by Chan Chi-man, Simon. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves [5]-[8] (2nd group)). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vii / LIST OF TABLES --- p.viii / Chapter CHAPTER I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objectives --- p.3 / Scope --- p.5 / Organization of the Paper --- p.6 / Chapter CHAPTER II. --- THE HONG KONG STOCK MARKET - QUANTIFYING ITS CHARACTERISTICS --- p.7 / Introduction --- p.7 / Choice of Proxy for the Market --- p.9 / Hong Kong in the Asian Pacific Region --- p.11 / Choice of Benchmarks for Comparisons --- p.12 / Comparative Returns and Standard Deviations --- p.13 / Correlations Amongst Different Markets --- p.16 / Comparative Price to Earnings (P/E) Ratios --- p.18 / Market Liquidity --- p.19 / Market Concentration --- p.20 / Summary --- p.21 / Chapter CHAPTER III. --- PRICING OF RISKY ASSETS IN HONG KONG --- p.23 / Introduction --- p.23 / Applicability of Pricing Models in the Hong Kong Stock Market --- p.23 / Literature Review --- p.23 / CAPM --- p.28 / The model --- p.28 / Hypotheses to be tested --- p.29 / Data --- p.30 / Methodology --- p.30 / Portfolio construction --- p.30 / Variable estimation --- p.31 / Cross-sectional regressions --- p.31 / Results and discussions --- p.32 / Stability of Beta --- p.34 / APT --- p.37 / Introduction --- p.37 / Analysis --- p.38 / Chapter CHAPTER IV. --- THE EFFICIENCY AND ANOMALIES OF THE HONG KONG STOCK / MARKET --- p.51 / Market Efficiency --- p.51 / Introduction --- p.51 / Informational Efficiency --- p.51 / Forms of market efficiency --- p.52 / Empirical evidence in Hong Kong --- p.53 / Historical prices --- p.53 / Investment advisory --- p.54 / Government budget speeches --- p.55 / Takeover --- p.55 / Conclusions --- p.55 / Anomalies --- p.56 / Introduction --- p.56 / An Exercise on PBV --- p.57 / Summary --- p.58 / Chapter CHAPTER V. --- POLITICAL INFLUENCE AND THE STOCK MARKET --- p.59 / Introduction --- p.59 / Literature Review --- p.60 / Political Risk in Hong Kong --- p.61 / Conclusion --- p.64 / Chapter CHAPTER VI. --- DIVERSIFICATION --- p.65 / Introduction --- p.65 / Literature Review --- p.65 / Does International Diversification Work --- p.67 / Conclusion --- p.72 / Chapter CHAPTER VII. --- CONCLUSIONS --- p.73 / What Moves Stock Prices? --- p.74 / Is the Stock Market Overreacting? --- p.75 / Some Suggestions --- p.76 / APPENDICES / BIBLIOGRAPHY