A Study of Hong Kong Stock Market Anomalies: Characteristics, Causes, and Strategic Applications

Yifei Yang

doi:10.54254/2754-1169/2025.BL27033

Advances in Economics, Management and Political SciencesOpen access

A Study of Hong Kong Stock Market Anomalies: Characteristics, Causes, and Strategic Applications

Research Article

Open Access

A Study of Hong Kong Stock Market Anomalies: Characteristics, Causes, and Strategic Applications

Yifei Yang ^1*

¹ Nanjing University of Finance & Economics

^*Corresponding author: 2713262852@qq.com

Published on 24 September 2025

AEMPS Vol.220

ISSN (Print): 2754-1177

ISSN (Online): 2754-1169

ISBN (Print): 978-1-80590-389-5

ISBN (Online): 978-1-80590-390-1

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Abstract

As a major global offshore financial hub, the Hong Kong stock market exhibits volatility anomalies that are significantly different from mature markets due to its dual pricing mechanism and the interweaving of international capital flows. This divergence is no accident; its core root lies first in the "dual pricing mechanism" unique to the Hong Kong stock market. Under this mechanism, locally listed securities denominated in Hong Kong dollars and cross-border trading securities affected by fluctuations in foreign exchange rates have formed parallel yet interacting pricing logics. This paper aims to examine the volatility anomalies exhibited by the Hong Kong stock market in recent years, analyze the underlying drivers, and explore their impact on market participants. Through an in-depth analysis of the Hang Seng Index, trading volume, investor behavior, global economic conditions, monetary policies, mainland economic policies, and industry characteristics, this paper reveals the multiple causes of volatility in the Hong Kong stock market and puts forward targeted investment strategies and recommendations.

Keywords:

Hong Kong stock market, anomalies, quantitative finance, overreaction

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References

[1]. Kai-Yin Woo, Chulin Mai, Michael McAleer and Wing-Keung Wong.(2020) Review on efficiency and anomalies in stock market pp.8-14.

[2]. Oriental Daily News.(2020) Market deconstruction: Participant structure determines market characteristics https: //hk.finance.yahoo.com/news/%E5%B8%82%E5%A0%B4%E8%A7%A3%E6%A7%8B-%E5%8F%83%E8%88%87%E8%80%85%E7%B5%90%E6%A7%8B%E6%B1%BA%E5%AE%9A%E5%B8%82%E6%B3%81%E7%89%B9%E8%B3%AA-214500774.html

[3]. HYW.(2021) US stocks, A shares, Hong Kong stocks, who is influencing whom? https: //zhuanlan.zhihu.com/p/337248764

[4]. HKcoding. (2025). Hong Kong Hang Seng Index (HSI) price-to-earnings (PE) ratio. HKcoding. https: //hkcoding.com/hsi-pe-ratio

[5]. Zhang, R. (2019). Why Hong Kong mitigated the worst impact of the 1997 Asian financial crisis?. Scientific Research Publishing, Inc. USA.

References

[1]. Kai-Yin Woo, Chulin Mai, Michael McAleer and Wing-Keung Wong.(2020) Review on efficiency and anomalies in stock market pp.8-14.

[3]. HYW.(2021) US stocks, A shares, Hong Kong stocks, who is influencing whom? https: //zhuanlan.zhihu.com/p/337248764

[4]. HKcoding. (2025). Hong Kong Hang Seng Index (HSI) price-to-earnings (PE) ratio. HKcoding. https: //hkcoding.com/hsi-pe-ratio

[5]. Zhang, R. (2019). Why Hong Kong mitigated the worst impact of the 1997 Asian financial crisis?. Scientific Research Publishing, Inc. USA.

Cite this article

Yang,Y. (2025). A Study of Hong Kong Stock Market Anomalies: Characteristics, Causes, and Strategic Applications. Advances in Economics, Management and Political Sciences,220,39-44.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

About volume

Volume title: Proceedings of ICFTBA 2025 Symposium: Data-Driven Decision Making in Business and Economics

ISBN: 978-1-80590-389-5(Print) / 978-1-80590-390-1(Online)

Editor: Lukášak Varti

Conference website: https://2025.icftba.org/Bratislava.html

Conference date: 12 December 2025

Series: Advances in Economics, Management and Political Sciences

Volume number: Vol.220

ISSN: 2754-1169(Print) / 2754-1177(Online)

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