by Kei Man Keung, Tong Suk Yi. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 35-39). / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE CHINESE CAPITAL MARKET --- p.6 / Chapter III. --- DATA AND METHODOLOGY --- p.10 / Cases Description --- p.10 / Event 1: Hong Kong Handover (1 July 1997) --- p.11 / Event 2: Zhu Rongji Elected the Prime Minister (March 1998) --- p.11 / Event 3: U.S.- China Summit (25 June 1998) --- p.12 / Event 4: The Chinese Embassy Bombingin Yugoslavia (8 May 1999) --- p.13 / Event 5: China's WTO Entry (15 November 1999) --- p.13 / Event 6: Macau Handover (20 December 1999) --- p.14 / Three Models --- p.15 / Chapter IV. --- EMPIRICAL RESULTS --- p.20 / Chapter V. --- CONCLUSION --- p.26 / APPENDIX --- p.28 / BILIOGRAPHY --- p.35

by Sek Ngo Chi, Tam Kin Sang Samson. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaf 38). / Acknowledgment --- p.5 / Chapter I. --- Introduction --- p.6 / Chapter II. --- Long-term objectives for Mergers and Acquisitions --- p.15 / Chapter III. --- Data Source and Terms --- p.21 / Chapter IV. --- Statistical Summary and Characteristics of Deals --- p.22 / Chapter V. --- Literature Review on Stock Market Reactions --- p.29 / Chapter VI. --- Stock Market Reactions --- p.30 / Chapter VII. --- Effects of Payment methods on M&A transactions --- p.33 / Conclusion --- p.37 / References --- p.38 / Appendices --- p.39

by Ao, Sio Iong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references. / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.2 / Chapter 1.2 --- Topics of this Study --- p.3 / Chapter 1.3 --- Econometric Analysis --- p.3 / Chapter 1.4 --- Computational Intelligence --- p.4 / Chapter 1.4.1 --- Overview --- p.4 / Chapter 1.4.2 --- Successful Cases of Applying CI in Time Series Analysis --- p.4 / Chapter 2 --- Background --- p.6 / Chapter 2.1 --- Market Descriptions --- p.6 / Chapter 2.1.1 --- Overview of the Markets --- p.6 / Chapter 2.2 --- VAR method --- p.10 / Chapter 2.2.1 --- Introduction --- p.11 / Chapter 2.2.2 --- Implementation of VAR by RATS --- p.12 / Chapter 2.2.3 --- Impulse Response Functions --- p.12 / Chapter 2.3 --- Neural Network --- p.14 / Chapter 2.3.1 --- Introduction --- p.14 / Chapter 2.3.2 --- Supervised vs Unsupervised learning --- p.15 / Chapter 2.3.3 --- Back-Propagation network --- p.15 / Chapter 2.4 --- Evolutionary Computation --- p.19 / Chapter 2.4.1 --- Motivation of Employing Evolutionary Computation --- p.19 / Chapter 2.4.2 --- Brief Description --- p.21 / Chapter 2.4.3 --- Genetic Algorithm --- p.21 / Chapter 3 --- Analysis of their Interdependence and SD --- p.23 / Chapter 3.1 --- Interdependence of the Asian Indices --- p.23 / Chapter 3.2 --- Forecasting Index Price with the Help of Neural Network --- p.26 / Chapter 3.3 --- Interdependence of the Standard Deviations of the Stock Indices --- p.28 / Chapter 3.4 --- Using the Neural Network to Make Forecasting of the Stan- dard Deviations --- p.29 / Chapter 3.5 --- Summary --- p.33 / Chapter 4 --- Forecasting Opening Prices --- p.34 / Chapter 4.1 --- Step 1: Identificating of the Interdependence of the Opening Price on Different Stock Indices by VAR --- p.36 / Chapter 4.2 --- Step 2: Using the Neural Network to Make Forecasting of the Opening Prices --- p.38 / Chapter 4.3 --- Summary --- p.39 / Chapter 5 --- Incorporating Correlated Markets --- p.41 / Chapter 5.1 --- Overview of the Markets from the Prespectives of VAR --- p.43 / Chapter 5.2 --- Investigation of the Correlations by VAR Method --- p.43 / Chapter 5.3 --- Prediction of the Market by Neural Network --- p.46 / Chapter 5.4 --- Hypothesis: the Correlations of the Markets Are Time-Dependent --- p.46 / Chapter 5.5 --- Testing this Hypothesis with Predictions by Neural Network . --- p.48 / Chapter 5.6 --- Summary --- p.51 / Chapter 5.7 --- F-tests Results on Different Periods of HK Markets --- p.51 / Chapter 6 --- Hybrid VAR-NN-EC System --- p.53 / Chapter 6.1 --- Introduction --- p.53 / Chapter 6.1.1 --- Overview of the Econometric Analysis of the Lead-Lag Relationship of Stock Markets --- p.54 / Chapter 6.1.2 --- Previous Results of Employing the Stand-alone Neural Network --- p.55 / Chapter 6.2 --- Working Mechanism of the Hybrid VAR-NN-EC --- p.56 / Chapter 6.3 --- Comparing Results from the VAR-NN-EC System --- p.58 / Chapter 6.4 --- Summary --- p.60 / Chapter 7 --- Hybrid System for Dual-Listing Indices --- p.61 / Chapter 7.1 --- Introduction --- p.61 / Chapter 7.2 --- HSI vs HSLRI --- p.62 / Chapter 7.2.1 --- HSI's Selection Criteria --- p.62 / Chapter 7.2.2 --- Hang Seng London Reference Index --- p.63 / Chapter 7.2.3 --- Motivation for the Study --- p.63 / Chapter 7.3 --- Data Descriptions --- p.64 / Chapter 7.4 --- Overviews of this Analysis System --- p.64 / Chapter 7.5 --- Results from the Simplified AR-NN System --- p.65 / Chapter 7.5.1 --- Regression Results --- p.66 / Chapter 7.5.2 --- NN Results --- p.67 / Chapter 7.6 --- Summary --- p.68 / Chapter 8 --- Using EC for Selecting Stock Experts --- p.70 / Chapter 8.1 --- Example of Evolutionary Computation --- p.71 / Chapter 8.2 --- Comparison of Results from the VAR-NN-EC System --- p.72 / Chapter 8.3 --- Summary --- p.73 / Chapter 9 --- Conclusion --- p.74 / Bibliography --- p.i

