| Nonlinear Relationship between HSI and HIBOR in Hong Kong |
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| 引用本文： | Qingmin Hao. Nonlinear Relationship between HSI and HIBOR in Hong Kong[J]. 美中经济评论(英文版), 2005, 4(2): 65-68 |
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| 作者姓名： | Qingmin Hao |
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| 作者单位： | Ph.D. of Management, Tianjin University; Main research field： Corporate Finance |
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| 基金项目： | This paper is supported by the Fund for Young Faculty of Tianjin University. |
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| 摘 要： | This paper aims at exploring the relationship between Hang Seng Stock Index （HIS） and the Interbank Offered Interest Rate （HIBOR） in Hong Kong. The STR-FIGARCH Model is used to examine the nonlinear and inverse relationship between the two high frequency series.
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Nonlinear Relationship between HSI and HIBOR in Hong Kong |
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| Abstract: | |
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| Keywords: | stock index interest rate STR-FIGARCH models nonlinearity |
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