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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

An ex-post analysis of trading strategies in Hang Seng Index options.

January 1994 (has links)
by Ng Kit Yin Kitty, Yu Koon Ying Harry. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 72-75). / ACKNOWLEDGEMENTS --- p.i / ABSTRACT --- p.ii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / The Black-Scholes Model --- p.3 / Option Pricing --- p.4 / Price of the underlying asset --- p.4 / Volatility of the underlying asset --- p.5 / Time to expiration --- p.5 / The risk-free interest rate --- p.5 / Users of Options --- p.6 / Chapter III. --- HANG SENG INDEX OPTIONS --- p.8 / The Hang Seng Index (HSI) --- p.8 / Mechanics of Trading in HSI Options --- p.9 / Features of HSI Options --- p.10 / European Style --- p.11 / Cash Settlement on Exercise --- p.12 / Risk of Trading Options --- p.13 / Similarities and Differences Between HSI Options on the Futures Contracts and HSI Futures --- p.13 / Chapter IV. --- OPTIONS TRADING STRATEGIES --- p.15 / Rising Market Strategies --- p.15 / Declining Market Strategies --- p.17 / Volatile and Stable Market Strategies --- p.18 / Butterfly Spread --- p.20 / Calendar Spread --- p.20 / Chapter V. --- EX-POST STUDIES OF OPTION TRADING STRATEGIES --- p.23 / Methodology --- p.24 / Data Requirement --- p.25 / Assumptions --- p.25 / Empirical Results --- p.26 / Analysis of the First Scenario - Bullish Anticipation on the HSI Market --- p.32 / Ranking of Profits --- p.32 / Mechanics of the Bull Spread --- p.32 / Mechanics of the Calendar Call Spread --- p.32 / Analysis of the Second Scenario - Bearish Anticipation on the HSI Market --- p.39 / Ranking of Profits --- p.39 / Mechanics of the Calendar Put Spread --- p.40 / Analysis of the Third Scenario - Volatile Aniticipation on the HSI Market --- p.43 / Analysis of the Fourth Scenario - Stable Anticipation on the HSI Market --- p.47 / Summary of Our Analysis --- p.47 / Limitations --- p.48 / Recommendations --- p.49 / Chapter VI. --- REVIEW ON HANG SENG INDEX OPTIONS: THE 1993 EXPERIENCE --- p.50 / Relationship Between HSI Futures and HSI Options --- p.50 / Trading Volume --- p.51 / Open Positions --- p.51 / Volatility --- p.52 / Chapter VII. --- PROSPECTS FOR OPTIONS IN HONG KONG --- p.54 / Chapter VIII. --- CONCLUSION --- p.56 / APPENDIX --- p.57 / REFERENCES --- p.72
22

Export factoring in international trade finance and its applicability to Hong Kong exporters.

January 1987 (has links)
by Choi Ying-Fai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 123-124.
23

A study of the currency options market in Hong Kong.

January 1988 (has links)
by Kwong Man-him, Francis, Lee Shuk-yee, Katie. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 98-100.
24

An empirical study of intraday and day-of-the-week patterns in Hang Seng index options.

January 1995 (has links)
Chan Shuet Ying, Chan Yiu Wing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 122-124). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / LIST OF EXHIBITS --- p.vi / ACKNOWLEDGMENTS --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objective --- p.3 / Scope --- p.3 / Organization of Paper --- p.4 / Chapter II. --- THE HANG SENG INDEX OPTIONS --- p.5 / Description..................: --- p.5 / Mechanics of Hang Seng Index Option Trading --- p.13 / Market Reviews of HSI Options --- p.15 / Chapter III. --- LITERATURE REVIEW --- p.18 / Seasonal Patterns of Stock Returns --- p.18 / Month-of-the-Year Effect --- p.18 / Week-of-the-Month Effect --- p.18 / Day-of-the-Week Effect --- p.19 / Hour-of-the-Week Effect --- p.19 / Seasonality in Options Returns --- p.20 / Model of Strategic Trading --- p.21 / Seasonality in Hong Kong Stock Market --- p.24 / Chapter IV. --- EMPIRICAL STUDY OF INTRADAY PATTERN OF HSI OPTIONS --- p.26 / Data and Methodology --- p.26 / Obtaining data for the price of the underlying assets --- p.26 / Obtaining data for the price of the option contracts --- p.27 / Calculating means and standard deviations of returns --- p.31 / Chapter V. --- RESULTS AND DISCUSSION --- p.32 / Futures percentage returns per minute --- p.37 / Call options percentage returns per minute --- p.38 / Put options percentage returns per minute --- p.39 / Testing the relationship between index options and index future --- p.40 / Chapter VI. --- IMPLICATION OF FINDINGS AND CONCLUSIONS --- p.45 / Implication of Findings --- p.45 / Conclusions --- p.49 / APPENDIX --- p.50 / BIBLIOGRAPHY --- p.122
25

