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Beta coefficients and investment fundamentals of Hong Kong stocks: research report.January 1981 (has links)
by Ip Pak-nin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1981. / Bibliography: leaves 37-38.
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Empirical test of arbitrate pricing theory in Hong Kong stock market.January 1991 (has links)
by Chan Chun-hung Benjamin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 103-105. / ACKNOWLEDGMENT --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iv / LIST OF TABLE --- p.vii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- "THE THEORETICAL FOUNDATION OF THE CAPITAL ASSET PRICING MODEL, CAPM" --- p.3 / Chapter III --- THE THEORETICAL FOUNDATION OF THE ARBITRAGE PRICING THEORY --- p.5 / Chapter IV --- REVIEWS ON THE PREVIOUS STUDIES ON THE ARBITRAGE PRICING THEORY --- p.9 / Tests for Identification of the Number of Factors --- p.10 / Studies Supporting the APT --- p.10 / Roll and Ross [1980] --- p.10 / Chen [1983] --- p.12 / Pari and Chen [1984] --- p.13 / Chang and Lewellen [1985] --- p.15 / Studies Opposing the APT --- p.17 / Shanken [1982] --- p.17 / "Dhrymes, Friend and Gultekins [1985]" --- p.17 / The Gultekins [1987] --- p.18 / Test for Identification of Economic Factors --- p.20 / "Chen, Roll and Ross [1986]" --- p.20 / Burmeister and Wall [1986] --- p.26 / Sweeney and Warga [1986] --- p.27 / Beenstock and Chan [1988] --- p.28 / Chapter V --- THE FOUNDATION AND OBJECTIVE OF THE STUDY --- p.30 / Chapter VI --- THE PROPOSITION OF POTENTIAL FACTORS --- p.35 / The Rationale and Criteria of the Proposition --- p.35 / Descriptions of the Proposed Factors --- p.38 / Industrial Production (PI) --- p.38 / Industrial Production of Major Trading Partners --- p.39 / Exchange Rate (EERI) --- p.39 / Confidence Level of the Investors in Hong Kong --- p.41 / The Inflation Rate (CPI) --- p.42 / Interest Rate and Term Structure --- p.43 / Foreign Stock Market Performance --- p.44 / Chapter VII --- STATISTICAL CHARACTERISTICS OF THE POTENTIAL FACTORS --- p.45 / Intercorrelations of the Factors --- p.45 / Autocorrelations of the Factors --- p.47 / Chapter VIII --- METHODOLOGY --- p.50 / Phrase One: The Test on the CAPM Model --- p.50 / Phrase Two: The Test on the APT model with the Identification of Relevant Factors --- p.52 / Phrase Three: Test of the CAPM Residual --- p.55 / Chapter IX --- BASIC RESULTS AND INTERPRETATIONS --- p.57 / Phrase One: The Test on the CAPM Model --- p.57 / Beta Coefficient --- p.58 / "Statistical Significance, R2" --- p.60 / The Intercept Constant --- p.62 / Phrase Two: The Test on the APT Model --- p.64 / The Relevant Factors and the Betas --- p.64 / Financial Sector --- p.65 / Utilities Index --- p.65 / Properties Index --- p.67 / Hotels Index --- p.68 / Industrials Index --- p.69 / "Improvement in the Significance, R2" --- p.70 / The Intercept Constant --- p.72 / Phrase Three : Test of the Residuals of CAPM --- p.74 / Chapter X --- CONCLUSION --- p.76 / Chapter XI --- LIMITATIONS AND FURTHER IMPROVEMENTS --- p.79 / APPENDICES / Chapter I --- The Constituent Stocks of the Hong Kong Index As of April1990 --- p.83 / Chapter II --- Autocorrelations of the Sectorial Indices and Potential Factors --- p.85 / Chapter III --- Output of Regression on Sectorial Returns with Returns on Market Portfolio (HKI) as Independent Variable --- p.96 / Chapter IV --- Output of Regression (Stepwise) on Sectorial Returns with Factors as Independent Variables --- p.98 / Chapter V --- Output of Regression (Stepwise) on Residual Variances of Sectorial Indices (CAPM) with Factors as Independent Variables --- p.101 / BIBLIOGRAPHY --- p.103
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Evaluation of current legal framework of "B" shares market in China.January 1993 (has links)
