by Lim Luen-ho. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references. / TABLE OF CONTENTS --- p.i / ABSTRACT --- p.iii / LIST OF TABLES --- p.v / ACKNOWLEDGEMENTS --- p.vi / INTRODUCTION --- p.1 / Internationalization of Securities Markets --- p.1 / Institutional Investors --- p.1 / Technological Developments --- p.2 / Growth Opportunities in Developing Countries --- p.2 / Deregulation of financial markets --- p.3 / Central Clearing and Settlement in Hong Kong --- p.4 / Objective of Study --- p.5 / METHODOLOGY --- p.6 / Data Collection --- p.6 / Sampling --- p.7 / WORLD-WIDE TREND IN THE DEVELOPMENT OF CLEARING AND SETTLEMENT OF SECURITIES --- p.8 / October Stock Market Crash of 1987 --- p.8 / Current Trend in the Clearing and Settlement System --- p.9 / Development of the Clearing and Settlement Systems in Asian Countries --- p.11 / Implications for Hong Kong Stock Market --- p.13 / Rebuilding of a Good Image as an Efficient Market --- p.13 / Competition from Other Markets Trading Hong Kong Listed Stocks --- p.14 / Competition from Other Asian Stock Markets --- p.15 / Prerequisite to Becoming a Regional Exchange in Long Run --- p.17 / Possible Directions for the Future Development of Central Clearing and Settlement Systemin Hong Kong --- p.18 / Allowing the investors (especially the institutional investors) to be the direct participants of CCASS --- p.19 / Linking CCASS to the settlement systems of other national markets --- p.19 / Issuing global certificates with the consensus of the issuers of the stocks --- p.20 / DEVELOPMENT OF THE CLEARING AND SETTLEMENT SYSTEM IN HONG KONG --- p.21 / History of CCASS --- p.21 / Current Issues --- p.25 / Cost Issue --- p.25 / Legislation Issues --- p.27 / Current Clearing and Settlement System --- p.28 / How a Trade is Settled --- p.28 / Issues of the Existing System --- p.30 / Too short settlement --- p.30 / Physical settlement --- p.30 / Exposures to counterparty risk --- p.31 / Chain reaction of settlement risks --- p.31 / Risks for loss of scrips --- p.31 / Central Clearing and Settlement System (CCASS) --- p.32 / Overview of CCASS Operation --- p.32 / Advantages of CCASS --- p.34 / Minimizing the need for physical delivery of share certificates --- p.34 / Eliminate the chance of losing scrips --- p.34 / Extended settlement period --- p.34 / Minimizing counterparty risk --- p.35 / Enhancing market development --- p.35 / Ability to handle huge amount of daily turnover --- p.36 / Implications --- p.36 / System Design --- p.36 / Managing of Conflicts of Interest --- p.40 / Registrars --- p.40 / Brokers --- p.41 / Custodians --- p.43 / CONCLUSION --- p.44 / The Role of Government in the Development of CCASS --- p.44 / Current Task of SFC concerning CCASS --- p.49

by Lam Ka Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 83-86). / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- REVIEW OF THEORIES AND LITERATURE / Chapter 2.1 --- Empirical Studies on IPO Underpricing --- p.7 / Chapter 2.2 --- "Underpricing, Auditors and Underwriters" --- p.10 / Chapter 2.3 --- Rock's Adverse Selection hypothesis --- p.16 / Chapter 2.4 --- The Signalling Hypothesis --- p.23 / Chapter 2.5 --- Unit IPO --- p.31 / Chapter 2.6 --- Empirical Studies on Hong Kong IPOs --- p.32 / Chapter Chapter 3 --- DATA AND METHODOLOGY / Chapter 3.1 --- Measures of Underpricing --- p.35 / Chapter 3.2 --- Test for Rock's Model --- p.40 / Chapter 3.3 --- Test for the Signalling Hypothesis --- p.44 / Chapter 3.3.1 --- Probability of Reissue --- p.47 / Chapter 3.3.2 --- Size of Seasoned Offering --- p.48 / Chapter 3.3.3 --- Time between IPO and Announcement of Seasoned Offering --- p.48 / Chapter 3.3.4 --- Price Reaction on Announcement Date --- p.49 / Chapter CHAPTER 4 --- RESULTS / Chapter 4.1 --- Underpricing of Hong Kong IPOs --- p.51 / Chapter 4.2 --- Rock's Model --- p.53 / Chapter 4.2.1 --- The Winner's Curse Problem --- p.53 / Chapter 4.2.2 --- Regression Results --- p.54 / Chapter 4.3 --- Signalling Hypothesis --- p.62 / Chapter 4.3.1 --- Probability of Reissue --- p.62 / Chapter 4.3.2 --- Size of Seasoned Offering --- p.64 / Chapter 4.3.3 --- Time between IPO and the First Seasoned Offering --- p.65 / Chapter 4.4.4 --- Price Reaction on Announcement Date --- p.66 / Chapter CHAPTER 5 --- DISCUSSION --- p.67 / Chapter CHAPTER 6 --- CONCLUSION --- p.71 / FIGURES --- p.72 / APPENDIX A SPECIMEN OF ANNOUNCEMENT OF BASIS OF ALLOTMENT --- p.75 / APPENDIX B LIST OF COMPANY --- p.76 / REFERENCE --- p.83

