by Kwan Wai Kwong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.1 / Chapter 1. --- INTRODUCTION --- p.2 / Chapter 2. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- Traditional and Working's hedging theory --- p.5 / Chapter 2.2 --- Portfolio theory and hedging --- p.5 / Chapter 2.3 --- Selection of proper statistical estimation model --- p.7 / Chapter 2.4 --- StaTIonarIty of optimal hedge ratio --- p.8 / Chapter 2.5 --- time-varying hedging models --- p.9 / Chapter 3. --- MARKETS AND INSTRUMENTS --- p.13 / Chapter 3.1 --- Exchange Fund Bills --- p.13 / Chapter 3.1.1 --- Rationale --- p.13 / Chapter 3.1.2 --- Status and deployment of funds --- p.14 / Chapter 3.1.3 --- Form of Bills --- p.14 / Chapter 3.1.4 --- Pricing of the Bills --- p.15 / Chapter 3.1.5 --- Development of the secondary market --- p.15 / Chapter 3.1.6 --- Investors --- p.17 / Chapter 3.1.7 --- Reasons for the success of the Bills programme --- p.17 / Chapter 3.2 --- eurodollar futures contract --- p.18 / Chapter 3.3 --- Treasury bill futures contract --- p.19 / Chapter 3.4 --- Comparison between eurodollar and treasury bills futures --- p.20 / Chapter 4. --- RESEARCH METHODOLOGY --- p.22 / Chapter 4.1 --- DATA --- p.22 / Chapter 4.2 --- DEFINITION of hedging effectiveness and comparison criterion --- p.23 / Chapter 4.2.1 --- Definition of hedging effectiveness --- p.23 / Chapter 4.2.2 --- Comparison of ex-ante hedging performance --- p.24 / Chapter 4.3 --- Model description --- p.25 / Chapter 4.3.1 --- Conventional hedging model --- p.25 / Chapter 4.3.2 --- Error correction model (ECM) --- p.28 / Chapter 4.3.2.1 --- Unit root test --- p.29 / Chapter 4.3.2.2 --- Test of cointegration --- p.30 / Chapter 4.3.2.3 --- Construction of the error correction model (ECM) --- p.31 / Chapter 4.3.3 --- Time-varying hedging model --- p.32 / Chapter 4.3.3.1 --- Time-varying conditional hedging theory --- p.32 / Chapter 4.3.3.2 --- Test for the ARCH effect --- p.34 / Chapter 4.3.3.3 --- Bivariate ARCH(q) error correction model --- p.35 / Chapter 4.4 --- out-of-sample forecast --- p.37 / Chapter 4.4.1 --- Rolling samples against expanding sample --- p.37 / Chapter 4.4.2 --- Out-of-sample forecast without transaction cost --- p.37 / Chapter 4.4.3 --- Out-of-sample forecast with transaction cost --- p.39 / Chapter 5. --- DATA SUMMARY --- p.42 / Chapter 5.1 --- Preliminary analysis --- p.42 / Chapter 5.2 --- Unit root analysis --- p.43 / Chapter 5.3 --- Co-integration analysis --- p.44 / Chapter 6. --- EMPIRICAL RESULTS --- p.45 / Chapter 6.1 --- Model estimation --- p.45 / Chapter 6.2 --- Ex-ante hedging effectiveness with no transaction cost --- p.47 / Chapter 6.3 --- Ex-ante hedging effectiveness with transaction cost --- p.49 / Chapter 6.4 --- Summary and discussion on empirical findings --- p.50 / Chapter 6.4.1 --- Hedging superiority between the two futures contracts --- p.50 / Chapter 6.4.2 --- Magnitude of hedging performance --- p.51 / Chapter 6.4.3 --- Hedge ratio estimates --- p.56 / Chapter 6.4.4 --- Hedging effectiveness across investment horizon --- p.57 / Chapter 6.4.5 --- Model superiority --- p.57 / Chapter 7. --- CONCLUSION --- p.59 / APPENDIX --- p.84 / Chapter I) --- derivation of optimal hedge ratio under static hedging strategies --- p.84 / Chapter II) --- Derivation of optimal hedge ratios under dynamic hedging strategies --- p.85 / Chapter III) --- Causality test on the lead lag relationship between HKEFB and the two futures contracts --- p.87 / REFERENCES --- p.89

