published_or_final_version / Business Administration / Master / Master of Business Administration

Kam Ying Chuen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 81-83). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 / Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3 / Chapter 2.2 --- Hang Seng Index --- p.4 / Chapter 2.3 --- Influences of the United States --- p.5 / Chapter 2.4 --- Hong Kong Government's Intervention --- p.6 / Chapter 3 --- Literature Review --- p.8 / Chapter 3.1 --- Stable and Student t Distributions --- p.8 / Chapter 3.2 --- Generalized Distribution --- p.10 / Chapter 3.3 --- Socio-economic Model --- p.11 / Chapter 3.4 --- Extreme Value Analysis --- p.11 / Chapter 4 --- Methodology --- p.14 / Chapter 4.1 --- Homogeneous Model --- p.15 / Chapter 4.2 --- Inhomogeneous Model --- p.15 / Chapter 4.3 --- Model Validity --- p.16 / Chapter 4.3.1 --- Exceedance Rate --- p.17 / Chapter 4.3.2 --- Distribution of Excesses --- p.17 / Chapter 4.3.3 --- Independence --- p.18 / Chapter 5 --- Data --- p.19 / Chapter 5.1 --- Minute-by-minute Returns --- p.20 / Chapter 5.2 --- Daily returns --- p.21 / Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21 / Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24 / Chapter 6.1 --- Shape Parameter k --- p.24 / Chapter 6.2 --- Location Parameter μ --- p.25 / Chapter 6.3 --- Scale Parameter σ --- p.26 / Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27 / Chapter 6.5 --- Specification Test --- p.29 / Chapter 7 --- Empirical Results: Daily Returns --- p.29 / Chapter 7.1 --- Homogeneous Model --- p.30 / Chapter 7.2 --- Inhomogeneous Model --- p.31 / Chapter 7.2.1 --- Constant Term --- p.32 / Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33 / Chapter 7.2.3 --- Volatility Indicators --- p.34 / Chapter 7.2.4 --- Monday Dummy --- p.35 / Chapter 7.2.5 --- Time Trend --- p.36 / Chapter 7.2.6 --- Duration Dummy --- p.37 / Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38 / Chapter 8 --- Conclusion --- p.39

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

by Wong Hiu Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 74-79). / Abstracts in English and Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.v / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.5 / ARCH/GARCH Models / Nonparametric Method / Chapter THREE --- METHODOLOGY --- p.14 / ARCH Modeling / Semiparametric GARCH Modeling / Causality Test / Local Polynomial Model / Chapter FOUR --- DATA AND EMPIRICAL RESULTS --- p.37 / Data / GARCH Modeling / Semiparametric GARCH Modeling / Causality Test / Local Polynomial Model / Chapter FIVE --- CONCLUSION --- p.52 / TABLES --- p.56 / ILLUSTRATIONS --- p.62 / APPENDIX --- p.71 / BIBLIOGRAPHY --- p.74

Chen Chen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 122-129). / Abstracts in English and Chinese. / ABSTRACT --- p.ii / ACKNOWLEDGEMENT --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF FIGURES --- p.vii / LIST OF TABLES --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Objectives and Motivation --- p.5 / Chapter 1.3 --- The Asian Crisis --- p.9 / Chapter 1.4 --- Procedures and Findings --- p.18 / Chapter 1.5 --- Summary --- p.20 / Chapter II. --- LITERATURE REVIEW --- p.21 / Chapter 2.1 --- Definition and Determinants --- p.21 / Chapter 2.2 --- Measurement Model --- p.25 / Chapter 2.3 --- Exchange Rate Fluctuation and Market Value of the Firm --- p.28 / Chapter 2.3.1 --- Exchange Rate Fluctuation and Stock Return --- p.28 / Chapter 2.3.2 --- Some Problems of the Measurement Model --- p.31 / Chapter 2.4 --- Exchange Rate Fluctuation and Market Risk of the Firm --- p.42 / Chapter 2.5 --- Summary --- p.45 / Chapter III. --- HYPOTHESES，METHODOLOGY & DATA --- p.47 / Chapter 3.1 --- Hypotheses --- p.47 / Chapter 3.2 --- Research Design --- p.50 / Chapter 3.3 --- Sample Selection --- p.56 / Chapter 3.3.1 --- Selection of Sample Group --- p.56 / Chapter 3.3.2 --- Selection of Control Group --- p.61 / Chapter 3.3.3 --- Comparison of Two Groups --- p.62 / Chapter 3.4 --- Data and the Measurement of the Variables --- p.64 / Chapter 3.5 --- Summary --- p.67 / Chapter IV. --- EMPIRICAL RESULTS AND DISCUSSION --- p.68 / Chapter 4.1 --- Exchange Rate Variability and Stock Return Volatility --- p.68 / Chapter 4.2 --- Exchange Rate Variability and Market Risk --- p.81 / Chapter 4.3 --- Interpretations --- p.87 / Chapter 4.3.1 --- Phenomenon 1: Cost of Equity and Net Cash Flows --- p.89 / Chapter 4.3.2 --- Phenomenon 2: Increased Return Variability and the US Stock Market Return --- p.92 / Chapter 4.4 --- Alternative Explanation --- p.96 / Chapter 4.5 --- Summary --- p.99 / Chapter V. --- CONCLUDING REMARKS --- p.100 / APPENDICES / APPENDIX 1. Firm Lists --- p.105 / APPENDIX 2. Estimates of CAPM Betas --- p.115 / BIBLIOGRAPHY --- p.122

