In this thesis, extensive research regarding the relationship between macroeconomic variables and the stock market is carried out. For this purpose the two largest stock markets in the world, namely the US and Japan, are chosen. As a proxy for the US stock market we use the S&P500 and for Japan the Nikkei225. Although there are many empirical investigations of the US stock market, Japan has lagged behind. Especially the severe boom and bust sequence in Japan is unique in the developed world in recent economic history and it is important to shed more light on the causes of this development. First, we investigate the long-run relationship between selected macroeconomic variables and the stock market in a cointegration framework. As expected, we can support existing findings in the US, whereas Japan does not follow the same relationships as the US. Further econometric analysis reveals a structural break in Japan in the early 1990s. Before that break, the long-run relationship is comparable to the US, whereas after the break this relationship breaks down. We believe that a liquidity trap in a deflationary environment might have caused the normal relationship to break down. Secondly, we increase the variable set and apply a non-linear estimation technique to investigate non-linear behaviour between macroeconomic variables and the stock market. We find the non-linear models to have better in and out of sample performance than the appropriate linear models. Thirdly, we test a particular non-linear model of noise traders that interact with arbitrage traders in the dividend yield for the US and Japanese stock market. A two-regime switching model is supported with an inner random or momentum regime and an outer mean reversion regime. Overall, we recommend investors and policymakers to be aware that a liquidity trap in a deflationary environment could also cause severe downturn in the US if appropriate measures are not implemented accordingly.

by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 52). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF ILLUSTRATIONS --- p.iv / LIST OF TABLES --- p.v / ACKNOWLEGEMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OBJECTIVES --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.4 / Chapter IV. --- THE SAMPLE --- p.9 / Chapter V. --- METHODOLOGY --- p.14 / The Market Model --- p.15 / Methods to Estimate the Excess Returns --- p.16 / Chapter VI. --- RESULTS AND ANALYSIS --- p.19 / Price Effects on Inclusion in HSI --- p.19 / Price Effects on Exclusion from HSI --- p.33 / Comparison between Inclusion and Exclusion --- p.41 / Chapter VII. --- IMPLICATIONS --- p.42 / Chapter VIII. --- CONCLUSION --- p.45 / APPENDIX --- p.47 / BIBLIOGRAPHY --- p.52

by Poon Yeuk Wan, Tsang Fei. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 54-55). / Acknowledgements --- p.i / Abstract --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vi / List of Appendix --- p.vii / Chapter Chapter1 --- Introduction --- p.1 / Chapter 1.1 --- Project Objective --- p.1 / Chapter 1.2 --- Project Structure --- p.2 / Chapter 1.3 --- Data --- p.3 / Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5 / Chapter 2.1 --- Latin America --- p.5 / Argentina --- p.5 / Brazil --- p.7 / Chile --- p.7 / Colombia --- p.8 / Mexico --- p.8 / Peru --- p.9 / Venezuela --- p.9 / Chapter 2.2 --- Eastern Europe --- p.10 / Czech Republic --- p.10 / Poland --- p.10 / Slovakia --- p.11 / Hungary --- p.11 / Russia --- p.11 / Chapter 2.3 --- Middle East --- p.12 / Israel --- p.12 / Jordan --- p.12 / Chapter 2.4 --- Implication For Further Analysis --- p.13 / Chapter Chapter 3 --- Analysis and Findings I: Descriptive Statistics Analysis --- p.14 / Chapter 3.1 --- Objective of Descriptive Statistic Analysis --- p.14 / Chapter 3.2 --- Findings --- p.16 / Eastern Europe --- p.16 / Latin America --- p.16 / Middle East --- p.17 / Chapter 3.3 --- Conclusion --- p.18 / Chapter Chapter 4 --- Analysis and Findings II: Day-of-the- Week (Monday effect) Test --- p.19 / Chapter 4.1 --- Objective --- p.19 / Chapter 4.2 --- Literature Review --- p.19 / Chapter 4.3 --- Methodology --- p.21 / Chapter 4.4 --- Data --- p.23 / Chapter 4.5 --- Analysis --- p.24 / Chapter 4.6 --- Empirical findings --- p.25 / Chapter I. --- The equality of return test --- p.25 / Eastern Europe --- p.26 / Latin America --- p.26 / Middle East --- p.26 / Overall --- p.27 / Local currency versus US currency --- p.27 / Chapter II. --- Comparison of Monday return with returns of other days within the week --- p.27 / Chapter l. --- Without exchange rate effect --- p.28 / Chapter 4.7 --- Monday effect一-an overview --- p.31 / Comparison by region --- p.31 / Eastern Europe --- p.31 / Latin America --- p.31 / Middle East --- p.32 / The effect of exchange rate --- p.32 / Chapter Chapter 5 --- Analysis And Findings III: Correlation Analysis --- p.33 / Chapter 5.1 --- Literature Review --- p.33 / Chapter 5.2 --- Objective --- p.35 / Chapter 5.3 --- Methodology --- p.35 / Chapter 5.4 --- Findings --- p.38 / Chapter I --- Correlations Within Regions --- p.38 / Eastern Europe --- p.33 / Latin America --- p.40 / Middle East --- p.42 / Chapter II. --- Correlation Among Regions --- p.43 / Eastern Europe vs. Latin America --- p.43 / Latin America vs. Middle East --- p.44 / Eastern Europe vs. Middle East --- p.45 / Chapter III. --- Correlations with the United States --- p.46 / US vs. Eastern Europe --- p.46 / US vs. Latin America --- p.46 / US vs. Middle East --- p.47 / Chapter 5.5 --- Conclusion --- p.43 / Chapter Chapter 6 --- Conclusions and Implications --- p.49 / Implications on market integration --- p.52 / BIBLIOGRAPHY --- p.54 / APPENDIX --- p.56

