A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Finance and investment. Johannesburg, 2015 / A pairs trading strategy is a market neutral trading strategy that tries to make a profit by making use of inefficiencies in financial markets. In the equity pairs trading context, a market neutral strategy, is a strategy that hedges against both market and sector risk. According to the efficient market theory in its weak form, a pairs trading strategy should not produce positive returns since the actual stock price is reflected in its past trading data. The main objective of this paper is to examine the performance and risk of an equity pairs trading strategy in an emerging market context using daily, weekly and monthly prices on the Johannesburg Securities Exchange over the period 1994 to 2014. A bootstrap method is used determine whether returns from the strategy can be attributed to skill rather than luck. / MT2016

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / The subject of this study posits the profitability of an investment strategy focused on high-dividend yielding securities from the South African stock market over the period of 10 years from 2002 to 2012. The study follows an expected dividend yield model, similar to the model proposed by Hsu and Lin (2010), for the construction of a high-dividend yielding portfolio. Financial data of listed companies’ dividends and other financial information is used to estimate these expected current dividend yields by employing multiple regression analysis. It is suggested that these expected yields better reflect companies’ future profitability than traditional current dividend yields. The results of the study show that the performance differences between the portfolios based on the expected dividend yield model and the benchmark portfolios are significant; however the tests of the model suggest that the model is not a good fit for the data.

A 50% dissertation presented in partial fulfilment of the requirements for the degree of Master of Commerce at the University of Witwatersrand. / Information asymmetry creates a gap between management’s perception of the firm’s value and the market value of the firm. It is thought that management engage in information signalling activities in order to close the gap created by information asymmetry. There is a need to understand why management engage in their chosen transactions as this will provide investors with insight into market activities, as well as allow for more accurate investment strategies. While research is available on the market’s reactions to signalling events, the problem is whether management’s intentions have been correctly interpreted by the market. The starting point to gaining this understanding is to ask the question: What signals do management send when they issue and repurchase shares? This study attempts to answer this question by investigating whether companies listed on the Johannesburg Stock Exchange (JSE) issue shares because management perceive their market values to be overvalued and repurchase shares because their market values are undervalued. For the period 1 January 2003 to 31 December 2012, a total of 295 share issue announcements are considered for 102 companies; and a total of 183 share repurchase announcements are considered for 83 companies. The results of this study reveal that managerial equity market timing may exist in the presence of excess returns, where management are better able to predict returns in advance than the market. However, there is also evidence suggesting share repurchases are made to return excess cash to shareholders and issues and repurchases decisions are linked to capital structure planning. The fact that there are other potential reasons for share issues and repurchases, means that the market must be able to determine what the real intentions of management are when shares are issued and repurchased; and hence determine whether their intentions suggest equity market mispricing.

Thesis (M.M.(Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016 / Co-location on the JSE took place on the 14th of May 2014. This dissertation looks at the impact this event has had on the market. In order to measure the effects of colocation, market quality factors are examined before and after the event to see whether there were any significant changes. A regression is then undertaken to see the correlation between co-location, liquidity and volatility. Our results suggest that colocation benefits market liquidity but we are unable to assess the relationship with volatility. This means that the growing liquidity in the market can be used to attract more institutions and firms wishing to run trading algorithms and strategies. Trades originally meant for dark pools can be now traded on the JSE co-location servers. By moving trades from dark pools to co-location servers at the JSE and encouraging institutions to use these facilities, transparency can be increased. Exchanges should implement kill switches if it is apparent that they are being impaired or flooded with erroneous orders. The deployment of kill switches, circuit breakers and other system compliance will improve investor confidence and market stability. Subsequent research can lead to better understanding by investigating the correlation between colocation and volatility. / MT 2018

Master of Science / Department of Statistics / Michael Higgins / The amount of data generated from stock market trading is massive. For example, roughly 10 million trades are performed each day on the NASDAQ stock exchange. A significant proportion of these trades are made by high-frequency traders. These entities make on the order of thousands or more trades a day. However, the stock-market factors that drive the decisions of high-frequency traders are poorly understood. Recently, hybridized threshold clustering (HTC) has been proposed as a way of clustering large-to-massive datasets. In this report, we use three months of NASDAQ HFT data---a dataset containing information on all trades of 120 different stocks including identifiers on whether the buyer and/or seller were high-frequency traders---to investigate the trading patterns of high-frequency traders, and we explore the use of HTC to identify these patterns. We find that, while HTC can be successfully performed on the NASDAQ HFT dataset, the amount of information gleaned from this clustering is limited. Instead, we show that an understanding of the habits of high-frequency traders may be gained by looking at \textit{janky} trades---those in which the number of shares traded is not a multiple of 10. We demonstrate evidence that janky trades are more common for high-frequency traders. Additionally, we suggest that a large number of small, janky trades may help signal that a large trade will happen shortly afterward.