Ma, Wai Yip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 75-78). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgments --- p.iii / Content --- p.iv / List of Tables --- p.vi / List of Figures --- p.viii / Chapter Chapter One --- Introduction --- p.1 / Chapter Chapter Two --- Literature Review --- p.6 / Chapter Chapter Three --- Expected Sign of variables --- p.17 / Chapter Chapter Four --- Data Description --- p.21 / Chapter Chapter Five --- Methodology --- p.24 / Chapter 5.1 --- Ordinary Least Square --- p.24 / Chapter Chapter Six --- Empirical result --- p.26 / Chapter 6.1. --- Basic model 1 --- p.26 / Chapter 6.2. --- Basic model 2 --- p.27 / Chapter 6.3. --- Comparison between Basic model 1 & Basic model 2 --- p.30 / Chapter 6.4. --- "Model with ""Design Variables""" --- p.32 / Chapter 6.5. --- "Model using ""restricted sample""" --- p.35 / Chapter 6.6. --- "Model with ""Interactive terms and design""" --- p.36 / Chapter 6.7. --- "Model with ""Interactive terms and design"" using restricted sample" --- p.40 / Chapter Chapter Seven --- Limitations and Future direction --- p.42 / Chapter Chapter Eight --- Concluding Remarks --- p.44 / Appendix One Tables --- p.46 / Appendix Two Figures --- p.62 / Appendix Three Using floor plans information to construct dataset --- p.64 / Appendix Four Implicit prices of housing attributes over time --- p.68 / Appendix Five Robustness check for the potential problem of heteroskedasticity --- p.74 / Reference --- p.75

The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions. / Financial Accounting / M. Com. (Accounting)

