by Chow Shun Yin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 45-46). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF TABLE --- p.iv / ABBREVIATION --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OVERVIEW OF HONG KONG STOCK OPTIONS --- p.4 / Chapter III. --- LITERATURE REVIEW --- p.6 / Chapter IV. --- METHODOLOGY AND DATA EMPLOYED --- p.10 / Test A ´ؤ Trading Volume Approach --- p.10 / Test B ´ؤ Trading Volume-Price Volatility Approach --- p.13 / Sample Selection --- p.15 / Data Collection --- p.16 / Chapter V. --- EMPIRICAL RESULTS --- p.17 / Findings --- p.24 / Discussion --- p.27 / Chapter VI. --- CONCLUSION --- p.30 / APPENDIX / BIBLIOGRAPHY

by Leung Kwok Chu, Wong Cheuk Fung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 54-55). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / ACKNOWLEDGMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Technical Analysis --- p.2 / The Characteristics and Efficiency of China's Equity Markets --- p.3 / Market Participants --- p.4 / Transaction Costs and Tradability of Shares --- p.5 / Availability of Information --- p.7 / Implication on Weak Form Market Efficiency --- p.8 / Relative Strength Index --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.12 / Chapter III. --- METHODOLOGY --- p.15 / Primary Research --- p.15 / Source of Data --- p.15 / Spreadsheet Calculation Procedure --- p.16 / Hypothesis Testing --- p.18 / The First Type of Tests --- p.18 / The Second Type of Tests --- p.19 / The Third Type of Tests --- p.20 / Chapter IV. --- RESEARCH FINDINGS --- p.21 / Abnormal Returns Obtained by Following RSI Trading Rules --- p.21 / A-shares --- p.21 / Buy signals --- p.21 / Interpretations of buy signals in A-share markets --- p.22 / Sell signals --- p.22 / Interpretations of sell signals in A-share markets --- p.23 / B-shares --- p.25 / Buy signals --- p.25 / Interpretations of buy signals in B-share markets --- p.25 / Sell signals --- p.26 / Interpretations of sell signals in B-share markets --- p.27 / Chapter V. --- ADDITIONAL RESEARCHES ON B-SHARE MARKETS --- p.30 / Findings on Additional Researches on B-share Markets --- p.30 / Interpretations of Findings on Additional Researches on B-share Markets --- p.31 / Chapter VI. --- ADDITIONAL RESEARCHES ON A-SHARE MARKETS --- p.32 / Correlation between Abnormal Return and Volume Turnover --- p.33 / Findings on Correlation between Abnormal Return and Volume Turnover --- p.33 / Interpretations of Findings on Correlation between Abnormal Return and Volume Turnover --- p.33 / Correlation between Abnormal Return and Market Value --- p.34 / Findings on Correlation between Abnormal Return and Market Value --- p.34 / Interpretations of Findings on Correlation between Abnormal Return and Market Value --- p.35 / Chapter VII. --- CONCLUSIONS --- p.37 / Chapter VIII. --- LIMITATIONS --- p.39 / Chapter IX. --- FURTHER STUDIES RECOMMENDED --- p.42 / APPENDIX --- p.44 / BIBLIOGRAPHY --- p.54

Ng Wing-kam. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 54-55). / Abstracts in English and Chinese. / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- DATA AND TECHNICAL TRADING RULES --- p.4 / Data / Technical Trading Rules / RSI / MACD / Chapter THREE --- EMPIRICAL RESULTS --- p.10 / Sample Statistics / Technical Trading Rules (Without Transaction Cost) / MACD / RSI / Technical Trading Rules (With Transaction Cost) / MACD / RSI / Chapter FOUR --- CONCLUSION --- p.37 / TABLES --- p.40 / BIBLOGRAPHY --- p.54

Master of Commerce - Accounting There are 1 files which have been withheld at the author's request. / Since the identification and documentation of a day-of-the-week effect, it has captured imagination of the investing public and the attention of researchers. Indeed a significant amount of research has been dedicated towards the day-of-the-week effect. Until recently, the results of such research were consistent in that the evidence seemed to indicate that a day-of-the-week effect may indeed exist throughout the world. More recent studies have, however, produced different results and a second body of evidence is developing which indicates that the day-of-the week effect is dwindling. Attempts by researchers to attribute the day-of-the week effect to the settlement practices of various exchanges have met with limited success. This study argues that one would expect traded prices on an exchange to incorporate an adjustment for the delay between transacting and settlement. A model is formulated to adjust the mean daily returns on the exchange for the particular exchange’s settlement practice. This model is tested against historic price data from the Johannesburg Stock Exchange. The evidence presented does not support the notion that the traded prices are adjusted for the delay between the transaction and the settlement, the overall conclusion is that the settlement effect may represent a Johannesburg Stock Exchange inefficiency, though the size and significance of the effect has decreased in recent times

Projecto realizado na Galp Energia, orientado pelo Engenheiro Alexandre Lencastre / Mestrado Integrado. Engenharia Industrial e Gestão Engenharia Industrial e Gestão. Faculdade de Engenharia. Universidade do Porto. 2011