by Chan Tse-Kit, Chau Wing-Hong. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 41-44). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGMENTS --- p.v / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OBJECTIVES --- p.4 / Chapter III. --- LITERATURE REVIEW --- p.5 / Chapter IV. --- DATA SAMPLE AND SOURCES --- p.10 / Chapter V. --- METHODOLOGY --- p.11 / Chapter VI. --- LIMITATIONS --- p.16 / Survival Bias --- p.16 / Time Lag --- p.16 / Change Financial Year End --- p.17 / Chapter VII. --- SAMPLE SUMMARY STATISTICS --- p.18 / Number of Samples --- p.18 / Sample Characteristics at Year 0 (Listing Year) --- p.19 / Implications --- p.19 / Chapter VIII. --- SUMMARY RESULTS --- p.20 / All Samples/No Segmentation --- p.20 / ROA --- p.20 / Profit Margin --- p.21 / Assets/Turnover --- p.21 / Current Ratio --- p.22 / ROE --- p.23 / EPS --- p.23 / Summary --- p.23 / Segmented by Assets Size in Year -1 --- p.25 / RQA --- p.25 / Profit Margin --- p.26 / ROE --- p.27 / EPS --- p.28 / Summary --- p.29 / Segmented by Major Shareholders' % Share in Year 0 --- p.30 / ROA --- p.30 / Profit Margin --- p.31 / ROE --- p.32 / EPS --- p.33 / Summary --- p.33 / Chapter IX. --- FINDINGS --- p.34 / Decline in Operating Performance --- p.34 / Asset Size --- p.36 / Relation between Managerial Ownership Retention and Operating Performance --- p.37 / Debt Reduction --- p.37 / Chapter X. --- RECOMMENDATIONS TO INVESTORS --- p.38 / Read the Prospectus Carefully --- p.38 / Be Aware of the Pattern --- p.39 / Chapter XI. --- CONCLUSIONS --- p.40 / BIBLIOGRAPHY --- p.41 / APPENDICES

