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

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

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

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

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

published_or_final_version / Statistics / Master / Master of Social Sciences

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.

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.

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.

published_or_final_version / Business Administration / Master / Master of Business Administration