by Chan Wai-Ming, Raymond and Yuen Chee-Wing, Chris. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 65-67). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENTS --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / China Today --- p.1 / Objectives --- p.3 / Chapter II. --- METHODOLOGY --- p.5 / Chapter III. --- ENVIRONMENT OF CHINA --- p.7 / Economic Reforms --- p.7 / Exports and Imports --- p.10 / Economic Structure --- p.11 / Foreign Investment --- p.12 / Foreign Debts --- p.13 / Exchange Rates --- p.14 / Inflation and Interest Rates --- p.15 / Key Economic Data --- p.16 / Political Structure --- p.18 / Chapter IV. --- SHARE IN CHINA --- p.20 / Uprise of Shareholding System --- p.20 / Types of Share --- p.22 / Emergence of Stock Exchange --- p.23 / Chapter V. --- SHANGHAI STOCK MARKET --- p.26 / Background and Development --- p.26 / Listed Securities --- p.28 / Listing Requirements --- p.30 / Stock Market Indices --- p.30 / Market Performance --- p.31 / Investors' Sentiment --- p.33 / """B"" Shares" --- p.34 / Chapter VI. --- SHENZHEN STOCK MARKET --- p.36 / Development of the Market --- p.37 / Formation of Shenzhen Stock Exchange --- p.40 / Missions --- p.40 / Functions --- p.40 / Regulators --- p.41 / Listing Requirements --- p.42 / Rules and Regulations --- p.43 / Trading and Settlement --- p.43 / Market Information --- p.44 / Future growth --- p.45 / """B"" Shares in Shenzhen" --- p.46 / Chapter VII. --- PROBLEMS OF CHINA STOCK MARKET --- p.47 / Legal --- p.47 / Accounting --- p.48 / Market Size --- p.49 / Company and Market Information --- p.50 / Depth of Swap Centre --- p.50 / Local Investors' Knowledge in Shares --- p.51 / Chapter VIII. --- FUTURE PROSPECTS OF CHINA STOCK MARKET --- p.52 / Political and Economic Development --- p.52 / Expansion of Market Size --- p.53 / Profitability of Listed Companies --- p.54 / "Expansion of ""B"" shares" --- p.54 / Development of Other Regions --- p.56 / Foreign Participation --- p.57 / Chapter IX. --- RECOMMENDATIONS --- p.58 / Improvements in Regulations and Law --- p.58 / Adoption of International Accounting Standards --- p.59 / Increase of the Variety and Number of Shares --- p.59 / Education --- p.60 / Understanding the Risks --- p.60 / Familiar With The Regulations --- p.61 / Liquidity --- p.62 / APPENDIX --- p.63 / BIBLIOGRAPHY --- p.65

Thesis (M.B.A.)--Boston University / PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you. / 2031-01-01

Thesis (M.B.A.)--University of Hong Kong, 1983. / Cover title.

In a perfect market with no limit on arbitrage, the price movements or returns of an index futures contract must be perfectly and positively correlated with those of the underlying cash index and the component stocks of the index. However, transaction costs, capital limits and regulatory restrictions reduce arbitrage efficiency which is being revealed by a wealth of findings that index futures and the underlying cash assets do not move in perfect unison. It is an important issue to practitioners, exchange and regulatory authorities, and academics to understand which and how different market and idiosyncratic factors drive the dynamic temporal relationships between an index futures contract and the related individual cash assets. Chapter 1 of the thesis examines how and to what extent the sampling frequency for return calculation affects the intraday correlation and lead-lag relationship between index futures, the underlying cash index and individual cash assets. Chapter 2 tests how and to what extent index weight, liquidity, idiosyncratic information of a single cash stock, market conditions and regulatory restrictions affect the intraday correlation between the futures and individual cash asset. Following the line of argument in Chapter 2, Chapter 3 analyzes the impact of stock-specific and market factors on the intraday lead-lag relationship between the futures and single cash assets. The study deduces that stock-specific and market factors significantly affect the intraday dynamic relationship between index futures and individual cash assets and it is a phenomenon that could be explained by the optimal strategies adopted by index arbitrageurs.

Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

Thesis (Ph.D.)--University of Wollongong, 2006. / Typescript. "Middle East and North Africa (MENA) region, namely, Egypt, Turkey, Jordan and Morocco." -- Abstract. Includes bibliographical references: leaf 247-261.

This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns. The adjustment of estimated beta for the effect of thin trading does not change the implications of the results. Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. For the earnings-price ratio, the results indicate that the significance of the E/P ratio variable persists only if the nonfinancial firms are considered. In contrast to the previous empirical results for the U.S. and Japanese stock markets, the book-to-market ratio fails to explain the SET equity returns. The second essay employs a generalized autoregressive conditionally heteroskedastic (GARCH) model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates. Further examinations reveal that information inferred from price changes in the U.S. market influences only the opening price in the SET, not the open-to-close Thai stock market returns. This implies that price in the SET is informationally efficient with respect to the price determined in the U.S. stock market. The evidence is generally supportive of international financial integration and informational efficiency in the Thai stock market.

Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today’s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a simple, usable form. The primary use of the CAPM is to determine minimum required rates of return from investment in risky assets. The variable in the CAPM is called ‘beta’, a statistical measure of risk which has become familiar to all finance professionals. Over the past decade, beta has become the most widely recognised and applied measure of risk in the investment community. The model has been extensively tested in the developed capital markets, mainly in the United States of America. But the model has not been extensively tested in other developed and developing countries, often due to the size of the capital market and the lack of the data in these countries. This study attempts to fill this vacuum and tries to update the earlier tests done on the Stock Exchange of Singapore. On addition, a review of the validity of the CAPM over time, as proxied by the stationarity of the beta, is performed. Also, tests regarding heteroskedasticity and its implications have been undertaken. / Master of Commerce (Hons)

Thesis (Ph. D.)--University of Oregon, 2001. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 89-92). Also available for download via the World Wide Web; free to University of Oregon users. Address: http://wwwlib.umi.com/cr/uoregon/fullcit?p3024508.

Thesis (M.B.A.)--University of Hong Kong, 1996. / Includes bibliographical references (leaf 47-49).