Cheuk Man Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 87-94). / Abstracts in English and Chinese. / ABSTRACT --- p.i / ACKNOWLEDGEMENT --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF TABLES --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Introduction --- p.1 / Chapter 1.2 --- Objectives --- p.5 / Chapter II. --- LITERATURE REVIEW --- p.7 / Chapter 2.1 --- Backgrounds --- p.7 / Chapter 2.1.1 --- Information Content and Predictability of Insider Trading --- p.7 / Chapter 2.1.2 --- "Market Efficiency, Market Liquidity and Insider Trading" --- p.9 / Chapter 2.2 --- Review of Insider Trading Literature --- p.11 / Chapter 2.2.1 --- Review of Studies on the U.S. Market --- p.11 / Chapter 2.2.2 --- Review of Studies on the European and Canadian Markets --- p.17 / Chapter 2.2.3 --- Review of Studies on the Emerging Stock Markets --- p.18 / Chapter III. --- INSIDER TRADING REGULATION IN HONG KONG --- p.20 / Chapter 3.1 --- Backgrounds: Arguments For and Against Insider Trading --- p.20 / Chapter 3.2 --- The Securities (Insider Dealing) Ordinance --- p.22 / Chapter 3.3 --- The Securities (Disclosure of Interests) Ordinance --- p.23 / Chapter IV. --- DATA AND METHODOLOGY --- p.27 / Chapter 4.1 --- Data --- p.27 / Chapter 4.2 --- Statistics on Insider Trading Samples --- p.33 / Chapter 4.2.1 --- Statistics on Entire Sample --- p.33 / Chapter 4.2.2 --- Statistics by Year of Transaction --- p.34 / Chapter 4.2.3 --- Statistics by Calendar Month of Transaction --- p.36 / Chapter 4.2.4 --- Statistics by Day of the Week of Transaction --- p.37 / Chapter 4.2.5 --- Statistics by Industry Classification of the Firm --- p.38 / Chapter 4.2.6 --- Statistics by Size of the Firm --- p.38 / Chapter 4.2.7 --- Statistics by Book-to-Market Ratio of the Firm --- p.39 / Chapter 4.2.8 --- Statistics by Price-Earnings Ratio of the Firm --- p.40 / Chapter 4.2.9 --- Statistics by Relative Trading Volume in Shares --- p.41 / Chapter 4.2.10 --- Statistics by Firm Size and Relative Trading Volume in Shares --- p.43 / Chapter 4.3 --- Methodology --- p.43 / Chapter 4.3.1 --- Measurement of Stock Price Performance for Insider Trading Events --- p.43 / Chapter 4.3.2 --- Aggregate Industry-wide Insider Trading Prior to Major Adjustment in the AOI Sectorial Index --- p.47 / Chapter V. --- EMPIRICAL RESULTS AND DISCUSSIONS --- p.51 / Chapter 5.1 --- Stock Price Performance Around Insider Trading Events: Abnormal Returns and Cumulative Abnormal Returns --- p.51 / Chapter 5.1.1 --- On the Entire Sample --- p.51 / Chapter 5.1.2 --- By Year of Transaction --- p.55 / Chapter 5.1.3 --- By Calendar Month of Transaction --- p.59 / Chapter 5.1.4 --- By Day of the Week of Transaction --- p.61 / Chapter 5.1.5 --- By Industry Classification of the Firm --- p.62 / Chapter 5.1.6 --- By Size of the Firm --- p.64 / Chapter 5.1.7 --- By Book-to-Market Ratio of the Firm --- p.66 / Chapter 5.1.8 --- By Price-Earnings Ratio of the Firm --- p.67 / Chapter 5.1.9 --- By Relative Trading Volume in Shares --- p.69 / Chapter 5.1.10 --- By Firm Size and Relative Trading Volume in Shares --- p.70 / Chapter 5.2 --- Aggregate Industry-wide Insider Trading Prior to Major Adjustment in the AOI Sectorial Index --- p.74 / Chapter 5.2.1 --- Finance Industry --- p.76 / Chapter 5.2.2 --- Utilities Industry --- p.77 / Chapter 5.2.3 --- Properties Industry --- p.78 / Chapter 5.2.4 --- Consolidated Enterprises Industry --- p.80 / Chapter 5.2.5 --- Industrials Industry --- p.81 / Chapter 5.2.6 --- Hotels Industry --- p.82 / Chapter VI. --- CONCLUDING REMARKS --- p.85 / BIBLIOGRAPHY --- p.87

Sun Yuekang. / Thesis submitted in: October 1999. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 40-44). / Abstracts in English and Chinese.

by Ko Wai Cheung Stephen. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 59-63). / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF ABBREVIATIONS --- p.vi / LIST OF TABLES --- p.vii / ACKNOWLEDGEMENTS --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- METHODOLOGY --- p.8 / Chapter III. --- HISTORY AND DEVELOPMENT OF DEBT MARKET --- p.10 / Early history of debt instruments --- p.10 / Development in the 80s --- p.11 / Recent development --- p.12 / Primary issues --- p.13 / Market infrastructure and trading systems --- p.17 / Chapter IV. --- RECENT INNOVATIONS AND HKMA'S EFFORTS --- p.24 / Establishment of the Hong Kong Mortgage Corporation --- p.25 / The role of Mandatory Provident Fund --- p.29 / Chapter V. --- REGIONAL FORCES AND THREATS --- p.32 / Syndication loan and credit crunch in the region --- p.32 / The inadequacy of IMF rescue package --- p.35 / Guarantee to distressed nations --- p.40 / A market solution --- p.41 / Emergence of Regional rivalry --- p.44 / Chapter VI. --- PROSPECTIVE DEVELOPMENT --- p.47 / H-bond market --- p.47 / Listing of EFN and other quasi-government issues --- p.50 / Trend of securitisation --- p.51 / Chapter VII. --- CONCLUSION --- p.55 / BIBILOGRAPHY --- p.59

by Ng Chi-Cheong, Allen, Tsea Po Kwan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 39-41). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II --- LITERATURE REVIEW --- p.3 / General Review --- p.3 / Model Review --- p.6 / Rock´ةs Model --- p.6 / Principal-Agent Model --- p.7 / Signaling Model --- p.11 / Chapter III --- H SHARES LISTING PROCEDURE --- p.13 / Chapter IV --- DATA AND METHODOLOGY --- p.17 / Research Period and Source --- p.17 / Measures of Underpricing --- p.18 / Chapter V --- RESULTS AND DISCUSSION --- p.23 / Underpricing of H shares IPOs --- p.23 / Regression Model --- p.25 / Chapter VI --- CONCLUSION --- p.30 / APPENDIX --- p.34 / BIBLIOGRAPHY --- p.38

