Shi, Yang. / Thesis submitted in: November 2007. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background and Literature Review --- p.4 / Chapter 3 --- Data and Methodology --- p.10 / Chapter 3.1 --- Data Description --- p.10 / Chapter 3.2 --- Methodology --- p.13 / Chapter 3.2.1 --- Univariate analysis --- p.14 / Chapter 3.2.2 --- Regression approach --- p.15 / Chapter 4 --- Result --- p.17 / Chapter 4.1 --- Univariate analysis --- p.17 / Chapter 4.1.1 --- Output change --- p.18 / Chapter 4.1.2 --- Profitability change --- p.19 / Chapter 4.1.3 --- Efficiency change --- p.22 / Chapter 4.1.4 --- Leverage change --- p.24 / Chapter 4.2 --- Multivariate analysis --- p.25 / Chapter 5 --- Conclusion --- p.28 / Tables 1-6 --- p.30 / Bibliography --- p.43

Wang, Xiaolei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 34-39). / Abstracts in English and Chinese. / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5 / Chapter 2.1 --- Identification Criteria --- p.7 / Chapter 2.2 --- Identification Results --- p.8 / Chapter Chapter 3. --- Data --- p.10 / Chapter 3.1 --- Data Issue for Chapter 4 --- p.10 / Chapter 3.2 --- Data Issue for Chapter 5 --- p.12 / Chapter 3.3 --- Data Issue for Chapter 6 --- p.12 / Chapter Chapter 4. --- Examination of AFE --- p.13 / Chapter 4.1 --- Definition of AFE and MAAFE --- p.13 / Chapter 4.2 --- Examination of MAAFE --- p.14 / Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15 / Chapter Chapter 5. --- Examination of AFD --- p.18 / Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22 / Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23 / Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26 / Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28 / Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30 / Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31 / Chapter Chapter 7. --- Conclusions --- p.32 / References --- p.34 / Appendix Table I to Table XVI --- p.40-55 / Figure I to Figure VI --- p.56-61

This study examines the performance of recently introduced passively-managed exchange-traded hedged funds (HETFs). Using data that cover the period 2008 to 2017 of all available HETFs under global macro and long-short classifications with sufficient number of observations, the study provides the most complete and update measure and documentation of the performance of these two fund categories. Little research has been done on HETFs' performance in despite of the rapid growth and expected future expansion of their market sizes, since the introduction of HETFs expands for ordinary investors investment opportunity set that were only available to high net wealth individuals and institutions. Using a simple 3-three factor model including equity, bond and volatility factors, it shows long-short HETFs cannot closely follow the returns of their corresponding indexes as global macro HETFs. By using Fung and Hsieh's (2004) 7-factor model, and Edelman, Fung and Hsieh's (2012) revised 8-factor model, significant negative alphas are found for strategy portfolios. The relatively poor performance of the HETFs can be attributed to their high expense ratio and their failure to closely track the benchmark index.

