Este trabalho busca apurar a existência de assimetria na transmissão dos preços dos combustíveis no atacado para o varejo no Estado de São Paulo. Desde a introdução dos veículos flex-fuel no mercado brasileiro em 2003, o consumidor pode optar por abastecer com a gasolina comum ou com o etanol hidratado, sendo a sua escolha influenciada pelas variações na relação dos preços desses combustíveis, o que evidencia a importância de um estudo para entender o comportamento desses preços. Para tal, medias mensais dos preços da gasolina comum e do etanol hidratado nos níveis de distribuição e revenda, referentes ao estado paulista, para o período de novembro de 2002 a abril de 2015 foram consideradas na condução da analise empírica, que compreende a estimação de Modelos de Correção de Erros. Os resultados indicam a presença de assimetria na transmissão dos preços de ambos os combustíveis do atacado para o varejo, contudo esta se manifesta somente no curto prazo. Ademais, constata-se no mercado de combustíveis a assimetria positiva, de modo que no curto prazo aumentos nos preços no atacado elevam com maior intensidade os preços ao consumidor, em comparação a decréscimos nos preços ao consumidor provocados por choques negativos nos preços de distribuição. Tal assimetria pode proceder de uma combinação entre as reações dos consumidores as futuras oscilações nos preços e a gestão de estoques por parte dos postos de combustíveis. / This work aims to determine the existence of asymmetry in the transmission of fuel prices in the wholesale to retail in the State of Sao Paulo. Since the introduction of flex-fuel vehicles in the Brazilian market in 2003, the consumer can choose to fill up with regular gasoline or hydrated ethanol, and your choice is influenced by variations in the relative prices of these fuels, which highlights the importance of a study to understand the behavior of these prices. To this end, monthly average of prices of regular gasoline and hydrated ethanol in the levels of distribution and resale, for the State of Sao Paulo, for the period November 2002 to April 2015 were considered in conducting empirical analysis, which includes the estimation of Error Correction Models. The results indicate the presence of asymmetry in transmission of price of both fuels of wholesale for retail, however it is manifested in the short term only. Moreover, it appears in the fuel market the positive asymmetry, so that in the short term increases in wholesale prices rise more strongly consumer prices compared to decreases in consumer prices caused by negative shocks in distribution prices. Such asymmetry can come from a combination of consumer reactions to future fluctuations in prices and inventory management by the fuel stations.