Xu, Lin. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 128-131). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

Wan Yanyan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 53-56). / Abstracts in English and Chinese. / Chapter I. --- Introduction --- p.1 / Chapter II --- Disclosure of Interests (DI) Regimes in Hong Kong --- p.5 / Chapter II.1. --- Development of Disclosure of Interests (DI) Regulations --- p.5 / Chapter II.2. --- Differences in Two Disclosure of Interests (DI) Regimes --- p.8 / Chapter III. --- Literature Review and Hypotheses --- p.11 / Chapter IV. --- Data and Methodology --- p.15 / Chapter IV.1. --- Data --- p.15 / Chapter IV.2. --- Descriptive Statistics --- p.20 / Chapter IV.3. --- Methodology --- p.22 / Chapter V. --- Results --- p.24 / Chapter V.1. --- Market Reaction to Insiders，Transactions --- p.24 / Chapter V.2. --- Information Asymmetry Hypothesis --- p.28 / Chapter V.2.1. --- Company Size Effect --- p.28 / Chapter V.2.2. --- Index Membership Effect --- p.32 / Chapter V.2.3. --- Industry Effect --- p.34 / Chapter V.2.4. --- Tests of Information Asymmetry Hypothesis for Subsamples --- p.41 / Chapter V.3. --- The Effect of Different DI Regulations --- p.42 / Chapter V.3.1. --- Full Sample --- p.43 / Chapter V.3.2. --- Subsamples --- p.48 / Chapter VI. --- Conclusion --- p.49 / Reference --- p.53 / Appendices --- p.57 / Appendix 1 --- p.57 / Appendix 2 --- p.67 / Appendix 3 --- p.70

