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What makes the stock market jump? An analysis of political risk on Hong Kong stock returns
Authors:Harold Y Kim  Jianping P Mei  
Abstract:This paper employs a components-jump volatility filter to investigate the possible market impact of political risk. The filter operates by identifying jump return dates, which are then associated with political events, allowing us to measure the market return and volatility effects of political announcements. Our empirical results show that political developments in Hong Kong have a significant impact on its market volatility and return. The results have some interesting implications for option pricing and political risk management.
Keywords:GARCH-jump process
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