Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Richard C.K. Burdekin

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In 2019-2020, Hong Kong experienced a period of social and political upheaval. For the first time in a decade, Hong Kong fell into recession and its market composite index, the Hang Seng index, fell 2.6% in early November 2019. This paper examines the 2019-2020 Hong Kong Anti-Extradition protests’ effects on stock market returns, volatility persistence, and individual market sector and foreign market returns in Asia. We employ ARIMA time series regressions and GARCH (1,1) volatility models upon daily stock market return data. Our findings indicate that the protests had a significantly negative impact on stock market performance in 2020, but had an inconclusive effect in 2019. Upon closer examination, specific types of protest activity seem to elicit a reaction in daily stock price returns - government announcements and civilian defacing of property seem to evince significant negative effects upon the Hang Seng stock returns. The protest events seem to have little explanatory power in relation to either foreign market stock return performance or individual Hang Seng sectors examined during the sample period. On a whole, however, the volatility persistence levels in the individual industry sectors seem prolonged compared to those of the overall composite Hang Seng index.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.