經歷十三年風雨，香港樓價再創歷史新高。有云：「禍兮福所倚」，業主得益於財富增長的同時，亦擔心高速增長埋下泡沫爆破的伏線。因樓價高企，年青人置業困難，社會不滿亦日漸升溫。 / 在國際貨幣基金組織出言警告後，香港金融管理局連同財政司相繼推出措施如額外印花稅，以及收緊不同物業種類的按揭上限，希望保持樓市健康及穩定發展。一石激起千重浪，政策推出後輿論不絶，但至今仍未有人以嚴謹的邏輯推論分析新政策的影響。本文以Stein (1995)的模型作藍本，稍作修改，以分析新政對樓價的影響。 / 按照文中模型計算，於當前經濟環境下，新措施確能維持樓市健康及穩定發展。額外印花稅能壓抑樓價時，收緊不同物業種類的按揭上限能保持樓價平穩。理論模型同時指出，兩樣政策都不是萬能丹，政府於調控樓市時應先評估當前經濟基礎，否則有機會事與願違。 / House price in Hong Kong is reaching its historical high. People start to worry a sudden drop of house price as what they had experienced in year 1997. Social disputes emerged and the Hong Kong government has taken several measures in reaction. Policies such as the Multi-down payment constraint by the HKMA and special stamp duty by the Financial Secretary are implemented in response to the soaring house price. The Media and the general public are keen to explore the effects and the consequences of the policies. However, little effort has been done to study the impact of the enacted policy in a systematic way. / This thesis augmented the model developed by Stein (1995) to examine the housing price behavior of Hong Kong. Simulation results justified the government’s policies. SSD helps to lower the house price while multi-down payment policy helps to stabilize the house price. However, for the policies to be effective, the government needs to spend a lot of efforts to examine the underlying economic fundamentals to avoid unintended results. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Wong, Long Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 53-54). / Abstracts also in Chinese. / Abstract --- p.i / 擇要 --- p.ii / Acknowledgement --- p.iii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Hong Kong’s Post-Tsunami Economic Background --- p.4 / Chapter 3. --- Characteristics of the Hong Kong Residential Property Market --- p.7 / Chapter 3.1. --- Price and Transactions --- p.8 / Chapter 3.2. --- Market Structure --- p.10 / Chapter 3.3. --- Mortgage Financing --- p.11 / Chapter 4. --- Policies Launched --- p.11 / Chapter 4.1. --- Increasing supply --- p.12 / Chapter 4.2. --- Combating speculation --- p.12 / Chapter 4.3. --- Preventing excessive expansion in mortgage lending --- p.13 / Chapter 4.1. --- To enhance the transparency in the market --- p.13 / Chapter 5. --- Literature Review --- p.14 / Chapter 6. --- Choice of Model --- p.17 / Chapter 7. --- The Stein’s Benchmark Case --- p.19 / Chapter 7.1. --- General Form --- p.20 / Chapter 7.2. --- The Log Linear Form Utility --- p.22 / Chapter 8. --- The SSD Case --- p.23 / Chapter 8.1. --- General Form --- p.23 / Chapter 9. --- The Multi-Down Payment Case --- p.25 / Chapter 9.1. --- General Form --- p.25 / Chapter 9.2. --- The Stone-Geary Form log Utility --- p.29 / Chapter 9.3. --- The CES Utility --- p.29 / Chapter 10. --- Simulation and Results --- p.30 / Chapter 10.1. --- Choosing the parameter --- p.30 / Chapter 10.2. --- Results using Log Linear Utility --- p.32 / Chapter 10.2.1. --- Changing the SSD --- p.32 / Chapter 10.2.1. --- Changing the down payment requirement γ --- p.33 / Chapter 10.2.3. --- Changing the threshold in multi-down payment case --- p.35 / Chapter 10.2.4. --- Changing ý --- p.36 / Chapter 10.2.1. --- Changing the fundamental --- p.37 / Chapter 10.3. --- Results using Stone-Geary form Utility --- p.38 / Chapter 10.3.1. --- Changing the degree of necessity --- p.38 / Chapter 10.3.2. --- Changing SSD --- p.39 / Chapter 10.3.3. --- Changing the down payment portion γ --- p.39 / Chapter 10.3.4. --- Changing the down payment portion ý --- p.40 / Chapter 10.3.5. --- Changing the fundamental --- p.41 / Chapter 10.4. --- Results using CES form Utility --- p.41 / Chapter 10.4.1. --- Changing the elasticity of substitution by --- p.42 / Chapter 10.4.2. --- Changing SSD --- p.42 / Chapter 10.4.3. --- Changing the down payment portion --- p.43 / Chapter 10.4.4. --- Changing the down payment portion --- p.44 / Chapter 10.4.5. --- Changing the fundamental --- p.45 / Chapter 10.5. --- Summary of the results and policy implications --- p.45 / Chapter 11. --- Conclusion --- p.48 / Chapter 12. --- Tables and Charts --- p.49 / Chapter 13. --- References --- p.53 / Chapter 14. --- Appendix --- p.54

General diffusion processes (GDP), or Ito's processes, are potential candidates for the modeling of asset prices, interest rates and other financial quantities to cope with empirical evidence. This thesis considers the applications of general diffusions in finance and potential extensions. In particular, we focus on financial problems involving (optimal) stopping times. A typical example is the valuation of American options. We investigate the use of Laplace-Carson transform (LCT) in valuing American options, and discuss its strengthen and weaknesses. Homotopy analysis from topology is then introduced to derive closed-form American option pricing formulas under GDP. Another example is taken from optimal dividend policies with bankruptcy procedures, which is closely related to excursion time and occupation time of a general diffusion. With the aid of Fourier transform, we further extend the analysis to the case of multi-dimensional GDP by considering the currency option pricing with mean reversion and multi-scale stochastic volatility. / Zhao, Jing. / Adviser: Hoi-Ying Wong. / Source: Dissertation Abstracts International, Volume: 72-04, Section: B, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 97-105). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