本论文集由三篇关于公司金融和金融市场的文章组成。 / 第一篇文章主要探讨关于中国的控股股权的利益。通过研究1999到2006年的股权协议转让的数据，我发现控股股权相比于那些可比较的非控股股权存在显著溢价。平均值为24.97%溢价反映了控股股权的利益。回归分析发现，控股股权的利益和股权结构，公司特征以及制度环境有关。被收购对象的无形资产比例越高，控股股权的利益越少；发行了B股或者H股也会减少控股股权的利益；被私人公司收购的公司往往伴随着更高控股股权的利益。同时，控股股权的利益和非公有经济发展以及要素因子市场发展呈现负相关。进一步的研究表明，那些有较高控股股权的利益的公司往往伴随着更高的其他应收账款，关联交易额比例以及融资额比例，虽然影响不太显著。因此，我推断那些有更高控股股权的利益的公司可能更多地被其大股东侵占了利益。 / 第二篇文章主要研究关于中国股票市场上的“羊群效应“。通过应用Christie 和Huang (1995) 以及Chang (2000) 的模型，发现深圳和上海股票市场所没有“羊群效应“。 在子样本上的进一步分析发现，在2007股市泡沫期间和2008全球金融危机期间也没有“羊群效应“。最后，我使用分位数回归方法，来解决“羊群效应是否对于股市收益分歧的分位数是否敏感的问题。结果表明，在收益分歧的各个分位数上，收益分歧始终随着市场收益率增加，再次证明没有“羊群效应“的存在。 / 第三篇主要分析关于芝加哥气候交易所碳排放的价格和波动性。分析表明，某些年份的碳排放期货收益率具有长期记忆效应，有些年份则没有。但是不同年份期货收益率波动性则全部具有很强的长期记忆效应。同时，我发现FIGARCH模型很好的描述了碳价格的波动特性并且估计出了长期记忆的参数。进一步验证了碳期货收益率具有长期记忆效应。这个结论表明碳排放期货市场还不是弱式有效的。 / This thesis consists of three essays on corporate finance and financial markets. The first essay investigates the private benefits of control in China. By analyzing block share transfers in China from 1999 to 2006, I find that the controlling blocks are usually priced at significant positive premiums compared with the non-controlling ones. The premiums, with a mean of 24.97%, reflect the private benefits of control in China. Cross-sectional regression analysis shows that the benefits of corporate control vary with ownership structure, firm characteristics and institutions. In particular, targets with high intangible asset ratios have less private benefits of control; cross-listing in the B or H share market reduces private benefits and companies acquired by private firms are associated with higher private benefits. Moreover, it is found that private benefits of control are negatively associated with the non-state economy and factor market development index. Finally, further analysis shows some evidence that other receivables, amount of connected transaction, and amount of financing increase moderately with private benefits. Hence, firms with higher value of private benefits are likely to experience more tunneling activities conducted by their controlling shareholders. / The second essay examines herd behavior in the Chinese stock market. Employing the cross-sectional standard deviation testing methodology proposed by Christie and Huang (1995), it is found that herd behavior does not exist in the Shanghai and Shenzhen stock markets. The empirical evidence based on Chang et al. (2000) suggests no evidence of herd behavior as well. I also investigate the herd behavior in the 2007 bubble period and 2008 global financial crisis period and no evidence of herding is documented. Finally, quantile regression is employed to test whether or not herd behavior is sensitive to different quantiles of return dispersion distributions. It is found that in the lower and upper tail of return dispersion distribution, return dispersion generally increases with market return movements, indicating that no herd behavior is observed. / The third essay studies the price movement and volatility of the carbon futures in Chicago Climate Exchange. Firstly, the long-term dependence of future returns and volatilities is investigated by employing the modified rescaled range (R/S) statistics. Most of the return series have long-term memory features and the evidence for long-term dependence in volatilities is pronounced for all series. Next, the Fractionally Integrated GARCH (FIGARCH) model is applied to investigate the volatility of return series and estimate the long memory parameters in return series. The estimated degrees of integration are significantly greater than zero but less the unity, which demonstrates the presence of an explicit long memory feature in return series. The results indicate that the market is not weak-form efficient. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Liu, Xiaojin. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese. / Abstract --- p.i / 摘要 --- p.iii / Table of Contents --- p.v / Chapter Chapter 1: --- The private benefits of control: evidence from China --- p.1 / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Related literature and institutional setting --- p.3 / Chapter 2.1 --- Related literature --- p.3 / Chapter 2.2 --- Background on the Chinese stock market --- p.6 / Chapter 3. --- Variable description --- p.7 / Chapter 3.1 --- Measuring private benefits of control --- p.7 / Chapter 3.2 --- Ownership structure --- p.10 / Chapter 3.3 --- Firm characteristics --- p.11 / Chapter 3.4 --- Institutions --- p.13 / Chapter 4. --- Sample description --- p.15 / Chapter 5. --- Main empirical results --- p.16 / Chapter 5.1 --- Testing significance of private benefits of control --- p.16 / Chapter 5.2 --- Ownership structure, firm characteristics, and private benefits of control --- p.17 / Chapter 5.3 --- Institutions and private benefits of control --- p.18 / Chapter 5.4. --- Further evidence of tunneling --- p.19 / Chapter 6. --- Conclusion --- p.20 / References --- p.22 / Tables --- p.25 / Appendix --- p.35 / Chapter Chapter 2: --- An empirical analysis of herd behavior in the Chinese stock market --- p.41 / Chapter 1. --- Introduction --- p.41 / Chapter 2. --- Methodology and data --- p.46 / Chapter 3. --- Empirical results --- p.49 / Chapter 3.1 --- Dummy regression --- p.49 / Chapter 3.2 --- Nonlinearity in return dispersions and market return --- p.51 / Chapter 3.3 --- Investigating herd behavior in subsamples: the 2007 bubble period and 2008 global financial crisis period --- p.52 / Chapter 4. --- Further analysis: a quantile regression approach --- p.53 / Chapter 5. --- Conclusion --- p.55 / References --- p.57 / Tables --- p.60 / Appendix --- p.71 / Chapter Chapter 3: --- Price movement and volatility of the carbon market: evidence from Chicago Climate Exchange --- p.74 / Chapter 1. --- Introduction --- p.74 / Chapter 2. --- Related literature and background on carbon futures in the Chicago Climate Exchange --- p.75 / Chapter 2.1 --- Related literature --- p.76 / Chapter 2.2 --- Background on Chicago Climate Exchange (CCX) --- p.79 / Chapter 3. --- Methodology and sample description --- p.80 / Chapter 3.1 --- Lo’s modified Rescaled Range (R/S) statistic --- p.80 / Chapter 3.2 --- The Fractionally Integrated GARCH (FIGARCH) model --- p.81 / Chapter 3.3 --- Sample description --- p.82 / Chapter 4. --- Empirical results --- p.82 / Chapter 4.1 --- Lo's modified R/S statistic test --- p.83 / Chapter 4.2 --- FIGARCH model --- p.84 / Chapter 5. --- Conclusion --- p.85 / References --- p.87 / Tables --- p.90 / Appendix --- p.95