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Market effects of changes in the composition of the Hang Seng Index.January 1998 (has links)
by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 52). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF ILLUSTRATIONS --- p.iv / LIST OF TABLES --- p.v / ACKNOWLEGEMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OBJECTIVES --- p.3 / Chapter III. --- LITERATURE REVIEW --- p.4 / Chapter IV. --- THE SAMPLE --- p.9 / Chapter V. --- METHODOLOGY --- p.14 / The Market Model --- p.15 / Methods to Estimate the Excess Returns --- p.16 / Chapter VI. --- RESULTS AND ANALYSIS --- p.19 / Price Effects on Inclusion in HSI --- p.19 / Price Effects on Exclusion from HSI --- p.33 / Comparison between Inclusion and Exclusion --- p.41 / Chapter VII. --- IMPLICATIONS --- p.42 / Chapter VIII. --- CONCLUSION --- p.45 / APPENDIX --- p.47 / BIBLIOGRAPHY --- p.52
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Application of neural network to study share price volatility.January 1999 (has links)
by Lam King Wan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 72-73). / ABSTRACT --- p.ii. / TABLE OF CONTENTS --- p.iv. / Section / Chapter I. --- OBJECTIVE --- p.1 / Chapter II. --- INTRODUCTION --- p.3 / The principal investment risk --- p.3 / Effect of risk on investment --- p.4 / Investors' concern for investment risk --- p.6 / Chapter III. --- THE INPUT PARAMETERS --- p.9 / Chapter IV. --- LITERATURE REVIEW --- p.15 / What is an artificial neural network? --- p.15 / What is a neuron? --- p.16 / Biological versus artificial neuron --- p.16 / Operation of a neural network --- p.17 / Neural network paradigm --- p.20 / Feedforward as the most suitable form of neural network --- p.22 / Capability of neural network --- p.23 / The learning process --- p.25 / Testing the network --- p.29 / Neural network computing --- p.29 / Neural network versus conventional computer --- p.30 / Neural network versus a knowledge based system --- p.32 / Strength of neural network --- p.34 / Weaknesses of neural network --- p.35 / Chapter V. --- NEURAL NETWORK AS A TOOL FOR INVESTMENT ANALYSIS --- p.38 / Neural network in financial applications --- p.38 / Trading in the stock market --- p.41 / Why neural network could outperform in the stock market? --- p.43 / Applications of neural network --- p.45 / Chapter VI. --- BUILDING THE NEURAL NETWORK MODEL --- p.47 / Implementation process --- p.48 / Step 1´ؤ Problem specification --- p.49 / Step 2 ´ؤ Data collection --- p.51 / Step 3 ´ؤ Data analysis and transformation --- p.55 / Step 4 ´ؤ Training data set extraction --- p.58 / Step 5 ´ؤ Selection of network architecture --- p.60 / Step 6 ´ؤ Selection of training algorithm --- p.62 / Step 7 ´ؤ Training the network --- p.64 / Step 8 ´ؤ Model deployment --- p.65 / Chapter 7 --- RESULT AND CONCLUSION --- p.67 / Result --- p.67 / Conclusion --- p.69 / BIBLIOGRAPHY --- p.72
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Implied higher moments on Japanese Nikkei index options and futures options contracts.January 2004 (has links)
Ho Kin Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 71-73). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Motivation --- p.3 / Chapter 1.3 --- Chapter Layout --- p.5 / Chapter 1.4 --- Summary --- p.7 / Chapter 2 --- Literature Review --- p.11 / Chapter 2.1 --- Implied Asset Return Distribution --- p.13 / Chapter 2.2 --- The Jarrow-Rudd Skewness and Kurtosis-Adjusted Model --- p.16 / Chapter 2.3 --- Implied Moments in Asset Return Distribution --- p.24 / Chapter 2.4 --- Summary --- p.26 / Chapter 3 --- Methodology --- p.28 / Chapter 3.1 --- Application to the Nikkei Index Options --- p.28 / Chapter 3.2 --- In-Sample Parameters Estimation --- p.31 / Chapter 3.3 --- Out-Sample Prediction Error Evaluation --- p.34 / Chapter 3.4 --- Time-Series Movements of Higher Moments --- p.35 / Chapter 3.5 --- Summary --- p.37 / Chapter 4 --- Empirical Results --- p.38 / Chapter 4.1 --- In-Sample Parameters Estimation --- p.38 / Chapter 4.2 --- The Out-Sample Prediction Error Evaluation --- p.43 / Chapter 4.3 --- Time Series Movements of Higher Moments --- p.45 / Chapter 4.4 --- Implications --- p.55 / Chapter 4.5 --- Summary --- p.57 / Chapter 5 --- Conclusions --- p.59 / Chapter A --- Additional Figures --- p.62