When pricing American-style options on d assets by Monte Carlo methods, one usually stores the simulated asset prices at all time steps on all paths in order to determine when to exercise the options. If N time steps and M paths are used; then the storage requirement is d · M · N. In this thesis, we give two simulation methods to price multi-asset American-style options, where the storage requirement only grows like (d + 1)M + N. The only additional computational cost is that we have to generate each random number twice instead of once. For machines with limited memory, we can now use larger values of M and N to improve the accuracy in pricing the options. / by Wong Chi Yan. / Adviser: Raymond H. Chan. / Source: Dissertation Abstracts International, Volume: 70-03, Section: B, page: 1708. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 79-82). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

by Veronica Ho Pui Kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 99-103). / Prologue --- p.1 / Chapter Essay I: --- Examination of the GARCH Option Pricing Model in the case of Hang Seng Index Option / Chapter 1. --- Introduction --- p.4 / Chapter 2. --- Holes' in the Black-Scholes Model --- p.7 / Chapter 3. --- A Big 'Hole' -- Varying Volatility --- p.14 / Chapter 4. --- A Remedy : the GARCH Option Pricing Model --- p.31 / Chapter 5. --- Research Methodology and Data --- p.38 / Chapter 6. --- Empirical Results --- p.50 / Chapter 7. --- Conclusion --- p.67 / Chapter Essay II: --- Barrier Options / Chapter 1. --- Introduction on Barrier Option --- p.70 / Chapter 2. --- Pricing Models --- p.74 / Chapter 3. --- Hedging of Barrier Option --- p.81 / Chapter 4. --- Examination of a Down-and-Out Put Option --- p.88 / References --- p.99

Feng Dandan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 96-101). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgements --- p.iii-iv / Table of Contents --- p.v-vi / List of Tables --- p.vii / List of Figures --- p.viii / List of Computer Programs --- p.ix / Chapter Chapter 1. --- Introduction --- p.1 / Chapter 1.1 --- Background of the Present Study --- p.1 / Chapter 1.2 --- Purpose of the Study --- p.4 / Chapter 1.3 --- Significance of the Research --- p.6 / Chapter 1.4 --- Organization of the Thesis --- p.7 / Chapter Chapter 2. --- Literature Review --- p.8 / Chapter 2.1 --- Review of Literatures on Price-Volume Relation in the Housing Market --- p.8 / Chapter 2.2 --- Review of Literatures on Price-Volume Relation in the Stock Market --- p.15 / Chapter 2.3 --- Review of Literatures on Commercial Real Estate Market --- p.16 / Chapter 2.4 --- Review of Literatures on Rent-Price Ratio --- p.22 / Chapter 2.5 --- Chapter Summary --- p.24 / Chapter Chapter 3. --- Data Description --- p.27 / Chapter 3.1 --- Economic Property Research Center Dataset --- p.27 / Chapter 3.2 --- Sample Selection and Classification --- p.27 / Chapter 3.3 --- Summary of Statistics --- p.28 / Chapter 3.4 --- Chapter Summary --- p.31 / Chapter Chapter 4. --- Methodology --- p.33 / Chapter 4.1 --- Measurement --- p.33 / Chapter 4.2 --- Augmented Dickey-Fuller Test --- p.36 / Chapter 4.3 --- Partial Autocorrelation Function --- p.39 / Chapter 4.4 --- Bootstrap Method --- p.41 / Chapter 4.5 --- Granger Causality Test --- p.43 / Chapter 4.6 --- Chapter Summary --- p.46 / Chapter Chapter 5. --- Empirical Results --- p.47 / Chapter 5.1 --- Sale Market --- p.48 / Chapter 5.2 --- Rental Market --- p.51 / Chapter 5.3 --- Overlapping Sample --- p.56 / Chapter 5.4 --- Aggregate Market --- p.58 / Chapter 5.5 --- Chapter Summary --- p.62 / Chapter Chapter 6. --- Concluding Remarks --- p.64 / Appendix 1. Comparison of Previous Literatures --- p.67 / Appendix 2. Tables --- p.70 / Appendix 3. Figures --- p.77 / Appendix 4. Computer Programs --- p.87 / Bibliography --- p.96

