Yang, Haiqin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 98-109). / Abstracts in English and Chinese. / Abstract --- p.ii / Acknowledgement --- p.v / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Time Series Prediction and Its Problems --- p.1 / Chapter 1.2 --- Major Contributions --- p.2 / Chapter 1.3 --- Thesis Organization --- p.3 / Chapter 1.4 --- Notation --- p.4 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Framework --- p.6 / Chapter 2.1.1 --- Data Processing --- p.8 / Chapter 2.1.2 --- Model Building --- p.10 / Chapter 2.1.3 --- Forecasting Procedure --- p.12 / Chapter 2.2 --- Model Descriptions --- p.13 / Chapter 2.2.1 --- Linear Models --- p.15 / Chapter 2.2.2 --- Non-linear Models --- p.17 / Chapter 2.2.3 --- ARMA Models --- p.21 / Chapter 2.2.4 --- Support Vector Machines --- p.23 / Chapter 3 --- Support Vector Regression --- p.27 / Chapter 3.1 --- Regression Problem --- p.27 / Chapter 3.2 --- Loss Function --- p.29 / Chapter 3.3 --- Kernel Function --- p.34 / Chapter 3.4 --- Relation to Other Models --- p.36 / Chapter 3.4.1 --- Relation to Support Vector Classification --- p.36 / Chapter 3.4.2 --- Relation to Ridge Regression --- p.38 / Chapter 3.4.3 --- Relation to Radial Basis Function --- p.40 / Chapter 3.5 --- Implemented Algorithms --- p.40 / Chapter 4 --- Margins in Support Vector Regression --- p.46 / Chapter 4.1 --- Problem --- p.47 / Chapter 4.2 --- General ε-insensitive Loss Function --- p.48 / Chapter 4.3 --- Accuracy Metrics and Risk Measures --- p.52 / Chapter 5 --- Margin Variation --- p.55 / Chapter 5.1 --- Non-fixed Margin Cases --- p.55 / Chapter 5.1.1 --- Momentum --- p.55 / Chapter 5.1.2 --- GARCH --- p.57 / Chapter 5.2 --- Experiments --- p.58 / Chapter 5.2.1 --- Momentum --- p.58 / Chapter 5.2.2 --- GARCH --- p.65 / Chapter 5.3 --- Discussions --- p.72 / Chapter 6 --- Relation between Downside Risk and Asymmetrical Margin Settings --- p.77 / Chapter 6.1 --- Mathematical Derivation --- p.77 / Chapter 6.2 --- Algorithm --- p.81 / Chapter 6.3 --- Experiments --- p.83 / Chapter 6.4 --- Discussions --- p.86 / Chapter 7 --- Conclusion --- p.92 / Chapter A --- Basic Results for Solving SVR --- p.94 / Chapter A.1 --- Dual Theory --- p.94 / Chapter A.2 --- Standard Method to Solve SVR --- p.96 / Bibliography --- p.98

Wong Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 64-66). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.4 / Chapter 2 --- Data Descrition --- p.9 / Chapter 2.1 --- Definition and Notation of Some Key Variables --- p.11 / Chapter 2.2 --- Summary statistics --- p.12 / Chapter 3 --- Determinants of Annual Changes in Leverage --- p.18 / Chapter 4 --- Determinants of Leverage --- p.33 / Chapter 5 --- Summary and Conclusions --- p.41 / Chapter 6 --- Tables / Chapter 6.1 --- Table 1.1 to 1.6 --- p.43 / Chapter 6.2 --- Table 2 --- p.49 / Chapter 6.3 --- Table 3.1 to3.6 --- p.52 / References --- p.64

This dissertation explains the puzzling negative relationship between changes in stock volatility and credit spreads of corporate bonds. This relationship has been encountered in some empirical studies but has remained unexplained in the theoretical literature, which unanimously suggests the opposite relationship. This dissertation shows that this negative relationship can be produced by the dynamic endogenous asset composition of borrowing firms. On the one hand, higher asset volatility corresponds to lower future volatility of the firm's investments and lower credit spreads if the firm can reallocate resources optimally. On the other hand, short-term stock volatility corresponds to the current allocation of resources and thus increases with asset volatility. The combination of these two effects produces the negative relationship between changes in stock volatility and credit spreads. The empirical part of the dissertation shows that the relationship between changes in stock market volatility and credit spreads of long-term, high-quality corporate bonds (controlling for other variables) is negative, robust, and economically significant. Consistent with the predictions in this dissertation, the corresponding regression coefficient is a U-shaped function of the credit quality of the bonds. In addition, the dissertation shows that the relationship changes its sign in distressed market conditions and that a combination of normal and distressed market conditions can produce erroneous results.