One of the sharpest distinctions among corporate governance systems is between communitarian and contractarian governance systems. At the core of this distinction is corporate ownership. Ownership in Japanese governance system, a typical communitarian governance system, used to be quite stable. However, many Japanese firms experience significant ownership change in recent decades. Despite numerous studies on the debate about change and continuity of communitarian governance system, there is a lack of scholarly efforts on why some firms experience significant change of corporate governance while others do not. Besides, past research predominantly views ownership as an exogenous factor in determining firm outcomes and suggests that it is increasing transactional ownership and declining relational ownership that facilitate corporate governance reform. Nonetheless, we have limited understanding of what triggers change of ownership from relational to transactional shareholders in the first place. / To fill these research gaps, my dissertation adopts symbolic interactionism perspective to explain ownership regime change, which happens when a firm owned by relational shareholders becomes dominantly owned by transactional shareholders. It is an unusual phenomenon in communitarian corporate governance system where ownership is more of a symbolic representation of the underlying social relationships between a firm and its shareholders. The central premise is that certain corporate actions undertaken by a firm may violate the shared meanings underlying communitarian governance system, which triggers a higher likelihood of ownership regime change. With a sample of 24910 firm-year observations from 1990 to 2010 in Japan, I demonstrate that downsizing, hostile takeover, and business relationship termination undertaken by a firm affect the likelihood of ownership regime change, which is moderated by corporate actions conforming to communitarian meanings (e.g. minority shareholding, new alliance formation) and the frequency of corporate actions against shared communitarian meanings at the organizational field level. / This dissertation sheds new lights on corporate governance research by providing an alternative view to explain the antecedents of ownership regime change in communitarian governance system. By adopting a symbolic interactionism perspective, it enriches our understanding of the realm of meanings underlying corporate governance system as well as the interactions between shareholders and firms. Besides, it goes beyond previous feature-oriented approach in corporate governance research by illustrating how salient corporate actions, as events in shareholders’ view, can trigger profound change of corporate governance structure. / 儘管許多文獻曾探討過社群治理體系的變化和沿用，管理學界依然缺乏有關企業經歷重大公司治理變化的成因研究。過往研究大多假設在社群情境裡，外國投資者的增加會導致公司治理變化；然而，這種由外國投資者主導的變化忽略了原來本地關係型股東在公司治理中的角色。此外，股權結構一直被理所當然的視為公司治理變革的外因，卻對觸發股權變動的成因所知甚少。 / 為了彌補這個研究缺口，本文以象徵互動論去解釋社群情境下的股權變動。股權不僅作為公司治理的控制機制，同樣作為企業與股東間社會關係的象徵。本文的中心前提是：企業引起的事件可能會違犯了社群治理體系中的蘊含的共同意義，因此損害了企業與關係型股東的關係，導致更大機會出現關係型股東出售股權予外國投資者。本文以1990年至2010年的於日本上市的工業企業為研究樣本，結果發現企業緊縮和敵意併購會增加發生股權變動的機會；然而，當企業頻繁地進行一些遵從社群治理角度的行為，以及當這些違犯社群共同意義的行為在社群當中愈見頻繁，企業事件對股權變動的影響將減弱。 / 本文對公司治理研究的貢獻在於從另一角度去解釋股權變動的成因。從象徵互動論出發，本文增加了對公司治理體系中蘊含的意義，以及企業與股東交互的理解。此外，不同於以往側重於公司治理特徵的研究，本文著重研究公司的事件如何最終導致此公司治理架構的變化。 / Chen, Xing. / Thesis Ph.D. Chinese University of Hong Kong 2015. / Includes bibliographical references (leaves 105-120). / Abstracts also in Chinese. / Title from PDF title page (viewed on 09, September, 2016). / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only.