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An empirical analysis of hedge ratio: the case of Nikkei 225 options.January 2001 (has links)
Lam Suet-man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 111-117). / Abstracts in English and Chinese. / ACKNOWOLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- REVIEW OF THE LITERATURE --- p.6 / Parametric Models / Nonparametric Estimation Techniques / Chapter THREE --- METHODOLOGY --- p.21 / Parametric Models / Nonparametric Models / Chapter FOUR --- DATA DESCRIPTION --- p.33 / Chapter FIVE --- EMPIRICAL FINDINGS --- p.39 / Estimation Results / Evaluation of Model Performance / Out-of-sample Forecast Evaluation / Chapter SIX --- CONCLUSION --- p.58 / TABLES --- p.62 / ILLUSTRATIONS --- p.97 / APPENDIX --- p.107 / BIBOGRAPHY --- p.111
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Analyst forecast accuracy, dispersion, and stock returns before and during stock market crashes.January 2008 (has links)
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
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A study on the beta coefficients of securities in Hong KongMa, Chin-wan, Raymond., 馬展雲. January 1989 (has links)
published_or_final_version / Statistics / Master / Master of Social Sciences
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Relationship between share index volatility, basis and open interest in futures contracts : the South African experienceMotladiile, Bopelokgale 04 1900 (has links)
Study project (MBA)--University of Stellenbosch, 2003. / ENGLISH ABSTRACT: In a rational efficiently functioning market, the price of the share index and share
index futures contracts should be perfectly contemporaneously correlated. According
to the cost of carry model, the futures price should equal its fair value at maturity.
The basis should be equal to the cost of carry throughout the duration of the futures
contract.
However, in practice the cost of carry model is obscured and the basis varies and is
normally not equal to the cost of carry. Reasons for this variability in basis include
the mark-to-market requirement of the futures contract, the differential tax treatment
of spot and futures contracts, as well as the transaction cost of entering into a
contract. Transaction costs are lower for futures contracts than for spot contracts.
This study uses the Chen, Cuny and Haugen (1995) model to examine the
relationship between the basis and volatility of the underlying index and between the
open interest of the futures contract and the volatility of the underlying index. Chen
et al. (1995) predicted that the basis is negatively related to the volatility of the
underlying index and that the open interest is positively related to the volatility of the
underlying index. The study will also test the statement by Helmer and Longstaff
(1991) that the basis has a negative concave relationship with the level of interest
rate. The tests were performed on data from ALSI, FINI and INDI futures contracts.
The sample period was from January 1998 to December 2001.
The results correspond to those obtained by Chen et al. (1995) in that the basis is
negatively related to the volatility of the underlying index. This is true for all the three
indices. The other main prediction of the Chen, Cuny and Haugen (CCH) model
(1995), which is also supported by the study, is that open interest is significantly
related to the volatility of the underlying index. The study also supports the
statement by Helmer and Longstaff (1991) that the there is a highly significant
negative concave relationship between the basis and interest rate. / AFRIKAANSE OPSOMMING: In "n mark wat rasioneel funksioneer, behoort die prys van die aandele-indeks en
aandele-indekstermynkontrakte perfek gekorreleer te wees in tyd. Volgens die
drakostemodel behoort die termynkontrakprys op die vervaldatum gelyk te wees aan
die billike waarde daarvan. Die basis behoort vir die looptyd van die termynkontrak
gelyk te wees aan die drakoste.
In die praktyk word die drakostemodel egter vertroebel en wissel die basis en is dit
gewoonlik nie gelyk aan die drakoste nie. Redes vir hierdie veranderlikheid van die
basis sluit in die waardasie teenoor markprys van die termynkontrak, die belasting
van toepassing op loko- en termynkontrakte, asook die transaksiekoste by die
aangaan van "n kontrak. transaksiekoste vir termynkontrakte is laer as vir
lokokontrakte.