Abstract This thesis analyses the stock market synchronicity of 34 emerging markets and compares the findings with seven developed markets. The study uses weekly stock return data and the final dataset includes approximately 20.8 million weekly observations for 40,014 firms across the world. Morck et al. (2000) are among the first to introduce the topic of stock market synchronisation and argue that stock markets in economies with high per capita GDP move in a relatively unsynchronised manner over time, in contrast to stock prices in low per capita GDP economies. They also suggest that stock synchronicity is associated with macroeconomic indicators including rule of law, inflation, corruption and geographical size. In addition, Skaife et al. (2006) propose a further measure of stock synchronicity based on the proportion of zero returns and argue that the zero-return measure is a superior measure of stock market co-movement. The study uses both measures proposed by Morck et al. (2000) and one measure proposed by Skaife et al. (2006) for synchronicity analysis and extends the analysis to cover a ten year period, a larger sample of shares and more recent measures of country specific characteristics. It is found that stock markets in emerging economies are more synchronous than in developed economies over the sample period using the classical measure. It is also found that over the 10-year study period the synchronicity measure is stationary. There is evidence of a statistically significant negative correlation between stock synchronicity and both government accountability and corruption for the emerging markets using the cross-sectional analysis. The R-square measure of stock synchronicity averages 0.091 for the emerging markets and 0.045 for the developed economies, suggesting that higher stock price co-movement is evident in emerging economies. Further, there is a statistically significant positive correlation between the R-square measure and both corruption and inflation. The study also uses the zero-return measure of stock synchronicity suggested by Skaife et al. (2006). It is found that the zero-return measure for emerging economies is higher than for developed economies. Surprisingly, China and the S&P 500 group of companies exhibit the lowest values for the zero-return measure during this period, which is inconsistent with the classical measure and the R-square measure. Further, panel data analysis shows that GDP per capita and trade openness have a strong effect on the zero-return measure. The Pearson correlation and Spearman rank correlation coefficient indicate that the classical measure and the R-square measure are positively correlated and appear to capture similar aspects of the markets in the study, which is also consistent with cross-sectional analysis results. In contrast, the zero-return measure shows either insignificant or negative correlation with the classical measure and the R-square measure for most sub-period and full period analysis. Finally, there is evidence that emerging stock markets are more synchronous over time than in developed financial markets. It is found that common-law country stock synchronicity is lower than in civil-law countries or post-communist countries using the classical measure and the R-square measure.

This thesis examines the characteristics of market microstructure on the Chinese stock exchanges (the Shanghai Stock Exchange and the Shenzhen Stock Exchange ) Analysis is based on using intraday 5-minute data covering a three-year period (2000 to 2002). The study focuses on empirical analysis and statistical testing of the Chinese Stock Market in three parts. Overall, the study suggests that the determinant of information asymmetries, through time and across traders, plays a key role in generating observed liquidity variations. The observed results are contradictory to the findings of Lamoureux and Lastrapes (1990) but in accordance with those of Rahman , Lee and Ang (2002). / Doctor of Philosophy (PhD) (Economics and Finance)

本論文研究目標為：1. 描述台灣股票市場中訂單簿（order book）的若干特徵。2. 分析訂單流 (order flow) 與訂單簿間交互作用的均衡關係。 3. 探討流動性消耗者與流動性提供者如何進出市場而維持市場機能。 本研究資料來自台灣證券交易所。台灣股市的市場結構迥異於世界其他大部分的市場，採取自動化、間斷時間 (auto-electronic, periodic call) 的撮和方式：單子全部集合在交易所的電腦系統中，依照價格優先、時間優先的原則，每隔45至60秒批次執行撮和。Handa及Schwartz (1996年) 指出，這種市場結構和其他連續撮和的市場有著根本上的不同，尤其是訂單流的匯總方式與市場結清價的形成過程，但目前較少有研究提及。 在過去的文獻中，1995年Biais、Hillion及Spatt以巴黎股市中CAC 40指數的成分股為樣本，首開訂單流與訂單簿間交互作用的研究。他們直接觀察並描繪訂單在各價位的分佈情形，發現當買賣價差 (bid-ask spread) 比較大或訂單簿比較薄（亦即市場流動性較差）時，接下來會有比較多的限價單(limit orders)進場提供流動性；相反地，當spread比較小的時候，接下來會有比較多的市價單(market orders)進場消耗流動性。雖然他們有注意到買賣單、限價單、市價單對價格推升或壓低的作用，但對於引發這些變化的因素卻沒有進一步的闡釋。 1998年，Handa、Schwartz及Tiwari清楚地指出，短暫價格波動 (short-term volatility) 在促進市場達到流動性均衡方面扮演關鍵的角色。由於有基於流動性動機而進場的投資人，此時市價單與限價單成交所造成的短暫價格波動正好補償限價單交易者所面臨的資訊不對稱風險，吸引限價單進場並提供流動性；而有立即性(immediacy)需求的投資人就會下市價單而消耗流動性。1999年，Foucault把Handa等人的推論發展為賽局模型，強化下單決策與價格形成的理論，並建議以訂單流的組成成分進行實證。 這些理論在2000年Ahn、Bae和Chan發表的研究中獲得實證的支持。該文以市場深度差作為市價單限價單組成成分的代理變數，首先驗證短暫價格波動的確是使市場達流動性均衡的重要因素：當價格向上波動，將吸引限價單流入市場提供流動性；而流動性的增加將減緩價格的波動。並進一步分析價格形成過程，發現若價格波動由賣方引發，則限價賣單為流動性提供者；若價格波動來自買方，則限價買單為流動性提供者。 本研究不同於前述研究之處，其一在於台灣股票市場結構的不同。因為所有的單子，不論是新進入或殘留的、不論是買還是賣，全部都集合在電腦系統中等待撮和，因此限價單不見得是流動性提供者，市價單也不見得是流動性消耗者。其二在於直接觀察訂單分佈情形，比Biais等人更深入研究訂單變化、比Ahn等人更清楚地分析變化的過程。 本論文將市場中的單子區分為新委託單(new orders)、殘留單(stale orders)及成交單(executed orders)三大類，取得每個撮和時點前、後買賣雙方在各價位的分佈和變化情形。結果發現，大部分的新委託單並沒有立即成交（約40%沒有立即成交）；成交單中殘留單與新委託單成交的比例在任何時間區間都遠高於新委託單互相成交的比例。也就是說，殘留單對市場流動性的均衡扮演關鍵的角色。

