -- Mathematical models
Stocks -- Prices -- Mathematical models
Notes: CityU Call Number: HG4636.H6 2001
Includes bibliographical references (leaves 56-62)
Thesis (M.Phil.)--City University of Hong Kong, 2001
vii, 62 leaves : ill. ; 30 cm.
Type: Thesis
Abstract: This thesis adopts the Omran and McKenzie (1999) testing procedure to test for covariance stationarity in the stock's index return series for stock markets in Hong Kong, Singapore, Australia and the United States. The objective of the test is to investigate the role of the structural break on covariance stationarity. The procedure comprises both the Loretan and Phillips (1994) test and intervention analysis. The results suggest that Hang Seng Index (Hong Kong) returns and Strait Time Index (Singapore) returns are covariance stationary if they properly filtered out the unusual periods. Moreover, the effects of structural break are found to be not significant in the return series of the All Ordinance Index (Australia) and the Dow Jones Industrial Average Index (the United States). They can be assumed as covariance stationarity and covariance non-stationarity, respectively.
Online Catalog Link: http://lib.cityu.edu.hk/record=b1696705
Appears in Collections:MS - Master of Philosophy

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