by Chan Shuen-Yiu & Tse Wai-Chung Steven. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 91-92.

by Yung Pui Yin Ellen. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaf 52.

by Chau Wing Hang, Amy, Tsang Tsz Hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaf 83). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.v / ACKNOWLEDGMENTS --- p.viii / Chapter / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Objective of Study --- p.1 / Chapter 1.2 --- Scope of Study --- p.1 / Chapter 1.3 --- Background on Warrant and Covered Warrant --- p.2 / Chapter 1.3.1 --- What is Warrant and Covered Warrant? --- p.2 / Chapter 1.3.2 --- Convertible Concept --- p.3 / Chapter 1.3.3 --- Purposes of Issue --- p.4 / Chapter 1.3.4 --- Dilution Effect --- p.6 / Chapter 1.3.5 --- Valuation of Warrant/Covered Warrant --- p.7 / Chapter 1.4 --- Warrant/Covered Warrant Market in Hong Kong --- p.8 / Chapter 1.4.1 --- Expiry --- p.9 / Chapter 1.4.2 --- Forms of Issue --- p.10 / Chapter 1.4.3 --- Trading Forums --- p.11 / Chapter 1.4.4 --- Underlying Securities --- p.12 / Chapter 2. --- LITERATURE REVIEW --- p.13 / Chapter 2.1 --- Binomial Tree Model --- p.13 / Chapter 2.2 --- Black-Scholes Model --- p.16 / Chapter 3. --- METHODOLOGY --- p.18 / Chapter 3.1 --- Working Procedures --- p.19 / Chapter 3.2 --- Samples --- p.20 / Chapter 3.3 --- Data Collection --- p.22 / Chapter 3.4 --- Computation of Theoretical Prices --- p.24 / Chapter 3.5 --- Black's Approximation --- p.25 / Chapter 3.6 --- Fair Value --- p.27 / Chapter 3.6.1 --- Option Pricing Models --- p.27 / Chapter 3.6.2 --- Comparison between P tw bt and P tw ba --- p.28 / Chapter 3.6.3 --- Result of Comparison --- p.29 / Chapter 3.6.3.1 --- Results on Hypothesis Testing --- p.29 / Chapter 3.6.3.2 --- Results on Regressional Analysis --- p.30 / Chapter 3.6.4 --- Justification --- p.32 / Chapter 3.7 --- Hypothesis Testing --- p.34 / Chapter 3.8 --- Assumptions In Our Study --- p.34 / Chapter 4. --- FINDINGS --- p.36 / Chapter 4.1 --- Calculation with 250-day Historical Volatility --- p.36 / Chapter 4.1.1 --- First Sub-period (Sep 1，94 - Feb 28，95) --- p.36 / Chapter 4.1.2 --- "Second Sub-period (Mar 1,95-Aug 31,95)" --- p.37 / Chapter 4.1.3 --- "Whole Study Period (Sep 1, 94-Aug 31,95)" --- p.37 / Chapter 4.2 --- Calculation with 63-day Historical Volatility --- p.39 / Chapter 4.2.1 --- "First Sub-period (Sep 1, 94 - Feb 28，95)" --- p.39 / Chapter 4.2.2 --- "Second Sub-period (Mar 1, 95 - Aug 31,95)" --- p.39 / Chapter 4.2.3 --- "Whole Study Period (Sep 1,94-Aug 31，95)" --- p.40 / Chapter 5. --- CONCLUSION AND COMMENTS --- p.41 / Chapter 5.1 --- General Comments --- p.41 / Chapter 5.2 --- Volatility --- p.42 / Chapter 5.3 --- Expectations --- p.44 / Chapter 5.4 --- Transaction Costs --- p.45 / Chapter 6. --- LIMITATIONS OF STUDY --- p.46 / APPENDIX --- p.47 / Chapter 1 --- List of Covered Warrants / Chapter 2 --- Historical Volatility Calculation of Ordinary Stock Example : New World Development Co. Ltd “017´ح / Chapter 3 --- "Black's Approximation Calculation and Hypothesis Testing Example : Morgan S - NWD War 96 ""1036""" / Chapter 4 --- "Comparison between P tw bt and P twBA Example : SG War - HKTEL War 95 ""1098"" Morgan S- NWD War 96 ""1036"" Swiss B - HLAMD War 95 “344""" / Chapter 5 --- Results on 250-Day Historical Volatility / Chapter 6 --- Results on 63-Day Historical Volatility / Chapter 7 --- "Chart - Pw vs Ptw BA Example : Morgan S - NWD War 96 “1036´ح Swiss B - HLAND War 95 ""344""" / Chapter 8 --- "Chart - Historical Volatility Example : New World Development Co. Ltd. “017´ح HSBC Holdings plc. ""005""" / BIBLIOGRAPHY --- p.83