Tese de mestrado integrado. Engenharia Industrial e Gestão. Universidade do Porto. Faculdade de Engenharia. 2009

This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore and Malaysia markets are globally integrated. Since financial data is found to show persistence in volatility, we model the return generating process in a generalized autoregressive conditionally heteroskedastic (GARCH) framework that takes into consideration changing volatility. For comparison purposes, OLS and Time-Deformation models are included. The study found delistings to decrease firm value, the size of which is related to how actively the stocks were previously traded on the foreign stock exchange. Risk levels increased following delistings. Nevertheless, thinly traded stocks showed significant changes in neither firm value nor riskiness. Further evidence of new listings to increase firm value was noted. Consistent with the political motive hypothesis, delisted stocks showed an increase in post-event volume, but however, lost relative liquidity compared with other stocks. While all portfolios considered show evidence for existence of conditional heteroskedasticity, comparison with standard OLS event-study results yields similar conclusions, although the return generating models with GARCH errors result in lower abnormal return variances. As for the time-deformation model, trading volume was found to be a good proxy for rate of information flow only for smaller capitalized stocks. Correlation and regression analyses showed that the Singapore and Malaysia markets are integrated to some degree with the international markets, such that a major delistings event between both markets did not change the pricing of risk in these markets.

This research contributes to the much-debated literature existing on the relationship between the economy, merger and acquisitions (M&A), and investors’ behaviour by empirically examining the relationship between aggregate M&A transactions, Real GDP and the stock market in the top nine countries with respect to M&A activity globally from the period 1999-2018. Interestingly, according to the cross-sectional dependence and slope heterogeneity tests conducted, the research finds that when a specific country's stock market, Real GDP or M&A activity is affected or influenced in some way, this may also have an affect or influence on the other countries considered in this research as well. Each of the nine countries have some common economic characteristics. Additionally, each country has its system with reference to how the stock market index(s), economic activity and M&A activities influence each other and operate individually. This indicates that an economic relationship between the variables in one country may not be replicated by the others. Furthermore, in a country-by-country causality analysis using the Toda and Yamamoto (1995) approach, the research finds considerable evidence in support of the behavioural school of thought where investors’ behaviour and M&A activity seem to influence each other. Out of the nine countries investigated, six countries support the behavioural school of thought, i.e., show strong to moderate causality between M&A activity (number or value) and stock market price index. On the other hand, with reference to the neoclassical theory, surprisingly, there seems to exist a relationship between M&A activity and economic activity where M&A activity (number or value) leads economic activity in two out of the nine countries investigated. Finally, the research also suggests that economic activity seems to have an impact on how investors behave in six out of the nine countries investigated.

This study demonstrates that financial analysts significantly affect short-term stock prices, by examining how non-accounting information particularly contained in analysts' forecasts contributes to the fluctuation of future stock returns. If current non-accounting information of future earnings is more unfavourable or more volatile, we could observe a larger shift in the current stock return. The empirical evidence strongly supports these theoretical predictions that stem from the combination of the accounting version of Campbell-Shiller model (Campbell and Shiller (1988) and Vuolteenaho (2002)) and Ohlson????s information dynamics (1995). In addition, the results are also valid for measures of both systematic and idiosyncratic volatilities.

We employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses a wide variety of thirteen market design features. In addition, we investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth deciles of traded value. Our findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) unequivocally reduce effective spreads. In contrast, a fully transparent limit order book revealed to brokers, the presence of a market maker, or the mixture of execution systems present on the LSE sharply increase effective spreads in both thickly and thinly-traded stocks. The effect of a physical trading floor is statistically significant but relatively small; it increases effective spreads slightly for thickly-traded firms, and reduces them for thinly-traded stocks. The findings for price impact are the same with three exceptions. First, the presence of a trading floor increases costs, dramatically so for thinlytraded stocks. Second, a fully transparent limit order book for brokers raises price impact for thickly traded stocks, but lowers price impacts for thinly traded firms. Third, in thinly-traded stocks, London???s hybrid market decreases price impact, and in thickly-traded stocks, crowd trading on the NYSE and full transparency to investors decrease price impact. Finally, the results for realised spread are essentially the same as those for effective spread, with the exception that the effect of the presence of a trading floor is to reduce realised spreads. Overall, the London Stock Exchange is the highest execution cost market, and the NYSE is the lowest. This research includes a market-specific study of the effect on execution cost of the Liquidity Provider of Euronext Paris. Euronext Paris affords a natural experimental research design because a third of firms have Liquidity Providers and two thirds do not. Results indicate quoted spreads, effective spreads and realized spreads are significantly affected by the presence of a Liquidity Provider, but price impacts are not. On the one hand, this suggests that the thickly-traded stocks where the Liquidity Providers are prohibited have sufficient liquidity in their absence. On the other hand however, liquidity providers on Euronext Paris reduce effective and realised spreads in essentially all stocks. This finding suggests that the limit order book refreshes much more quickly after developing an imbalance of large size orders when Liquidity Providers can facilitate other liquidity suppliers in assessing picking off risk. The Liquidity Provider increases quoted spreads for thickly-traded firms from the first three traded value deciles while reducing quoted spreads for the lower deciles.