An empirical analysis of the performance of HSI options trading.

January 1995 (has links)
by Fung Lai-sang & Kwan Tat-shing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 60-64). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- HANG SENG INDEX OPTIONS --- p.3 / Hong Kong Futures Exchange Limited --- p.3 / Hang Seng Index --- p.4 / Basic Characteristics of HSI Options --- p.5 / Chapter III. --- LITERATURE REVIEW --- p.8 / (A) Put-Call Parity --- p.8 / Put-Call Parity on Other Security --- p.10 / Empirical Studies --- p.11 / Put-Call-Futures Parity --- p.12 / (B) Applicability of Black-Scholes Model --- p.14 / Possible Biases in Black-Scholes Model --- p.16 / (C) Hedging Effectiveness of Derivative Instruments --- p.18 / Empirical Evidence --- p.20 / Chapter IV. --- "EMPIRICAL METHODOLOGY, DATA EMPLOYED AND EMPIRICAL FINDINGS" --- p.22 / Chapter (A) --- Methodology and Data Employed in Investigation of Put-Call Parity for HSI Options --- p.22 / Empirical Findings for Put-Call Pariry for HSI Options --- p.26 / Chapter (B) --- Methodology anf Data Employed in Investigation of Applicability of Black-Scholes Model - An Implied Volatility Approach --- p.30 / Empirical Findings for Applicability of Black Scholes Model --- p.35 / Chapter (C) --- Methodology anf Data Employed in Investigation of the Hedging Effectiveness of Different Derivative Instrument / Methodology --- p.40 / Empirical Findings for Hedging Effectiveness of Different Derivative Instruments --- p.45 / Chapter V. --- "CONCLUSIONS, RECENT DEVELOPMENTS AND TRENDS OF HSI OPTIONS" --- p.48 / Conclusions --- p.48 / International Status --- p.49 / Work to Be Done --- p.50 / APPENDICES --- p.51 / BIBLIOGRAPHY --- p.60
26

Hang Seng Index options: a new investment tool in Hong Kong.