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This dissertation concerns the development of market information technologies in the London Stock Exchange, c. 1945-1992. Based on archival research in London, Cambridge and Edinburgh, and 20 semistructured interviews with former technologists, brokers, and marketmakers, my dissertation identifies the social, technological and institutional factors that allowed dealings in bonds and equities to move off the trading floor of the Stock Exchange and onto competing electronic platforms. My dissertation utilises the history of market information technologies as an occasion for producing a multi-layered analysis of the material, social, and regulatory transformations of finance in the City of London between c. 1945 and the mid 1990s. In particular, my dissertation deals with the rise of the so-called ‘information age’ in relation to British finance. The analysis is carried out in three parts, each tackling a specific ‘myth’ on the role of information and communication technologies in contemporary finance. The first part (chapters 3-4) deals with the dematerialisation of finance, demonstrating the often ignored character of technologies, materialities and their associated expertise in the constitution of the market. The second part (chapter 5) deconstructs the concept of disintermediation by analysing the social history of broking and jobbing in post-war City of London. Specifically, this part argues that changes in financial practices amongst the membership of the Stock Exchange were neither determined by the adoption of computers nor defined by a pre-existing culture of gentlemanly capitalism. Rather, they derived from the adaptation of market participants to a changing economic and social environment. The third part of this thesis (chapter 6) engages with deregulation. In particular, it provides an account of three broad patterns of financial regulation in Britain and the emergence of the current understanding of financial markets as manageable entities. The dissertation finalises by exploring the role of ‘informational metaphors’ in mediating the practices, materialities and regulations of the London Stock Exchange.

Most of the prior research in the area of monthly regularities has been based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This thesis examines monthly calendar anomalies in the Pakistani stock market for both the Gregorian calendar and its Islamic counterpart. This is one of the first studies to investigate both calendars for monthly seasonality in one investigation on the same dataset. Empirical studies of the Pakistani stock market that have examined monthly calendar anomalies are relatively sparse when compared with investigations from other emerging markets throughout the world. Even the findings from the small number of Pakistani investigations that have examined for the presence of monthly calendar anomalies have arrived at different conclusions about the predictability of equity returns at different times within a year. Since the conclusions of these findings have been mixed, the current study undertakes further work on this topic to offer some clarity in this area; this thesis arrives at a firm conclusion about the monthly calendar anomaly. For the purpose of this thesis, both qualitative and quantitative research methods were employed. Firstly, 19 face-to-face interviews were conducted with brokers, regulators and individual investors to ascertain their views about share price regularities with regards to monthly calendar anomalies and to gain some insights about the role of investor sentiment in the Pakistani stock markets. Secondly, share returns for a sample of 106 companies listed on the KSE over the 17 year period from 1995 to 2011 were analysed to determine whether Pakistani stock markets are weak-form efficient or whether security price changes can be predicted from knowledge of the month when the return is earned; it also investigates whether there is a change in the risk (volatility) of shares in different months which might explain any pattern in returns. To answer these questions various research methods were employed. The results of the interviews suggest that most respondents believed that share prices exhibit patterns in certain months of the year. The most common pattern highlighted by the interviewees related to the month of January for the Gregorian calendar and Ramadan for the Islamic calendar. Interviewees also argued that volatility declined during the religious month of Ramadan; they attributed these changes to investor sentiment and religious duties. Overall, the results suggested that monthly calendar anomalies may be present in the market and that these are studied by investors in an attempt to earn profit. The results from the quantitative analyses supported the findings from the interviews. Initial analyses suggested that returns varied significantly during certain months which indicate that the market might not be efficient. Further, investigations for seasonality in both the mean and volatility of returns offered conflicting evidence; very little statistical evidence of monthly seasonal anomalies was identified in average returns. However, monthly patterns were present in the variance of equity price changes in Pakistan. Overall, the results confirm that whatever monthly seasonality may be present in the equity prices of Pakistani companies, it is more pronounced in the volatility data than in the mean return numbers. These findings may have useful implications for trading strategies and investment decisions; investors may look to gain from managing the risk of their portfolios due to time varying volatility documented in the findings of this thesis. Further, the results of this thesis have interesting implications for our understanding of the dynamics of equity volatility in the Pakistani stock market.

Wang, Zhuojun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 46-47). / Abstract also in Chinese.