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Research Letter

Investigating the feasibility of the double-play strategy: evidence from Hong Kong’s speculative attacks

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References

  • Auten, J. H. 1963. “Forward Exchange and Interest Differentials.” Journal of Finance 18 (1): 11–28. https://doi.org/10.2307/2977372.
  • Chakravorti, S., and S. Lall. 2000. The Double-Play: Simultaneous Speculative Attacks on Currency and Equity Markets. FRBC Working Paper no. 2000-17. Chicago: Federal Reserve Bank of Chicago.
  • Engle, R. F. 2002. “Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models.” Journal of Business and Economics Statistics 20 (3): 339–350. https://doi.org/10.1198/073500102288618487.
  • Norman, C., 2019. “Asian Financial Crisis: The Battle to Defend Hong Kong’s Financial Stability.” https://www.hkma.gov.hk/eng/news-and-media/insight/2019/09/20190911/#.
  • Vargas, G. A., 2008. “What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?” MPRA Paper 7174. Germany: University Library of Munich.
  • Wong, D. K. T., and A. Wong. 2021. “Do the Uncertainty-Induced Capital Outflows Matter in Currency Crisis? Evidence from the Hong Kong Speculative Attacks.” Finance Research Letters 39:101643. https://doi.org/10.1016/j.frl.2020.101643.

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