Su Qian. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 66-70). / Abstracts in English and Chinese. / Abstract --- p."i,ii" / Acknowledgements --- p.iii / Table of Content --- p.iv / List of Tables and Figures --- p.v / List of Abbreviation --- p.vi / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter 2.1 --- Benefits of Cross-listing --- p.4 / Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8 / Chapter 2.3 --- Previous studies on Chinese cross-listed stocks --- p.2 / Chapter Chapter 3. --- China Overseas Listing --- p.15 / Chapter 3.1 --- The history of overseas listing --- p.15 / Chapter 3.2 --- Methods of overseas listing --- p.17 / Chapter 3.3 --- The motivation for Chinese firms to list overseas --- p.18 / Chapter 3.4 --- The prospects of China Overseas listing --- p.21 / Chapter Chapter 4. --- Price-discovery contributions to China-backed stocks cross-listed on SEHK and NYSE --- p.23 / Chapter 4.1 --- Data --- p.23 / Chapter 4.2 --- Methodology --- p.25 / Chapter 4.3 --- Empirical Results and Interpretation --- p.31 / Chapter 4.4 --- Cross-Sectional analysis of NYSE contributions to the price-discovery process --- p.40 / Chapter Chapter 5. --- Price-discovery contributions to the cross-listed H share and A share --- p.45 / Chapter 5.1 --- Data and Sample details --- p.46 / Chapter 5.2 --- Methodology --- p.49 / Chapter 5.3 --- Empirical results and interpretation --- p.54 / Chapter 5.4 --- A brief analysis of cointegration determinants --- p.57 / Chapter 5.5 --- The cointegration between H share and A share- Daily analysis --- p.61 / Chapter Chapter 6. --- Conclusion --- p.64 / Reference --- p.66 / Tables --- p.71

by Ng Yiu Hong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 77-80). / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- HONG KONG'S IMPORT PERFORMANCE --- p.5 / Chapter THREE --- REVIEW OF THE LITERATURE --- p.9 / The Elasticity Approach / Market Structure and Product Characteristics / Long-Run Profit Maximization / Hysteresis Models / Multinational Corporations and Intra-Firm Trade / Non-Tariff Barriers / Other Explanations / Chapter FOUR --- THE ANALYTICAL FRAMEWORK --- p.19 / Chapter FIVE --- DATA AND ECONOMETRIC ANALYSIS --- p.22 / Data / Econometric Analysis / Chapter SIX --- EMPIRICAL RESULTS --- p.33 / Chapter SEVEN --- CONCLUSION --- p.40 / TABLES --- p.43 / APPENDIX --- p.64 / BIBLIOGRAPHY --- p.77

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.

This dissertation consists of three essays in applied microeconomics.The first chapter investigates the effect of coroner partisanship on COVID-19 death reporting. The politicization of the COVID-19 pandemic in the United States has raised questions about the integrity and accuracy of death reporting, particularly in jurisdictions with elected, partisan coroners. Using mortality data from the CDC and manually collected data on county-level death certification systems and coroner party affiliation where applicable, I examine the parallel systems of appointed medical examiners and elected coroners and analyze the effect of partisanship on reported COVID-19 deaths. Cross-sectional comparisons do not seem to suggest counties with coroners report fewer deaths than those with medical examiners, and difference-in-differences specifications reveal limited evidence of a statistically significant but not economically meaningful effect of partisanship on reported COVID death counts. The second chapter examines the effect of new information on lead water pipes on housing prices. In 2016, the Water and Sewer Authority of Washington, DC released an online map that contains information on lead service lines (LSLs) for all properties in the district. Using the release as a natural experiment, I estimate the effect of the new information on prices of properties with and without LSLs. Recent literature has found that housing lead reduction policies such as remediation mandates have significant price effects. In DC, while the map’s release was followed by a marked increase in requests for water lead tests, neither a difference-in-differences model nor a repeat sales model captures a significant divergence between housing prices of the two types of properties after the release, implying the housing market response to the information was limited. The second chapter considers the effect of the marriage tax subsidy on the marriage decision of same-sex couples. The U.S. Supreme Court’s ruling on United States v. Windsor in June 2013 compelled the federal government to recognize state-sanctioned same-sex marriages, including for tax purposes. The switch in the income tax filing status for same-sex couples meant that the marriage penalty or subsidy as a result of joint filing became a relevant factor that may enter couples’ marriage decisions. I construct a sample of married and cohabiting same-sex couples in 2012 and 2014 from public-use data of the American Community Survey. Using a difference-in-differences methodology, I do not find evidence that same-sex couples who would earn a higher marriage subsidy became more likely to marry after the Supreme Court ruling.