This dissertation explains the puzzling negative relationship between changes in stock volatility and credit spreads of corporate bonds. This relationship has been encountered in some empirical studies but has remained unexplained in the theoretical literature, which unanimously suggests the opposite relationship. This dissertation shows that this negative relationship can be produced by the dynamic endogenous asset composition of borrowing firms. On the one hand, higher asset volatility corresponds to lower future volatility of the firm's investments and lower credit spreads if the firm can reallocate resources optimally. On the other hand, short-term stock volatility corresponds to the current allocation of resources and thus increases with asset volatility. The combination of these two effects produces the negative relationship between changes in stock volatility and credit spreads. The empirical part of the dissertation shows that the relationship between changes in stock market volatility and credit spreads of long-term, high-quality corporate bonds (controlling for other variables) is negative, robust, and economically significant. Consistent with the predictions in this dissertation, the corresponding regression coefficient is a U-shaped function of the credit quality of the bonds. In addition, the dissertation shows that the relationship changes its sign in distressed market conditions and that a combination of normal and distressed market conditions can produce erroneous results.

No description available.

This study examines the performance of recently introduced passively-managed exchange-traded hedged funds (HETFs). Using data that cover the period 2008 to 2017 of all available HETFs under global macro and long-short classifications with sufficient number of observations, the study provides the most complete and update measure and documentation of the performance of these two fund categories. Little research has been done on HETFs' performance in despite of the rapid growth and expected future expansion of their market sizes, since the introduction of HETFs expands for ordinary investors investment opportunity set that were only available to high net wealth individuals and institutions. Using a simple 3-three factor model including equity, bond and volatility factors, it shows long-short HETFs cannot closely follow the returns of their corresponding indexes as global macro HETFs. By using Fung and Hsieh's (2004) 7-factor model, and Edelman, Fung and Hsieh's (2012) revised 8-factor model, significant negative alphas are found for strategy portfolios. The relatively poor performance of the HETFs can be attributed to their high expense ratio and their failure to closely track the benchmark index.

This thesis examines the characteristics of market microstructure on the Chinese stock exchanges (the Shanghai Stock Exchange and the Shenzhen Stock Exchange ) Analysis is based on using intraday 5-minute data covering a three-year period (2000 to 2002). The study focuses on empirical analysis and statistical testing of the Chinese Stock Market in three parts. Overall, the study suggests that the determinant of information asymmetries, through time and across traders, plays a key role in generating observed liquidity variations. The observed results are contradictory to the findings of Lamoureux and Lastrapes (1990) but in accordance with those of Rahman , Lee and Ang (2002). / Doctor of Philosophy (PhD) (Economics and Finance)

Thesis (Ph.D.)--University of Delaware, 2007. / Principal faculty advisors: James L. Butkiewicz, Dept. of Economics; Jeffrey H. Harris, Dept. of Finance. Includes bibliographical references.

Thesis (Ph.D.)--Southern Illinois University at Carbondale, 2000. / Major Professor: Subhash C. Sharma. Includes bibliographical references.

Thesis (Ph. D.)--University of Chicago, Graduate School of Business, June 2001. / Includes bibliographical references. Also available on the Internet.