Wong, Kin Lung Keith. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 127-131). / Abstracts in English and Chinese. / Abstract --- p.i / Thesis/Assessment Committee --- p.iii / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background Studies --- p.5 / Chapter 2.1 --- Ultra-high Frequency Data Handling with Database Server --- p.5 / Chapter 2.1.1 --- Use of Database Server --- p.5 / Chapter 2.2 --- Ultra-high Frequency Data Treatments --- p.7 / Chapter 2.2.1 --- Cleaning of Data --- p.7 / Chapter 2.2.2 --- Matching of a Trade and Its Standing Quote --- p.13 / Chapter 2.3 --- Tick-by-tick Price Modeling --- p.15 / Chapter 2.3.1 --- Multivariate Linear Models --- p.15 / Chapter 2.3.2 --- Duration and Volume Handling --- p.16 / Chapter 2.3.3 --- VAR Model Selection Techniques --- p.20 / Chapter 2.3.4 --- Seasonality Handling --- p.24 / Chapter 3 --- Problem Definition and Framework --- p.27 / Chapter 3.1 --- Engle and Patton's Model --- p.27 / Chapter 3.2 --- Preparation of data --- p.31 / Chapter 3.3 --- Methods to Estimate Diurnal Adjustment Param- eters --- p.38 / Chapter 3.4 --- Transformation of the Model to Fit in VARX soft- wares --- p.40 / Chapter 3.5 --- Modification of the Model --- p.47 / Chapter 3.6 --- Estimating and Forecasting the Exogenous Vari- ables --- p.52 / Chapter 3.6.1 --- Modelling BUYt and SELLt --- p.52 / Chapter 3.6.2 --- Modelling DURt and VOLt --- p.53 / Chapter 3.6.3 --- Modelling k(t) --- p.56 / Chapter 3.6.4 --- Forecasting the Cross Terms and the Sum of Buys and Sells --- p.62 / Chapter 3.7 --- Forecasting with the Main Model --- p.64 / Chapter 4 --- Experimental Evaluation --- p.67 / Chapter 5 --- Conclusion --- p.73 / Chapter A --- Source and Data Information --- p.76 / Chapter B --- Model Estimation Results for (3.13) --- p.80 / Chapter C --- Model Forecasting Results for (3.13) and (3.2) --- p.102 / Bibliography --- p.127

Li, Nasha. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 28-30). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / ACKNOWLEDGEMENTS --- p.iii / Tables and Figures --- p.v / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.2 / Chapter 3. --- Factor-Augmented Regression Framework --- p.6 / Chapter 3.1 --- Estimation of latent factors --- p.8 / Chapter 3.2 --- Number of factors --- p.9 / Chapter 3.3 --- Interpretation of the factors --- p.11 / Chapter 4. --- Data --- p.12 / Chapter 5. --- Empirical Results --- p.13 / Chapter 5.1 --- Common factors --- p.13 / Chapter 5.2 --- Descriptive analysis --- p.16 / Chapter 5.3 --- Macroeconomic factors and excess returns predictability --- p.18 / Chapter 5.3.1 --- In-sample specifications --- p.18 / Chapter 5.3.2 --- Out-of-sample prediction performance --- p.24 / Chapter 6. --- Conclusion --- p.26 / Reference --- p.28 / Appendixes --- p.31 / Appendix I: Tables and Figures --- p.31 / Appendix II: Data --- p.52 / Appendix III: Calculation of the Fama-French three factors --- p.59