published_or_final_version / Economics / Master / Master of Social Sciences

by Lam Kang Hung, Roger. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaf 63). / Abstract --- p.ii / Table of Contents --- p.iii / List of Tables --- p.v / List of Figures --- p.vi / Acknowledgements --- p.vii / Chapter Chapter I --- --- Introduction --- p.1 / Scope --- p.1-2 / Chapter Chapter II--- --- Methodology --- p.3 / Chapter Chapter III--- --- What Is Risk Management --- p.4 / Chapter Chapter IV --- --- What Is Interest Risk Management --- p.5 / Chapter Chapter V --- --- Importance Of Interest Rate Risk Management --- p.7 / Chapter Chapter VI --- --- Techniques Used In Interest Rate Risk Management --- p.10 / Gap Analysis --- p.10 / Limitations --- p.12 / Duration Analysis --- p.13 / Limitations --- p.15 / Simulation Analysis --- p.16 / Limitations --- p.17 / Chapter Chapter VII --- --- Treasury Tools Available --- p.18 / Interest Rate Swap --- p.18 / Futures Markets --- p.22 / Forward Rate Agreements --- p.25 / Options Markets --- p.27 / Exchange Traded Versus Over The Counter Options --- p.31 / Interest Rate Cap --- p.32 / Interest Rate Floor --- p.34 / Interest Rate Collar --- p.35 / Interest Rate Swaptions --- p.38 / Synthetic Products --- p.38 / Chapter 1. --- Asset Swaps --- p.38 / Chapter 2. --- Equity Swaps --- p.39 / Chapter Chapter VIII --- --- Hedging Strategies --- p.40 / Strategy 1: Remain Unhedged --- p.40 / Strategy 2: Interest Rate Swaps --- p.40 / Strategy 3: Interest Rate Caps --- p.41 / Strategy 4: Interest Rate Collars --- p.41 / Strategy 5: Interest Rate Swaptions --- p.41 / Chapter Chapter IX --- --- Risk Management In M.T.R. and K.C.R --- p.45 / Mass Transit Railway Corporation --- p.45 / Background --- p.45 / Financial Strategy --- p.47 / Debt Management --- p.47 / Techniques Employed --- p.49 / Kowloon-Canton Railway Corporation --- p.51 / Principal Activities --- p.51 / Financial Management --- p.52 / Chapter Chapter X --- --- Concluding Remarks --- p.54 / Appendices / Chapter Appendix I --- Selected Financial Information of M.T.R --- p.57 / Chapter Appendix II --- Selected .Financial Information of K.C.R.C --- p.58 / Chapter Appendix III --- Interest Rate --- p.59 / Chapter Appendix IV --- Capital Market Instruments Employed By MTRC --- p.60 / Bibliography --- p.62

Lam Man Kin, Wong Yim Pan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references. / ACKNOWLEDGEMENTS --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- A BRIEF REVIEW OF THE MODELS FOR FOREIGN EXCHANGE DETERMINATION --- p.6 / Purchasing Power Parity --- p.6 / Flexible Price Monetary Model --- p.9 / Sticky Price Monetary Model -Exchange Rate Dynamics --- p.11 / Portfolio Balance Approach --- p.14 / Insights --- p.16 / Chapter III. --- THE LINKED EXCHANGE RATE SYSTEM --- p.18 / A Brief Historical Account --- p.18 / The Linked Exchange Rate System and Interest Rate --- p.19 / The Linked Exchange Rate System and Inflation Rate --- p.21 / The Pattern of Interest Rate Since Oct. 1983 --- p.22 / "The Pattern of Inflation Rate Since Oct., 1983" --- p.23 / "The Change of Real Exchange Rate Since Oct.,1983" --- p.23 / Chapter VI. --- METHODOLOGIES FOR THE EMPIRICAL STUDIES --- p.31 / The Data --- p.31 / Statistical Techniques --- p.32 / Models to be studied --- p.32 / Absolute PPP --- p.32 / Relative PPP --- p.33 / Augmented PPP Model --- p.34 / Hong Kong Inflation and US Inflation --- p.35 / Hong Kong Interest Rate and US Interest Rate --- p.36 / Interest Rate and Inflation Rate of Hong Kong --- p.36 / Chapter V. --- EMPIRICAL RESULTS AND DISCUSSIONS --- p.38 / PPP Model --- p.38 / Absolute PPP --- p.38 / Relationship between Exchange Rate and Price Levels --- p.43 / Relative PPP --- p.43 / Inflations of Hong Kong and the US --- p.45 / Percentage change of exchange rate and inflation --- p.46 / Augmented PPP Model: Incorporate Interest Rates in PPP Model --- p.47 / Absolute PPP --- p.47 / Interest Rates and Short Term Fluctuation of Exchange Rate --- p.48 / Relative PPP --- p.49 / Interest Rates and the Percentage Change of Exchange Rate --- p.51 / Hong Kong Inflation and US Inflation --- p.51 / The Divergence of Two Inflation Rates --- p.52 / Hong Kong Interest Rate and US Interest Rate --- p.53 / Hong Kong Inflation and Hong Kong Interest Rates --- p.55 / Chapter VI. --- CONCLUSION --- p.57 / Limitations --- p.59 / APPENDIX / I --- p.61 / II --- p.67 / BIBLIOGRAPHY --- p.78