Leung Kam Pui, Calvin, Ip Koon Tung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaf 50). / Chapter Chapter1 --- Introduction --- p.3 / Chapter Chapter 2 --- Methodology --- p.6 / Chapter Chapter 3 --- Market Profile --- p.9 / Chapter Chapter 4 --- Theoretical Framework --- p.16 / Chapter Chapter 5 --- Analysis / Chapter Chapter 6 --- Case Study - Champaign Industrial Co --- p.44 / Chapter Chapter 7 --- Conclusion --- p.47 / Appendix 1. Bibliography --- p.50 / Chapter 2. --- Related Regulations with the Shenzhen Stock Market --- p.53 / Chapter 3. --- Shareholding System --- p.54 / Chapter 4. --- Requirements for New Listing --- p.56 / Chapter 5. --- Settlement Procedure --- p.58 / Chapter 6. --- "How ""B"" Shares are Traded" --- p.60 / Chapter 7. --- List of Authorised Securities Companies --- p.61 / Chapter 8. --- "Company Profiles of ""B"" Shares" --- p.63 / Chapter 9. --- List of Questions & Interviews Record --- p.83
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Rights issue and stock price movement in Hong Kong.January 1993 (has links)
by Li Shu Kan Tony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaf 50). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.1 / LIST OF FIGURES AND TABLES --- p.2 / CHAPTER / Chapter I. --- INTRODUCTION --- p.3 / Definition of Rights Issue --- p.6 / Chapter II. --- PREVIOUS STUDIES --- p.9 / Chapter III. --- DATA COLLECTION --- p.13 / Chapter IV. --- METHODOLOGY --- p.16 / Sutdy Period --- p.20 / Chapter V. --- FINDINGS --- p.23 / Post-announcement Parameters --- p.24 / Discount to Net Asset Value --- p.26 / Amount raised from Right Issues --- p.30 / Right Issue Terms --- p.31 / Further test on Price Press Hypothesis --- p.33 / Chapter VI. --- CONCLUSION --- p.35 / Chapter VII. --- FIGURES AND TABLES --- p.37 / Chapter VIII. --- BIBLIOGRAPHY --- p.50
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Classical risk estimator vs implicit volatility superiority in the prediction of risk: an experience from Hong Kong.January 1990 (has links)
by Wong Yuet Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1990. / Bibliography: leaves 280-283. / ACKNOWLEDGMENTS --- p.1 / ABSTRACT --- p.2 / Chapter I. --- INTRODUCTION --- p.9 / Chapter A. --- Objective of the Study / Chapter II. --- RISK OF STOCK --- p.13 / Chapter A. --- Role of Risk in Finance / Chapter B. --- Assumption on the Risk Structure / Chapter C. --- Preliminary Description of the Data / Chapter D. --- Classical Risk Estimator / Chapter 1. --- Theoretical Background / Chapter 2. --- Empirical Results in U.S.A / Chapter 3. --- Empirical Studies in Hong Kong / Chapter E. --- Implicit Volatility from the Black & Scholes Model / Chapter 1. --- Theoretical Background / Chapter a. --- Algorithm for the Searching of the ISD / Chapter b. --- Concurrent ISDs of a Stock / Chapter c. --- Weighting Scheme and Selection Procedure / Chapter d. --- Comparison of AISD an LISD / Chapter 2. --- Empirical Results in U.S.A / Chapter a. --- Computation for the ISD / Chapter b. --- Patterns Display by the Concurrent ISDs / Chapter c. --- Choice of the Weighting Scheme / Chapter d. --- Significant Test on the Different between AISD an LISD / Chapter 3. --- Empirical Studies in Hong Kong / Chapter a. --- Computation of the ISD / Chapter b. --- Patterns Display by the Concurrent ISDs / Chapter c. --- Choice of the Weighting Scheme / Chapter d. --- Significant Test on the Different between AISD an LISD / Chapter III. --- COMPARISON ON THE TWO PREDICTORS --- p.59 / Chapter A. --- Preliminary Comparison of the Risk Estimators under Different Categorization / Chapter B. --- Structural Change on Risk after the June Fourth Event / Chapter C. --- Stability of the Implied