by Vera Hau Tsz Lai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 227-236). / ABSTRACT --- p.i-ii / ACKNOWLEDGEMENTS --- p.iii-iv / TABLE OF CONTENTS --- p.v-ix / LIST OF FIGURES --- p.x / LIST OF PLATES --- p.xi-xiii / LIST OF TABLES --- p.xiv-xvi / Chapter CHAPTER I --- INTRODUCTION --- p.1 / Chapter 1.1 --- Problem Statement --- p.1 / Chapter 1.2 --- Role of GIS in Housing Price Study --- p.3 / Chapter 1.3 --- Research Objectives --- p.4 / Chapter 1.4 --- Significance --- p.5 / Chapter 1.5 --- Methodologies --- p.6 / Chapter 1.6 --- Organization of Thesis --- p.7 / Chapter CHAPTER II --- LITERATURE REVIEW --- p.9 / Chapter 2.1 --- Introduction --- p.9 / Chapter 2.2 --- Geography of Housing --- p.10 / Chapter 2.3 --- Housing as a Research Question --- p.11 / Chapter 2.4 --- Housing Services and Housing Price --- p.12 / Chapter 2.5 --- Property Price Valuation --- p.14 / Chapter 2.6 --- Hedonic Price Function --- p.15 / Chapter 2.6.1 --- Dependent Variable - Property Price --- p.16 / Chapter 2.6.2 --- Independent Variables Affecting Housing Price --- p.17 / Chapter 2.6.2.1 --- Aspatial Factors --- p.17 / Chapter 2.6.2.2 --- Spatial Factors --- p.18 / Chapter 2.6.2.3 --- Evaluation on Importance of Parameters --- p.26 / Chapter 2.7 --- Functional Form of Hedonic Price Models --- p.33 / Chapter 2.7.1 --- Conventional Specifications --- p.34 / Chapter 2.7.2 --- Box-Cox Transformation --- p.34 / Chapter 2.7.3 --- Conventional Specifications versus Box-Cox Transformation --- p.35 / Chapter 2.8 --- Submarket Analysis and its Delineation --- p.36 / Chapter 2.9 --- Geographic Information Systems --- p.39 / Chapter 2.10 --- GIS in Real Estate --- p.39 / Chapter 2.11 --- Present Adoption of GIS in Real Estate --- p.42 / Chapter 2.11.1 --- Commercial Applications --- p.42 / Chapter 2.11.2 --- Research-wise Applications --- p.43 / Chapter 2.12 --- Hedonic Price Study with GIS --- p.43 / Chapter 2.13 --- Conclusion --- p.45 / Chapter CHAPTER III --- THE STUDY AREA AND RESEARCH METHODOLOGY --- p.47 / Chapter 3.1 --- Introduction --- p.47 / Chapter 3.2 --- Real Estate Sector in Hong Kong --- p.47 / Chapter 3.2.1 --- Importance to Local Economy --- p.48 / Chapter 3.2.2 --- Importance to Housing Production --- p.48 / Chapter 3.3 --- Urban Development and Housing in Hong Kong --- p.51 / Chapter 3.3.1 --- Land Availability and Landuses --- p.51 / Chapter 3.3.2 --- Housing and Urban Development --- p.54 / Chapter 3.3.2.1 --- Early Period of Industrialization --- p.54 / Chapter 3.3.2.2 --- Phase of Economic Restructuring --- p.55 / Chapter 3.3.3 --- Urban Renewal --- p.55 / Chapter 3.3.4 --- Comprehensive Housing Projects --- p.56 / Chapter 3.4 --- New Town Housing - Public or Private-Led --- p.57 / Chapter 3.5 --- Hedonic Price of Private Dormitory in Hong Kong --- p.61 / Chapter 3.5.1 --- Temporal Change in Property Price --- p.62 / Chapter 3.5.2 --- Spatial Variation of Property Price --- p.66 / Chapter 3.6 --- The Research --- p.68 / Chapter 3.6.1 --- Cartographic Analysis --- p.68 / Chapter 3.6.2 --- Hedonic Price Model --- p.69 / Chapter 3.6.3 --- Dependent Variable --- p.69 / Chapter 3.6.4 --- Independent Variables --- p.70 / Chapter 3.6.5 --- Chosen Functional Form in this Research --- p.72 / Chapter 3.6.6 --- Submarket Analysis in Hong Kong --- p.72 / Chapter 3.7 --- Conclusion --- p.72 / Chapter CHAPTER IV --- DATABASE CONSTRUCTIONS --- p.74 / Chapter 4.1 --- Introduction --- p.74 / Chapter 4.2 --- Data Collection --- p.74 / Chapter 4.2.1 --- Base Maps --- p.75 / Chapter 4.2.2 --- Housing Stock and its Attributes --- p.76 / Chapter 4.2.3 --- Official Statistics --- p.76 / Chapter 4.2.4 --- School Quality --- p.77 / Chapter 4.3 --- Data Input --- p.78 / Chapter 4.3.1 --- Graphical