This study examines the characteristics of the collapse of the stock market and the foreign exchange market in some Asian countries during the 1997 Asian Financial Crisis. The interaction of these two markets during the crisis period is also studied. The method used to detect and date-stamp the timeline of the collapse is the recursive regression approach proposed in Phillips, Shi, and Yu(2015a,b). Tests are conducted on a time series of logged real stock indices and real exchange rate against the US dollar. The dataset includes information about Hong Kong, South Korea, Thailand, Malaysia, Singapore, and Taiwan. Great depreciation periods were detected in the foreign exchange markets of all these countries. And the negative bubbles in the stock markets are only detected in Thailand, South Korea, Malaysia, and Singapore due to different reasons. Moreover, the order of the collapse in these two markets is different for different countries. For example, bubbles appear earlier in the stock markets than the start of the great depreciation period in the foreign exchange markets in Thailand, South Korea, and Malaysia, whereas crashes emerge in the two markets at the same time in Singapore. The order of the collapses occurring in the two markets suggests the transmission direction. Therefore, we find that the transmission mechanism between these two markets is different for different countries and is also different from that during the non-crisis period, as suggested by previous works using the traditional Granger causality test. / 本文研究主要著眼於1997亞洲金融危機中部分亞洲國家股票市場和外匯市場在暴跌中所表現出的泡沫化特點，同時對這兩個市場變化的聯動關系進行了討論。本文采用Phillips, Shi和Yu提出的循環回歸方法對市場中是否存在泡沫以及泡沫形成和破裂的時間進行了判斷和分析。本文的研究對象為經過通貨膨脹調整的香港、韓國、泰國、馬來西亞、新加坡和臺灣的股票指數（取對數）以及這些地區的貨幣對美元的實際匯率。在所有上述經濟體中，對美元匯率都呈現正泡沫，這意味著短期內貨幣呈現較大程度貶值。然而代表股市暴跌的負泡沫只出現在了韓國、泰國、馬來西亞和新加坡，這些負泡沫亦產生於不同的原因。同時，不同國家股市和匯市的泡沫產生順序也不盡相同：在韓國、泰國和馬來西亞，股市先於匯市產生負泡沫；而在新加坡，股市和匯市的泡沫同步產生。由於泡沫產生的時間先後順序可以為兩個市場的變動提供因果關系的證據，所以我們認為在上述亞洲經濟體中，股市和匯市變動的因果關系也不相同。我們也針對上述經濟體中股市與匯市變動的因果關系提出了與之前已有研究的不同意見。 / Zhu, Jinhui. / Thesis M.Phil. Chinese University of Hong Kong 2015. / Includes bibliographical references (leaves 28-29). / Abstracts also in Chinese. / Title from PDF title page (viewed on 14, September, 2016). / Detailed summary in vernacular field only.