January 1993 (has links)
by Adelaide Pang Lan-Fong & Danny Poon Yiu-tak. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 83-88). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / LIST OF EXHIBITS --- p.vii / ACKNOWLEDGEMENTS --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / The Black-Scholes Model --- p.3 / The Test of the Applicability of the Black-Scholes Model --- p.4 / Test of predictability of Black-Scholes Model --- p.5 / Implied Volatility Estimation --- p.5 / Chapter III. --- OPTIONS DEFINED --- p.7 / What are Options ? --- p.7 / Options Pricing --- p.10 / Intrinsic (Theoretical) Value --- p.10 / Time Value --- p.11 / Price Volatility --- p.12 / Interest Rates --- p.12 / Dividends --- p.12 / Chapter IV. --- HANG SENG INDEX OPTIONS --- p.13 / The Hang Seng Index --- p.13 / Specifications for HSI Options --- p.15 / The Trading Procedures of HSI Options --- p.19 / Advantages of Traded Index Options --- p.21 / Risks involved in Options Trading --- p.23 / Risks of Buying Options --- p.23 / Risk of Writing Options --- p.24 / Chapter V. --- BASIC STRATEGIES OF OPTIONS TRADING --- p.25 / Buy Call --- p.26 / Buy Put --- p.26 / Call Writing --- p.26 / Naked Call Writing --- p.26 / Covered Call Writing --- p.26 / Ratio Covered Call Writing --- p.27 / Put Writing --- p.27 / Naked Put Writing --- p.27 / Covered Put Writing --- p.27 / Ratio Covered Put Writing --- p.28 / Spreads --- p.28 / Bull Spreads --- p.28 / Bear Spreads --- p.28 / Butterfly Spreads --- p.29 / Calendar Spreads --- p.29 / Ratio Spreads --- p.30 / Ratio Calendar Spreads --- p.30 / Straddles --- p.30 / Straddle Purchase / Bottom Straddle --- p.31 / Straddle Write / Top Straddle --- p.31 / Strips --- p.31 / Straps --- p.31 / Strangles --- p.31 / Long Strangle / Bottom Vertical Combination --- p.31 / Short Strangle / Top Vertical Combination --- p.32 / Chapter VI. --- PRICING MODEL --- p.33 / The Biack-Scholes Option Pricing Model --- p.33 / Modifications to Original Black-Scholes Pricing Model --- p.33 / Empirical Analysis and Data Collection --- p.34 / Tests used to determine the performance of Black-Scholes Model --- p.38 / Chapter VII. --- EMPIRICAL RESULTS --- p.39 / Chapter VIII. --- CONCLUSIONS --- p.45 / APPENDICES --- p.48 / BIBLIOGRAPHY --- p.83
27

Hong Kong futures exchange & the development of optics on the Hang Seng index.

January 1992 (has links)
Lui Ho-Chung, Oliver. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 63-64). / Table of Contents --- p.i / Abstract --- p.iii / List of Tables --- p.v / List of Appendices --- p.vi / Acknowledgments --- p.vii / Chapter / Chapter I --- Methodology --- p.1 / Chapter II --- Issues about the HSIF market --- p.2 / The establishment of the Hong Kong Futures Exchange --- p.2 / The Hang Seng Index --- p.3 / The Hang Seng Index Futures Contracts --- p.4 / Features of futures trading --- p.8 / The 1987 crash and the HKFE --- p.10 / Reforms --- p.12 / The evaluation after the reforms --- p.16 / Existing practices of the HSIF brokerage firms --- p.18 / Issues concerning the HSIF investors --- p.20 / Stimulating the HSIF market --- p.21 / Chapter III --- Issues about options --- p.23 / "Current News (updated to April 20, 1992)" --- p.23 / Options --- p.23 / Determination of option premiums --- p.26 / Options on the Hang Seng Index --- p.28 / Features of options in other markets --- p.30 / Margin requirement --- p.34 / Options on index vs. Options on index futures --- p.36 / Options on index vs. Index futures --- p.37 / Chapter IV --- Issues of option development --- p.39 / Lessons learned from the HSIF market --- p.39 / The trend--derivative products --- p.42 / Factors that make options on the HSI successful --- p.43 / Chapter V --- Conclusion --- p.46 / Appendices --- p.48 / References --- p.63
28

從基督敎神學觀點看香港敎會的財經方針. / Cong Jidu jiao shen xue guan dian kan Xianggang jiao hui de cai jing fang zhen.

