The Hong Kong Monetary Authority (HKMA) warned on Thursday that the decision by the U.S. Federal Reserve to start unwinding its massive balance sheet may have an effect on international financial markets, including capital flows and asset prices.

The Fed announced Wednesday that it would start unwinding its 4.5-trillion-U.S.-dollar balance sheet from October, a further step to end the loose monetary policy.

Eddie Yue, HKMA's acting chief executive, said the impact of the move is still very uncertain.

"Market liquidity should tighten gradually and that might effect global capital flows. Asset prices may also become more volatile," Yue said.

The Fed undertook three rounds of Quantitative Easing, or bond-buying between 2008 and 2014 to stimulate economic growth after the 2007-2009 financial crisis and recession.