EGARCH 模型探討 2019 年 2022 年期間香港政府防疫政策與相關措施包括藥物和非藥物防疫政策對香港 HSI 、 HSTECH 、HSNP 、 HSNU 、 HSNC 、 HSSI 等各個指數的報酬與報酬波動造成
之影響。實證結果顯示學校暫停面授課程只有對於 HSTECH 的報酬率有顯著正影響；強制強制入境隔離及檢疫對於 HSTECH 、HSNC 和疫情第一波 HSSI 的報酬率有顯著 負影響，而報酬波動率
顯著增加；公務員在家工作在疫情第一波對於 HSI 、 HSTECH 、HSNP 和 HSSI 的報酬率有顯著正影響，而只有對於 HSTECH 、HSNC 和 HSSI 的報酬波動率有顯著負影響。
This article uses the EGARCH model to explore the impact of the Hong Kong government's epidemic prevention polic ies and related measures, including drug and non drug epidemic prevention policies, on the returns and return volatilities of HSI, HSTECH, HSNP, HSNU, HSNC, HSSI and other indexes during the period from 2019 to 2022. Empirical results show that schools sus pend face to face classes only for HSTECH has a significantly positive effect on the rate of return. Compulsory quarantine and isolation order requi rement on arrival at Hong Kong have a significantly negative impact on the rate of return on HSTECH 、 HSNC and the first wave HSSI of the epidemic and the return volatility increased significantly. In the first wave of the epidemic, there was a significantly positive impact on the return on HSI, HSTECH, HSNP, HSSI and while only for HSTECH, HSNC, HSSI has a significantly negative effect on the return volatility.