January 1995 (has links)
馮穎賢. / 論文(碩士) -- 香港中文大學硏究院宗敎及神學學部,1995. / 參考文獻: leaves 40-47. / Feng Yingxian. / 引言 / Chapter 0.0 --- 香港敎會與工、商業機構 --- p.1 / Chapter 0 .1 --- 敎會如何看所身處的經濟制度 --- p.1 / Chapter 0.2 --- 敎會處理內部財政,應否參考工、商業機構的方式? --- p.2 / Chapter 0.3 --- 小結 --- p.2 / Chapter 第一章: --- 反對香港目前的經濟制度及其駁論 / Chapter 1.0 --- 香港的經濟制度 --- p.3 / Chapter 1.1 --- 反對香港目前的經濟制度 --- p.5 / Chapter 1.1.1 --- 資本主義倡導人自私自利 --- p.5 / Chapter 1.1.2 --- 資本主義是一個不公義的制度 --- p.6 / Chapter 1.1.3 --- 資本主義造成貧富懸殊 --- p.8 / Chapter 1.1.4 --- 資本主義提倡物質主義、拜金主義文化 --- p.9 / Chapter 第二章: --- 從基督敎神學觀點支持香港目前的經濟制度 並指出資本主義的危機和問題 / Chapter 2.0 --- 從基督敎神學觀點支持香港目前的經濟制度 --- p.12 / Chapter 2.1 --- 社會富裕 --- p.12 / Chapter 2.1.1 --- 追求社會富裕是可被確定的 --- p.12 / Chapter 2.1.2 --- 環境保護與社會富裕的追求 --- p.14 / Chapter 2.1.3 --- 經濟制度與社會富裕的追求 --- p.15 / Chapter 2.2 --- 自由的保障 --- p.17 / Chapter 2.2.1 --- 自由乃上帝賦與人最寶貴者 --- p.17 / Chapter 2.2.2 --- 資本主義乃保障人民自由的制度 --- p.1B / Chapter 2.3 --- 人類的責任 --- p.19 / Chapter 2.3.1 --- 上帝給人類管理世界的責任 --- p.19 / Chapter 2.3.2 --- 資本主義使人管理世界的責任得以較佳的發揮 --- p.19 / Chapter 2.4 --- 資本主義的危機和問題 --- p.21 / Chapter 2.4.1 --- 欠缺超越的道德標準導致市場經濟崩潰 --- p.21 / Chapter 2.4.2 --- 資本家的壟斷和不義 --- p.23 / Chapter 2.5 --- 小結 --- p.24 / Chapter 第三章: --- 一個建議:建立敎會企業 / Chapter 3.0 --- 香港敎會處理財務的現況 --- p.25 / Chapter 3.1 --- 香港敎會的投資 --- p.27 / Chapter 3.2 --- 香港敎會與工商業機構 --- p.29 / Chapter 3.3 --- 建立敎會企業 --- p.33 / Chapter 3.3.1 --- 人的任務也是敎會的任務 --- p.33 / Chapter 3.3.2 --- 建立人性化的企業,也可成爲服務、傳道的方式 --- p.34 / Chapter 3.3.3 --- 提升社會道德水平 --- p.36 / 結論 --- p.38 / 參考書目 / Chapter (甲) --- 本文曾引述的書籍及文章 --- p.40-42 / Chapter (乙) --- 其他參考書籍 --- p.43-45 / Chapter (丙) --- 其他參考文章 --- p.46-47
29

Financial sector development in Hong Kong and Singapore: competitive or complementary

Lee, Kin-ying, Esmond., 李建英. January 1991 (has links)
published_or_final_version / Comparative Asian Studies / Master / Master of Arts
30

Empirical tests on the pricing of the Hang Seng index options.

January 1995 (has links)
by Lee Yiu Cho. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaf 47). / ACKNOWLEDGMENT --- p.iii / ABSTRACT --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF CHARTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE HANG SENG INDEX OPTION --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.6 / Chapter IV. --- METHODOLOGY & DATA COLLECTION --- p.9 / Methodology --- p.9 / The Black-Scholes Model --- p.9 / Data Collection --- p.11 / Data Manipulation --- p.13 / Limitation of Data --- p.14 / Chapter V. --- EMPIRICAL RESULTS --- p.16 / General Trading Pattern --- p.16 / Comparison of Actual and Theoretical Premiums --- p.17 / Analysis for 2 Sub-periods --- p.19 / Correlation Between Deviations and Variables --- p.22 / The Degree of in-the-money or out-of-the-money --- p.22 / Actual Premium Level --- p.23 / Transaction Volume --- p.25 / Chapter VI. --- CONCLUSION --- p.26 / CHARTS --- p.29 / BIBLIOGRAPHY --- p.47

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