by Cheung Wai-Lam, William. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 93-96). / Chapter chapter 1: --- introduction / Chapter 1.1 --- INTRODUCTION --- p.1 / Chapter 1.2 --- OBJECTIVES AND SCOPE --- p.2 / Chapter 1.3 --- STRUCTURE OF REPORT --- p.3 / Chapter 1.4 --- CHAPTER SUMMARY --- p.5 / Chapter chapter 2: --- decision support systems (dss) / Chapter 2.1 --- THE DECISION MAKING PROCESS --- p.6 / Chapter 2.2 --- DEFINITION OF DSS --- p.8 / Chapter 2.3 --- STRUCTURE OF DSS --- p.12 / Chapter 2.3.1 --- Users --- p.12 / Chapter 2.3.2 --- Database --- p.12 / Chapter 2.3.3 --- Model Base --- p.14 / Chapter 2.4 --- CHAPTER SUMMARY --- p.15 / Chapter chapter 3: --- dss for stock evaluation / Chapter 3.1 --- STOCK VALUATION: CAPM vs APT --- p.16 / Chapter 3.2 --- DSS FOR STOCK INVESTMENT --- p.21 / Chapter 3.3 --- THE PROPOSED STOCK EVALUATION DSS --- p.23 / Chapter 3.4 --- CHAPTER SUMMARY --- p.26 / Chapter chapter 4: --- analyticheerarchy process (ahp) / Chapter 4.1 --- WHAT IS AHP --- p.27 / Chapter 4.2 --- AN EXAMPLE: PLANT LOCATION SELECTION --- p.27 / Chapter 4.3 --- COMPUTATION PROCESS OF AHP / Chapter 4.3.1 --- Notations --- p.35 / Chapter 4.3.2 --- Principal Eigenvector --- p.35 / Chapter 4.3.3 --- Eigenvalue --- p.36 / Chapter 4.3.4 --- Consistency Ratio --- p.36 / Chapter 4.4 --- CHAPTER SUMMARY --- p.37 / Chapter chapter 5: --- an ahp model for stock evaluation / Chapter 5.1 --- ALTERNATIVES FOR STOCK EVALUATION --- p.39 / Chapter 5.2 --- THE AHP MODEL FOR STOCK SELECTION --- p.41 / Chapter 5.3 --- EXPLANATIONS AND JUSTIFICATIONS FOR PROPOSED HIERARCHY --- p.43 / Chapter 5.3.1 --- Level1 --- p.45 / Chapter 5.3.2 --- Level2 --- p.45 / Chapter 5.3.3 --- Level3 --- p.46 / Chapter 5.3.4 --- Level4 --- p.48 / Chapter 5.3.5 --- Level5 --- p.49 / Chapter 5.3.6 --- Level6 --- p.60 / Chapter 5.4 --- CHAPTER SUMMARY --- p.61 / Chapter chapter 6: --- the development of iris: a prototype / Chapter 6.1 --- SYSTEM FLOWCHART --- p.63 / Chapter 6.2 --- PROGRAM SPECIFICATION --- p.65 / Chapter 6.2.1 --- File Maintenance Module --- p.65 / Chapter 6.2.2 --- Hierarchy Setup --- p.65 / Chapter 6.2.3 --- Eigenvector Computation --- p.67 / Chapter 6.2.4 --- Overall Weight Computation --- p.67 / Chapter 6.3 --- PROTOTYPE OPERATION --- p.67 / Chapter 6.4 --- CHAPTER SUMMARY --- p.79 / Chapter chapter 7: --- user evaluationof model and prototype / Chapter 7.1 --- METHODOLOGY OF EVALUATION --- p.82 / Chapter 7.1.1 --- Participants --- p.82 / Chapter 7.1.2 --- Stock Candidates --- p.83 / Chapter 7.1.3 --- Stock Data --- p.83 / Chapter 7.1.4 --- Process of Model and Prototype Evaluation --- p.84 / Chapter 7.2 --- FINDINGS --- p.85 / Chapter 7.2.1 --- Structure the Stock Evaluation Process --- p.86 / Chapter 7.2.2 --- Time-consuming --- p.87 / Chapter 7.2.3 --- The Consistency Ratio --- p.87 / Chapter 7.2.4 --- Reconsideration of Factors --- p.87 / Chapter 7.2.5 --- Precise Amount Available --- p.88 / Chapter 7.2.6 --- Users Forced to Considered All Factors --- p.88 / Chapter 7.3 --- CONCLUSION OF EVALUATION --- p.89 / Chapter 7.4 --- CHAPTER SUMMARY --- p.90 / Chapter chapter 8: --- summary and conclusion / Chapter 8.1 --- REPORT SUMMARY --- p.91 / Chapter 8.2 --- CONCLUSION --- p.91 / references --- p.93 / appendix --- p.97

Au Yeung Kin Cheong Dennis and Leung Koon On Albert. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 128-131.

by Kei Man Keung, Tong Suk Yi. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 35-39). / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE CHINESE CAPITAL MARKET --- p.6 / Chapter III. --- DATA AND METHODOLOGY --- p.10 / Cases Description --- p.10 / Event 1: Hong Kong Handover (1 July 1997) --- p.11 / Event 2: Zhu Rongji Elected the Prime Minister (March 1998) --- p.11 / Event 3: U.S.- China Summit (25 June 1998) --- p.12 / Event 4: The Chinese Embassy Bombingin Yugoslavia (8 May 1999) --- p.13 / Event 5: China's WTO Entry (15 November 1999) --- p.13 / Event 6: Macau Handover (20 December 1999) --- p.14 / Three Models --- p.15 / Chapter IV. --- EMPIRICAL RESULTS --- p.20 / Chapter V. --- CONCLUSION --- p.26 / APPENDIX --- p.28 / BILIOGRAPHY --- p.35