Hierdie studie gebruik die model van Chen, Cuny en Haugen (1995) om die
verwantskap tussen die basis en die volatiliteit van die onderliggende indeks en
tussen die oop kontrakte van die termynkontrak en die volatiliteit van die
onderliggende indeks te ondersoek. Chen et al. (1995) voer aan dat daar 'n
negatiewe verwantskap is tussen die basis en die volatiliteit van die onderliggende
indeks en dat daar "n positiewe verwantskap is tussen die oop rente en die volatiliteit
van die onderliggende indeks. Die studie toets ook Helmer en Longstaff (1991) se
hipotese dat daar 'n negatiewe, konkawe verhouding tussen die basis en die
rentekoersvlak bestaan. Die toetse is uitgevoer op data van ALSI-, FINI- EN INDItermynkontrakte.
Die steekproef was van Januarie 1998 tot Desember 2001.
Die resultate stem ooreen met dié van Chen, Cuny en Haugen (1995) se model
(CCH-model) in dié opsig dat daar "n negatiewe verband is tussen die basis en die
volatiliteit van die onderliggende indeks. Dit geld vir al drie die indekse. Die ander
hoofresultate van Chen et al. (1995), wat ook deur die studie ondersteun word, is dat
daar "n beduidende verband tussen die oop kontrakte en die volatiliteit van die
onderliggende indeks bestaan. Die studie ondersteun ook Helmer en Longstaff(1991) se siening dat daar 'n beduidende, negatiewe, konkawe verhouding tussen
die basis en die rentekoers bestaan.
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Can a technical analysis-based trading strategy outperform a naive buy-hold strategyGross, Peter 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2008. / ENGLISH ABSTRACT: Empirical research is done to determine whether trading strategies based on technical analysis
can outperform a naive buy-and-hold strategy. A study is made of classical and contemporary
academic literature. The central investigation is threefold. Firstly, the degree of randomness of
a chosen basket of securities is determined vis-a-vis the Random Walk Hypothesis. Secondly,
the effectiveness of stop loss orders is assessed. Lastly, a collection of chosen trading
strategies is back-tested on security data ranging over 20 years. Performance of these systems
is measured on net average and risk-adjusted gains in the absence of transaction and taxation
costs. The finding of this report is that, in the absence of these costs, certain technical trading
strategies can indeed outperform a buy-and-hold strategy. Although end-of-day data is used
throughout the study, the techniques can also be applied to intra-day trading. / AFRIKAANSE OPSOMMING: Empiriese navorsing is gedoen om te bepaal of handelstrategiee wat op tegniese ontleding
gebaseer is, beter kan presteer as 'n klassieke konserwatiewe koop-en-hou-strategie.
Omvattende literatuurstudie is gedoen van klassieke en kontemporere literatuur, en die kruks
van die navorsing is drieledig. Eerstens word die toevalligheidsgraad van 'n gekose
aandelepakket ten opsigte van die hipotese van ewekansigce koersbeweging bepaal. Tweedens
word die effektiwiteit van "stop-verlies" opdragte ontleed en laastens word 'n versameling
historiese handelstrategiee getoets met die laaste 20 jaar se aandeledata. Die prestasie van die
onledingstelsels word gemeet aan die hand van die netto gemiddelde en risiko aangepaste
opbrengste met uitsluiting van die transaksie en belasting kostes. Die bevinding van die studie
is dat met uitsluiting van die transakie en belasting kostes, die gebruik van tegniese ontledings
inderdaad hoer opbrengste lewer as die klassieke koop-en-hou strategie. Alhoewel dag
sluitingsdata deurlopend vir die studie gebruik was, kan die tegnieke ook op intradag data
toegepas word.
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The construction of African regional and all-Africa stock market indicesFish, Therese 12 1900 (has links)
Thesis (MBA) --Stellenbosch University, 2001. / ENGLISH ABSTRACT: Africa's stock markets are considered by many emerging market specialists to have
great potential for investors. Developing models which track share/financial indices
provide a means of disseminating information about market performance. With the
active move towards regional stock markets, regional indices will provide an
important tool for performance of the region.
Stock market indices provide information to investors and portfolio managers about
the performance of various markets or groups of stocks. Investors can use the
movement of indices as a way of assessing market trends and opportunities for
investment. As economic integration increases in Africa, it will become increasingly
important to have markers of regional market performance.
This study project collected weekly market capitalisation data from the markets in
the various regions, which were utilised to construct regional all-share indices for
the year 2000.
Regional indices for three of the four regions within Africa were constructed. The
three indices are the EASDEX (for East Africa), the NADEX (for North Africa) and
the WADEX (for West Africa). The weekly market capitalisation data were further
utilised to construct an All-Africa index.
The Johannesburg Stock Exchange (JSE) dominates the Southern African
Development Community (SADC) regional market's total market capitalisation. Similarly the SAOG region dominates the total market capitalisation for Africa. The
JSE contributes 59% to the total market capitalisation of Africa (January 2000).