Yin, Xiani. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 58-59). / Abstracts in English and Chinese. / ABSTRACT --- p.ii / 摘要 --- p.iii / ACKNOWLEDGEMENTS --- p.iv / ABSTRACT --- p.ii / Chapter Chapter 1. --- Introduction --- p.8 / Chapter Chapter 2. --- Literature Review --- p.14 / Chapter Chapter 3. --- Institutional Background of the Political Control of Chinese Media --- p.19 / Chapter Chapter 4. --- Data and Sample Selection --- p.24 / Chapter 4.1 --- Data source --- p.24 / Chapter 4.2 --- Sample selection --- p.25 / Chapter 4.3 --- News collection --- p.28 / Chapter Chapter 5. --- Summary Statistics --- p.29 / Chapter Chapter 6. --- Methodology --- p.33 / Chapter 6.1 --- Event study --- p.33 / Chapter 6.2 --- Using CAR to calculate the overall market response after earnings announcement --- p.36 / Chapter 6.3 --- Measuring announcement date effects on stock performances --- p.36 / Chapter 6.4 --- Measuring news effect using CAR and Statistical Inference --- p.37 / Chapter Chapter 7. --- Empirical Results --- p.39 / Chapter 7.2 --- Overall market response after the earnings announcement --- p.42 / Chapter 7.3 --- Market reaction to official earnings announcements --- p.43 / Chapter 7.4 --- Market reaction to news report ´ؤ event study --- p.44 / Chapter 7.5 --- Differentiate higher circulation news effects on the market from lower circulation news --- p.47 / Chapter 7.6 --- Differentiate regional publications news effects on the market from national publications news --- p.48 / Chapter 7.7 --- Relationship between the number of news items and Cumulative Abnormal Return --- p.49 / Chapter 7.8 --- Relationship between “news influence coefficient´ح and Cumulative Abnormal Return: --- p.51 / Chapter 7.9 --- "Relationship between “news influence coefficient´ح, CAR, and number of restructuring activities in the second year" --- p.53 / Chapter 7.10 --- "Relationship between the number of restructuring activities, CAR, different news influence coefficient, and the third year ROE change" --- p.55 / Chapter Chapter 8. --- Conclusion --- p.57 / Tables --- p.61 / Table 1 Summary Statistics on Basic Information of the Sample --- p.61 / Table 2 Summary Statistics on ROE Change --- p.61 / Table 3 Two-sample Mean Comparison Test of the Earnings Performance Between the Subgroup with Negative News and the Subgroup Without Negative News --- p.62 / Table 4 Statistics about the number of restructuring activities of the companies with negative news --- p.63 / Table 5 Daily Average CAR over Different Periods --- p.64 / Table 6 Two-sample Mean Comparison Test --- p.65 / Table 7 Average Abnormal Returns From 3 Days Before Announcement to 10 Days After Announcement --- p.66 / Table 8 Abnormal Returns on the First Headline News Date and First Negative News Date --- p.67 / Table 9 Cumulative Abnormal Returns 10 Days After the First Headline News and First Negative News in a Clean Comparison --- p.68 / Table 10 Cumulative Abnormal Returns 10 Days After the First Headline News and First Negative News --- p.69 / Table 11 Comparisons of the CAR Between Higher and Lower Circulation News --- p.71 / Table 12 Comparisons of CAR Between Regional and National First Headline News --- p.72 / Table 13 Linear Regression Results With Dummy Variables --- p.73 / Table 14 Linear Regression Results with Number of News Items --- p.77 / Table 15 Linear Regression Results With “news influence coefficient´ح --- p.80 / Table 16 Poisson Regression Results with Number of News --- p.84 / Table 17 Linear Regression Results with Number of News --- p.86 / Table 18 Final Event Study Results --- p.88 / "Figure 1: Average CAR across Sample over (-3, 90) Days" --- p.92 / Appendix 1: Sample Companies --- p.93 / Appendix 2: Record of News Reports for Each Firm --- p.96 / Appendix 3: Number of Restructuring Activities During the Second Year --- p.99

This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple before-and-after method to investigate how the volatility of the constituent stocks changes relative to the non-constituent stocks after the introduction of CSI300 Index Futures. Empirical results revealed that the volatility of the constituent stocks increased as compared with that of non-constituent stocks before and after the inception of the CSI300 Index Futures. The temporal-self comparison for the stocks entered or removed from the CSI300 Index List showed that that the introduction of index futures has a long-term destabilizing effect. / 本文研究滬深300股票指數期貨的推出對我國股票市場波動率的影響。考慮到中國股市長期波動率下降的趨勢的存在,我們用差上差的方法取代了傳統的簡單事前事後比較方法來研究成分股相對于非成分股波動率在滬深300股票指數期貨推出前後是如何變化的。實證結果顯示成分股股票相對于非成分股股票,波動率在滬深300股票指數期貨推出前後實際上是上升的。對於進入或者剔除出滬深300指數名單的股票的實證研究顯示,這種股票不同狀態的自我比較說明對於滬深300股票指數期貨的推出在長期有失穩作用。 / Luo, Shengjie. / Thesis M.Phil. Chinese University of Hong Kong 2014. / Includes bibliographical references (leaves 40-42). / Abstracts also in Chinese. / Title from PDF title page (viewed on 12, October, 2016). / Detailed summary in vernacular field only.