Input --- p.78 / Chapter 4.3.1.1 --- Base Maps --- p.78 / Chapter 4.3.1.2 --- Line Data --- p.78 / Chapter 4.3.1.3 --- Point/Polygon Data --- p.79 / Chapter 4.3.2 --- Attribute Data Input --- p.82 / Chapter 4.4 --- Data Editing and Conversions --- p.82 / Chapter 4.4.1 --- Graphical Input --- p.82 / Chapter 4.4.1.1 --- Standard Coverage Editing Procedures --- p.82 / Chapter 4.4.1.2 --- Specific Coverage Editing Procedures --- p.83 / Chapter 4.4.2 --- Attribute Data --- p.84 / Chapter 4.4.2.1 --- Housing Attributes --- p.84 / Chapter 4.4.2.2 --- Landuse Mix --- p.88 / Chapter 4.4.2.3 --- Socioeconomic Status --- p.91 / Chapter 4.4.2.4 --- Employment Figures --- p.91 / Chapter 4.5 --- Data Pre-processing and Manipulation --- p.93 / Chapter 4.5.1 --- Employment Potentials --- p.93 / Chapter 4.5.2 --- Socioeconomic Variables --- p.96 / Chapter 4.5.2.1 --- Interpretation --- p.97 / Chapter 4.5.3 --- School Quality --- p.107 / Chapter 4.5.4 --- Proximity Measurements --- p.110 / Chapter 4.5.5 --- Final Step of Association : Overlay Operations --- p.110 / Chapter 4.6 --- Conclusion --- p.112 / Chapter CHAPTER V --- CARTOGRAPHIC ANALYSIS --- p.114 / Chapter 5.1 --- Introduction --- p.114 / Chapter 5.2 --- Representation of Data --- p.114 / Chapter 5.2.1 --- Location of Premises --- p.114 / Chapter 5.2.2 --- Proximity --- p.118 / Chapter 5.2.3 --- School Quality --- p.118 / Chapter 5.2.4 --- Landuse Mix --- p.129 / Chapter 5.2.5 --- Employment --- p.132 / Chapter 5.2.6 --- Property Price --- p.137 / Chapter 5.3 --- Results and Discussions --- p.137 / Chapter 5.3.1 --- Temporal Variation on Housing Supply --- p.143 / Chapter 5.3.2 --- Temporal Variation on Floor Size --- p.145 / Chapter 5.3.3 --- Temporal Variation on Property Price --- p.148 / Chapter 5.4 --- Locational Variations --- p.150 / Chapter 5.4.1 --- Shift towards the New Towns --- p.150 / Chapter 5.4.2 --- Relative Importance among Districts in New Towns --- p.154 / Chapter 5.4.3 --- Pattern of Development --- p.158 / Chapter 5.4.3.1 --- Urban Core --- p.158 / Chapter 5.4.3.2 --- New Towns --- p.161 / Chapter 5.5 --- Spatial Variations on Floor Size --- p.171 / Chapter 5.6 --- Spatial Variations on Property Price --- p.176 / Chapter 5.7 --- Conclusion --- p.181 / Chapter CHAPTER VI --- STATISTICAL ANALYSIS --- p.183 / Chapter 6.1 --- Introduction --- p.183 / Chapter 6.2 --- The Data Set --- p.183 / Chapter 6.3 --- Stepwise Regression Modeling --- p.184 / Chapter 6.4 --- Correlation among Variables --- p.184 / Chapter 6.5 --- Validation of the Models --- p.186 / Chapter 6.6 --- Findings --- p.193 / Chapter 6.6.1 --- Pooled Market Results --- p.193 / Chapter 6.6.2 --- Submarket Level Analyses --- p.198 / Chapter 6.6.2.1 --- "Small-Sized, Low-Priced Flats " --- p.200 / Chapter 6.6.2.2 --- "Small-Sized, High-Priced Flats " --- p.203 / Chapter 6.6.2.3 --- "Medium-Sized, Low-Priced Flats " --- p.206 / Chapter 6.6.2.4 --- "Medium-Sized, High-Priced Flats " --- p.210 / Chapter 6.6.2.5 --- "Large-Sized, High-Priced Flats " --- p.213 / Chapter 6.7 --- Conclusion --- p.213 / Chapter CHAPTER VII --- CONCLUSION --- p.217 / Chapter 7.1 --- Summary of Findings --- p.217 / Chapter 7.1.1 --- Summary on Housing Development in Hong Kong…… --- p.217 / Chapter 7.1.2 --- Summary from Hedonic Price Models --- p.220 / Chapter 7.1.3 --- Significance of GIS --- p.222 / Chapter 7.2 --- Limitations and Recommendations --- p.222 / Chapter 7.3 --- Direction of Future Research --- p.226 / BIBLIOGRAPHY --- p.227 / APPENDICES --- p.237 / APPENDIX 1 --- p.238 / District Map of Hong Kong --- p.239 / APPENDIX II --- p.240 / List of Districts and its Components --- p.241 / APPENDIX III --- p.243 / Tertiary Planning Units (TPUs) - District Conversion List --- p.244