The All-Africa index moves together with the SADIX (SAOG regional index)
confirming the high weighting of South Africa in the total market capitalisation of
Africa.
Encouraging economic growth throughout Africa and not just in Southern Africa will
assist the continent as a whole to attract market capital. In the long term this should
increase market growth in the other regions of Africa and enable investors to
diversify into Africa.
There are certainly opportunities for investors in Africa. The low correlation between
Egypt and the other two North African markets allows for diversification within the
North African Region.
Nigeria has been the market that had the highest returns during 2000, one that
outperformed many international markets.
SADIX has low or negative correlation coefficients with the rest of the African
individual as well as the regional market indices.
Historically emerging markets are volatile and risky. The case for diversification
into emerging markets originates from the high economic growth potential of
emerging markets, together with low correlation with other developed markets. The
development of All-Share indices, which track market performance on the African
continent, will assist both potential institutional as well as individual investors. / AFRIKAANSE OPSOMMING: Afrika se effektemarkte word deur baie opkomende markspesialiste beskou as
potensieel gunstig vir beleggers. Deur modelle wat aandele/finansiële indekse volg
te ontwikkel, word 'n middel voorsien om informasie oor markprestasie te ontleed.
Met die aktiewe beweging na streeksaandelemarkte, sal streeksindekse 'n
belangrike maatstaf vir die prestasie van 'n area voorsien.
Aandelemarkindekse voorsien informasie aan beleggers en portefeulje bestuurders
oor die prestasie van verskeie markte of aandelegroepe. Beleggers kan die
beweging van die indekse gebruik om marktendense te ontleed asook om
geleenthede vir investering te identifiseer. Dit sal belangriker raak om maatstawwe
van streeksmarkprestasie te hê soos ekonomiese integrasie in Afrika toeneem.
Hierdie studieprojek het weeklikse markkapitalisasie data van die markte in die
verskeie areas versamel, wat gebruik is om 'n streeksindeks van alle aandele vir die
jaar 2000 saam te stel.
Streeksindekse vir drie van die vier streke binne Afrika is saamgestel. Die drie
indekse is die EASDEX (Oos Afrika), die NADEX (Noord Afrika) en die WADEX
(Wes Afrika). Die weeklikse markkapitalisasie data is verder aangewend om 'n Alle-
Afrika indeks saam te stel.
Die Johannesburgse Effektebeurs (JEB) domineer die totale markkapitalisasie van
die Suidelike Afrika Ontwikkelingsgemeenskap (SAOG) se streeksmark. Insgelyk domineer die SAOG streek die totale markkapitalisasie vir Afrika. Die JES dra 59%
by tot die totale markkapitalisasie van Afrika (Januarie 2000).
Die Alle-Afrika indeks beweeg saam met die SADIX (SAOG streeksindeks) wat die
gewigtigheid van Suid Afrika in die totale markkapitalisasie van Afrika bevestig.
Deur ekonomiese groei regdeur Afrika en nie bloot in Suider Afrika nie, aan te
spoor, sal dit die vasteland as 'n geheel steun om markkapitaal aan te trek. Op die
lange duur behoort dit groei te bevorder in die ander streke van Afrika en beleggers
in staat te stel om binne Afrika te diversifiseer.
Daar is ongetwyfeld geleenthede vir beleggers in Afrika. Die lae onderlinge
afhanklikheid tussen Egipte en die ander twee Noord Afrika markte laat
diversifikasie binne die Noord Afrika streek toe.
Nigerië is die mark met die hoogste opbrengste tydens 2000 en het selfs baie
internasionale markte oortref.
SADIX het lae of negatiewe korrelasiekoeffisiënte met die res van die Afrika
individuele-, sowel as die streeksmarkindekse.
Histories is opkomende markte onstabiel en riskant. Partydigheid vir diversifikasie
in opkomende markte ontstaan vanuit die hoë ekonomiese groeipotensiaal van
hierdie markte tesame met lae onderlinge afhanklikheid met ander ontwikkelde
lande. Deur indekse van alle aandele wat markprestasie op die Afrika-vasteland
volg saam te stel, sal beide potensiële institusionele, sowel as individuele beleggers
se besluite/ontledings ondersteun word.
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Hongkong stock index future and portfolio managementChan, Kwei-sang., 陳貴生. January 1989 (has links)
published_or_final_version / Business Administration / Master / Master of Business Administration
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