Tang Kwong-leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 83-84). / Abstracts in English and Chinese. / Abstract --- p.ii / 摘要 --- p.iii / Acknowledgment --- p.iv / Table of Contents --- p.v / Chapter Chapter 1 --- Introduction / Chapter 1.1 --- Modern View of Arbitrage --- p.1 / Chapter 1.2 --- Arbitrage Opportunity in China Stock Market --- p.4 / Chapter Chapter 2 --- The China Stock Market / Chapter 2.1 --- Stock Trading --- p.7 / Chapter 2.2 --- Segmentation of the Market --- p.8 / Chapter 2.3 --- Listed Companies --- p.10 / Chapter 2.4 --- Literature Review --- p.11 / Chapter 2.5 --- Liberalization of B Shares --- p.14 / Chapter 2.6 --- Operational Difference between A-Share and B-Share Trading --- p.16 / Chapter Chapter 3 --- The Data / Chapter 3.1 --- A Shares versus B Shares --- p.18 / Chapter 3.2 --- Definition of Discount --- p.19 / Chapter 3.3 --- A Shares versus H Shares --- p.23 / Chapter Chapter 4 --- Test for The Existence of Structural Break / Chapter 4.1 --- The Methodology --- p.26 / Chapter 4.2 --- The Empirical Findings --- p.28 / Chapter Chapter 5 --- Explanations for Limited Arbitrage / Chapter 5.1 --- Absence of Free Convertibility of Renminbi --- p.29 / Chapter 5.1.1 --- China's Foreign Exchange Control and Regulation --- p.30 / Chapter 5.1.2 --- Current Account versus Capital Account --- p.31 / Chapter 5.1.3 --- Impact of Foreign Exchange Control on Price Discount --- p.32 / Chapter 5.1.4 --- Free Convertibility of Foreign Exchange in Hong Kong --- p.33 / Chapter 5.1.4.1 --- The Data --- p.34 / Chapter 5.1.4.2 --- Definition of Discount --- p.34 / Chapter 5.1.4.3 --- Basis Idea --- p.35 / Chapter 5.1.4.4 --- The Empirical Findings --- p.37 / Chapter 5.2 --- Investment Returns of A Shares and B Shares --- p.37 / Chapter 5.2.1 --- The Data --- p.38 / Chapter 5.2.2 --- Foreign Exchange Factor --- p.42 / Chapter 5.2.3 --- Basic Idea --- p.43 / Chapter 5.2.4 --- Different Sets of Returns --- p.44 / Chapter 5.2.5 --- The Empirical Findings --- p.47 / Chapter 5.2.6 --- Irrelevant Difference in Liquidity between A Shares and B Shares --- p.51 / Chapter Chapter 6 --- Conclusion --- p.52 / Tables / Table 1 Share Structure of PRC Issuers --- p.54 / Table 2 Descriptive Statistics of Different Types of PRC Issuers --- p.55 / Table 3 Trading Summary of PRC Issuers --- p.56 / Table 4 Lists of Companies

by Lee Yui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 70-72). / ACKNOWLEDGMENT --- p.i / ABSTRACT --- p.ii / LIST OF TABLES --- p.iii / LIST OF FIGURES --- p.iv / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter CHAPTER 2: --- BACKGROUND INFORMATION --- p.7 / Chapter 2.1 --- Stock Trading in Hong Kong --- p.7 / Chapter 2.1.1 --- History and Recent Trend --- p.8 / Chapter 2.1.2 --- Trading Mechanism of the Stock Exchange of Hong Kong --- p.11 / Chapter 2.1.3 --- Short Sale Restrictions --- p.12 / Chapter 2.1.4 --- Hang Seng Index --- p.14 / Chapter 2.2 --- Hang Seng Index Futures --- p.17 / Chapter 2.2.1 --- History and Recent Trend --- p.18 / Chapter 2.2.2 --- Trading and Settling Methods --- p.22 / Chapter CHAPTER 3: --- LITERATURE REVIEW --- p.24 / Chapter 3.1 --- Studies of Futures Market Efficiency based on Daily Data --- p.24 / Chapter 3.2 --- Studies of Futures Market Efficiency based on Intraday Data --- p.28 / Chapter CHAPTER 4: --- METHODOLOGY --- p.34 / Chapter 4.1 --- Index Futures Efficiency and Arbitrage Profitability --- p.34 / Chapter 4.2 --- Structure of Efficiency Tests --- p.36 / Chapter 4.2.1 --- Test based on Minute by Minute Reported Index --- p.36 / Chapter 4.2.2 --- Ex Post Test based on Transaction Prices of the Constitutent Stocks --- p.37 / Chapter 4.2.3 --- Ex Ante Test --- p.38 / Chapter 4.3 --- An Example for Illustration --- p.39 / Chapter 4.3.1 --- Results of the Efficiency Test based on Reported Index Quotations --- p.40 / Chapter 4.3.2 --- Results of the Ex Post Test based on Transaction Prices --- p.41 / Chapter 4.3.3 --- Results of Ex Ante Test --- p.42 / Chapter 4.4 --- Transaction Costs --- p.43 / Chapter CHAPTER 5: --- DATA AND PRELIMINARY STATISTICS --- p.46 / Chapter 5.1 --- Data from the Stock Market --- p.46 / Chapter 5.2 --- Data from the Futures Market and Money Market --- p.48 / Chapter CHAPTER 6: --- EMPIRICAL RESULTS --- p.49 / Chapter 6.1 --- Frequency of Ex Post Mispricings of Futures Prices --- p.49 / Chapter 6.2 --- Profitability of Hang Seng Index Arbitrage --- p.52 / Chapter 6.2.1 --- Results of Ex Ante Test with an Execution Lag of 30 Seconds --- p.52 / Chapter 6.2.2 --- Results of Ex Ante Test with an Execution Lag longer than 30 Seconds --- p.54 / Chapter 6.3 --- Comparison of Long Arbitrage Profitability and Short Arbitrage Profitability --- p.57 / Chapter 6.3.1 --- Comparison of Ex Post Violations between Long Arbitrage and Short Arbitrage --- p.58 / Chapter 6.3.2 --- Comparison of Ex Ante Profitability between Long Arbitrage and Short Arbitrage --- p.59 / Chapter CHAPTER 7: --- CONCLUSIONS --- p.65 / BIBLIOGRAPHY --- p.70