by Chiu Mui-Ling. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 48-51). / ACKNOWLEDGMENTS --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LISTS OF TABLES --- p.vi / LISTS OF CHARTS --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / Chapter III. --- SHENZHEN STOCK MARKET --- p.16 / Historical Background --- p.16 / Membership of Shenzhen Stock Exchange --- p.18 / Types of Shares --- p.19 / A Shares --- p.19 / B Shares --- p.20 / H Shares --- p.21 / Listed Securities in Shenzhen Stock Exchanges --- p.21 / Dealing --- p.24 / Shenzhen A Index --- p.24 / Characteristics of Shenzhen Stock Market --- p.25 / Government Maintain High Control --- p.25 / Different Bodies Fight for Control --- p.26 / Issuers Undergo Complicated Process --- p.26 / Banks Frequently Change Its Role --- p.28 / Overheat Economy Impact much on Market --- p.29 / Legal and Accounting Systems are not Well-established --- p.30 / Immature Investors Misconceive the Stock Market --- p.31 / Chapter IV. --- DATA AND METHODOLOGY --- p.32 / Sample Data --- p.32 / The Data --- p.32 / Sample Period --- p.33 / Portfolio Formation --- p.33 / Methodology --- p.34 / Size Effect --- p.34 / Seasonality --- p.37 / Chapter V. --- EMPIRICAL RESULTS --- p.38 / Size Effect --- p.38 / Raw Return --- p.38 / Excess Return --- p.40 / Seasonality --- p.42 / Chapter VI. --- EXPLANATION OF THE SEASONAL EFFECT --- p.44 / Chapter VII. --- CONCLUSION --- p.46 / BIBLIOGRAPHY --- p.48 / CHART --- p.52

by Fung Mei Ling, Hon Ming Luen Katy. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 57-58). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / Chapter / Chapter I --- INTRODUCTION --- p.1 / The Market --- p.1 / The Investors --- p.2 / The Investment Tools --- p.3 / Scope of Study --- p.4 / Chapter II --- DEFINATIONS OF INVESTMENT TOOLS AND THEIR THERIORIES BEHIND --- p.7 / Fundamental Analysis --- p.7 / Technical Analysis --- p.8 / Mutual Funds --- p.11 / Market Anomaly Rules --- p.12 / """January Effect""" --- p.12 / """Weekend Effect""" --- p.13 / """Turn-of-the-Month Effect""" --- p.14 / """January Barometer""" --- p.14 / Chapter III --- METHODOLOGY --- p.16 / Approach --- p.16 / Data Collection --- p.17 / Chapter IV --- RESULTS --- p.19 / Mutual Funds --- p.19 / Market Anomaly Rules --- p.22 / Chapter V --- CONCLUSIONS --- p.27 / A Review of Economic Impacts from 1998 to 2000 --- p.27 / Comparing Performances of Mutual Funds --- p.31 / Comparing Performances of Market Anomaly Rules --- p.32 / Comparing Performances of Market Anomaly Rules and Mutual Funds --- p.34 / In the Declining Market of 1998 --- p.35 / In the Growing Market of 1999 --- p.36 / In the Stable Market of 2000 --- p.37 / Recommendations and Guidelines for the Use of Analysis Methods --- p.38 / Concluding Remarks --- p.39 / APPENDIX --- p.40 / BIBLIOGRAPHY --- p.56