Thesis (Ph. D.)--University of Hong Kong, 2007. / Title proper from title frame. Also available in printed format.

<p>There have been countless empirical studies conducted to test the validity of the Capital Asset Pricing Model（CAPM）since its naissance. However, few have considered the Chinese Stock Market. The purpose of this paper is to test the CAPM to see if it holds true in the Shanghai Stock Exchange (SSE). We use weekly stock returns from 100 companies listed on the SSE during 2000.1.1 to 2005.12.31. Black, Jensen and Scholes (1972) (time-series test) and Fama and MacBeth (1973) (cross-sectional test) methods were used to test the CAPM.</p><p>We found that the excepted returns and betas are linear related with each other during the entire period of 2000.1.1 to 2005.12.31, which implies a strong support of the CAPM hypothesis.</p><p>On the other hand, as the CAPM hypothesizes for the intercept, is it should equal zero and the slope should equal to the average risk premium. However, the results from the test refute the above hypothesizes and offer evidence against the CAPM.</p><p>According to the findings of the empirical test, we conclude that the Capital Asset Pricing Model does not give a valid description of the Chinese Stock Market during 2000.1.1 to 2005.12.31.</p>

<p>The main purpose of this thesis is to investigate what is the optimal futures-spot arbitrage strategy for China‘s stock index futures investment. Specifically, Index replication method and no-arbitrage pricing model are examined. We compare the different combinations of ETFs portfolio in mainland China with W.I.S.E-CSI 300 ETF in Hong Kong in three aspects including liquidity level, correlation of ETFs with underlying index, and tracking error of the replication methods. Then, we add several new parameters into interval pricing model to obtain a more accurate no-arbitrage band. As a result, we found that the portfolio of SSE 50 ETF, SZSE 100 ETF, and SSE Bonus ETF could provide the best tracking effect of CSI 300 Index, with different weight as 0.369, 0.403, and 0.19 in turn separately. Furthermore, the new modified pricing model could find out more arbitrage opportunities than interval pricing model especially for reverse cash-and-carry arbitrage. On the whole, the optimal arbitrage strategy for investment on CSI 300 Index futures consist of two steps, implement ETFs portfolio replicate CSI 300 Index and using new modified pricing model to discover and define arbitrage opportunities then to apply futures-spot arbitrage. At the end of thesis, we also give a small case study to illustrate how to exercise the arbitrage strategy in realistic situation.</p>

We consider the optimization problem of safety stock placement in a supply chain, as formulated in [1]. We prove that this problem is NP-Hard for supply chains modeled as general acyclic networks. Thus, we do not expect to find a polynomial-time algorithm for safety stock placement for a general-network supply chain. / Singapore-MIT Alliance (SMA)