Wong Chin Pang, Antonio. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 48-52). / Abstract also in Chinese. / Abstract --- p.2 / Acknowledgment --- p.4 / Chapter 1 --- Introduction --- p.7 / Chapter 2 --- Data and Methodology --- p.13 / Chapter 3 --- Univariate Analysis --- p.15 / Chapter 3.1 --- Momentum Strategies --- p.15 / Chapter 3.2 --- Contrarian Strategies --- p.17 / Chapter 3.3 --- Value Strategies --- p.18 / Chapter 3.4 --- Descriptive Statistics --- p.22 / Chapter 4 --- Anatomy of Contrarian and Value Strategies --- p.25 / Chapter 4.1 --- Control for size effect --- p.25 / Chapter 4.2 --- Control for industry effect --- p.29 / Chapter 4.3 --- Hang Seng Index Constituent Stocks --- p.33 / Chapter 5 --- Are Contrarian and Value Strategies Systematically Riskier? --- p.35 / Chapter 6 --- Fama-French's Three-Factor Model --- p.40 / Chapter 7 --- Conclusion --- p.44

by Ho Ka-Hon, Lai Chun-Yin Antony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 48-50). / ABSTRACT --- p.II / TABLE OF CONTENT --- p.IV / LIST OF TABLES --- p.VI / ACKNOWLEGEMENT --- p.VII / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- WARRANT MARKET IN HONG KONG --- p.2 / Chapter 2.1 --- Features of Options --- p.2 / Chapter 2.2 --- Derivative Securities Listed on the Hong Kong Stock Exchange --- p.3 / Chapter 2.3 --- Discussion on Covered Warrants in SEHK --- p.4 / Chapter 2.4 --- Hedging Strategies of Covered Warrants Issuers --- p.6 / Chapter 2.5 --- Regulatory Environment of Derivative Warrants --- p.6 / Chapter 3. --- WARRANT VALUATION --- p.9 / Chapter 3.1 --- Factors Affecting Warrant Price --- p.9 / Chapter 3.2 --- Put-Call Parity --- p.10 / Chapter 3.3 --- Black-Scholes Model --- p.11 / Chapter 3.4 --- Absolute Diffusion Model --- p.12 / Chapter 1.5 --- Square-Root CEV Model --- p.13 / Chapter 4. --- LITERATURE REVIEW --- p.15 / Chapter 5. --- DATA AND METHODOLOGY --- p.19 / Chapter 5.1 --- Sample Data --- p.19 / Chapter 5.2 --- Measure the Performance of Warrant Pricing Models --- p.21 / Chapter 5.3 --- Data Enhancement --- p.23 / Chapter 5.4 --- Explanatory Factors of the Pricing Errors --- p.25 / Chapter 6. --- DATA ANALYSIS --- p.27 / Chapter 6.1 --- Performance of Black-Scholes Model --- p.27 / Chapter 6.1.1 --- Data Enhancement --- p.28 / Chapter 6.1.2 --- Other Observations --- p.30 / Chapter 6.2 --- Performance of Absolute Diffusion Model --- p.31 / Chapter 6.2.1 --- Data Enhancement --- p.32 / Chapter 6.2.2 --- Other Observations --- p.34 / Chapter 6.3 --- Performance of Square Root CEV Model --- p.35 / Chapter 6.3.1 --- Data Enhancement --- p.35 / Chapter 6.3.2 --- Other Observations --- p.37 / Chapter 6.4 --- Comparison between the Warrant Pricing Models --- p.38 / Chapter 6.5 --- The Performance in Blue Chip Warrants and Red Chip Warrants --- p.40 / Chapter 6.6 --- Factors Affecting the Pricing Errors --- p.41 / Chapter 6.7 --- Comparison with Other Studies --- p.43 / Chapter 7. --- CONCLUSION --- p.46 / REFERENCE --- p.48

She, Yingni. / "August 2011." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 43-49). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Investor Sentiment Measures --- p.6 / Chapter 2.2 --- Chinese Stock Market Overview --- p.13 / Chapter 3. --- Chinese Investor Sentiment Measure --- p.16 / Chapter 3.1 --- Data and Variables --- p.16 / Chapter 3.2 --- Methodology --- p.21 / Chapter 3.3 --- Empirical Results --- p.22 / Chapter 3.4 --- Investor Sentiment Behavior --- p.24 / Chapter 4. --- Threshold Autoregressive Model --- p.29 / Chapter 4.1 --- Methodology --- p.29 / Chapter 4.2 --- Estimated Results --- p.31 / Chapter 4.3 --- Forecasting Performance --- p.36 / Chapter 4.4 --- Trading Strategy --- p.38 / Chapter 5. --- Conclusion --- p.41 / References --- p.43

In the second part of the thesis, we investigate whether ownership structure has influence to long-term stock return. We use a risk adjustment method to make it possible to compare stock return in different terms, therefore, we can use GMM method to estimate the influence of ownership structure in a panel sample set. We find that, insider ownership and institutional ownership are all significantly favorable to long-term stock return. However, the quarterly insider ownership change and quarterly institutional ownership change do not show significant influence. We also use a Fama-MacBeth approach to compare the results from GMM estimation and we find that the results are similar. / This thesis consists of two related parts. In the first part, we develop a method to extract insider ownership information from insider transaction reporting files and by combining it with quarterly institutions holding report data, we obtain quarterly ownership structure for most common stocks listed in CRSP tape. We use ownership structure and quarterly ownership change to analyze how insiders, large institutions and individual investors differ from each other in their holding preference to stock characteristics and trading behavior. We find that, these three kinds of investors have significant difference in holding preference to size, price, monthly turnover, previous 12-months return. They also show significant difference in trading behaviors. Basically, institutions are momentum trader, and are interested in "growth" stocks. Insiders are anti-momentum trader, they sell more when past return is higher and they more focus on "value" stocks. / Zhu, Honghui. / "September 2002." / Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4150. / Supervisors: Jia He; Xiaoqiang Cai. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 94-101). / 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 dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

by Lam Cham. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 75-79). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.ii / LIST OF TABLES --- p.iii / LIST OF FIGURES --- p.iv / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter CHAPTER 2: --- HISTORICAL BACKGROUND --- p.8 / Chapter 2.1 --- Financial Liberalization in Nine Asian Countries --- p.8 / Chapter 2.1.1 --- Hong Kong --- p.8 / Chapter 2.1.2 --- Korea --- p.12 / Chapter 2.1.3 --- "Indonesia, Malaysia, Singapore and Thailand - the ASEAN-4" --- p.15 / Chapter 2.1.4 --- Taiwan --- p.18 / Chapter 2.1.5 --- Japan --- p.19 / Chapter 2.1.6 --- The Philippines --- p.20 / Chapter 2.2 --- Stock Market Trend --- p.21 / Chapter CHAPTER 3: --- LITERATURE REVIEW --- p.28 / Chapter 3.1 --- Gain from International Diversification --- p.28 / Chapter 3.2 --- International Transmission Effects --- p.30 / Chapter 3.3 --- Integration of World Stock Markets --- p.31 / Chapter CHAPTER 4: --- METHODOLOGY --- p.38 / Chapter 4.1 --- Cointegration and Diversification --- p.38 / Chapter 4.2 --- Testing for Cointegration --- p.45 / Chapter CHAPTER 5: --- DATA --- p.50 / Chapter 5.1 --- MSCI Index --- p.50 / Chapter 5.2 --- Asian Funds --- p.51 / Chapter CHAPTER 6: --- EMPIRICAL RESULTS --- p.52 / Chapter 6.1 --- Unit Root Test --- p.52 / Chapter 6.1.1 --- ADF and Phillips-Perron Unit Root Test --- p.52 / Chapter 6.1.2 --- Unit Root Test with Structural Break --- p.55 / Chapter 6.2 --- Cointegration Test on Stock Markets --- p.57 / Chapter 6.2.1 --- Regional Factor Vs World Factor --- p.57 / Chapter 6.2.2 --- Integration of the Asian Markets --- p.61 / Chapter 6.3 --- Cointegration Test on the Asian Funds --- p.63 / Chapter 6.3.1 --- Weekly Results --- p.65 / Chapter 6.3.2 --- Monthly Results --- p.66 / Chapter CHAPTER 7: --- CONCLUSIONS --- p.72 / REFERENCES --- p.75