Standard Deviation / Chapter 1. --- Empirical Results in U.S.A / Chapter 2. --- Empirical Studies in Hong Kong / Chapter D. --- Predictability on Future Risk / Chapter 1. --- Empirical Results in U.S.A / Chapter 2. --- Empirical Results in Hong Kong / Chapter IV. --- CONCLUSION --- p.78 / Chapter A. --- Comments and Compare the Empirical Results / Chapter 1. --- Degree of Market Efficient / Chapter a. --- U.S.A / Chapter b. --- Hong Kong / Chapter 2. --- Applicability of Option Pricing Model / Chapter a. --- U.S.A / Chapter b. --- Hong Kong / Chapter B. --- Suggested Modifications / Chapter 1. --- Data Selection / Chapter a. --- Period of Study / Chapter b. --- Selection of Warrants / Chapter 2. --- Modifications of the Option Pricing Model / Chapter a. --- Adjustment for Dividend / Chapter b. --- Correction for Dilution Effect / LIST OF TABLES --- p.103 / Chapter A. --- Preliminary Description of Data / Chapter 1 / Chapter a. --- Names of Warrant-issuing Stocks and the Expiry Year of the Warrants / Chapter b. --- Summary of the Number of Warrants Issued / Chapter 2. --- Categorization of Warrant-issuing Companies by: / Chapter a. --- Sector / Chapter i. --- Name of the Company in Different Sector / Chapter ii. --- Summary of the Number of Company Classified by Sector / Chapter b. --- Constituent Stocks of the Hang Seng Index / Chapter c. --- 20 Leading Companies in Market Capitalization / Chapter d. --- 20 Most Actively Traded Stocks in Shares / Chapter e. --- 20 Most Actively Traded Stocks in Dollars / Chapter B. --- Classical Risk Estimator / Chapter 1. --- Amount and Term of Dividend and the Exdividend Date / Chapter C. --- Implicit Volatility / Chapter 1. --- Terms of Warrant Contract / Chapter 2. --- Prime Rate and its Period of Effectiveness / Chapter 3. --- Newton-Raphson Iteration Process / Chapter a. --- Computation of the Positive ISDs / Chapter b. --- Computation of the zero ISDs / Chapter 4. --- Time Series on the Concurrent ISDs of a Stock / Chapter 5. --- Selection of the Weighting Scheme: Correlation Matrix of the Performance Test / Chapter a. --- WISD / Chapter b. --- UWISD / Chapter c. --- EISD / Chapter d. --- UEISD / Chapter e. --- WMISD / Chapter f. --- EMISD / Chapter 6. --- Selection Criteria / Chapter a. --- Position of the Correlation Coefficient in the Matrix of Different Weighting Scheme / Chapter b. --- Relationships Revealed by the Correlation Coefficients / Chapter c. --- Matrix of the Correlation Coefficients from Various Weighting Scheme / Chapter d. --- Ranking in the Correlation Coefficients for Various Weighting Scheme / Chapter e. --- Type of Relations Displayed in the Boxes of the Correlation Coefficient Matrix / Chapter 7. --- Comparison of AISD and LISD / Chapter D. --- Preliminary Comparison of the Two Risk Estimators under Different Categorization of the Warrant-issued Stocks / Chapter 1. --- Cross-Sectional Series / Chapter a. --- Sector / Chapter b. --- Constituent Stock of Hang Seng Index / Chapter c. --- 20 Leading Companies in Market Capitalization / Chapter d. --- 20 Most Actively Traded Stock in Shares / Chapter e. --- 20 Most Actively Traded Stock in Dollars / Chapter 2. --- Summary Statistics / Chapter a. --- Sector / Chapter b. --- Constituent Stock of Hang Seng Index / Chapter c. --- 20 Leading Companies in Market Capitalization / Chapter d. --- 20 Most Actively Traded Stock in Shares / Chapter e. --- 20 Most Actively Traded Stock in Dollars / Chapter E. --- Structural Change in Risk / Chapter 1 --- Test of Structural Change in HISTSD / Chapter 2 --- Test of Structural Change in ISD / Chapter a. --- CISD / Chapter b. --- CAISD / Chapter c. --- AVGCISD / Chapter F. --- Stability of ISD / Chapter 1 --- Time Series of the CISD / Chapter 2 --- Mean and Standard Deviation of CISD of: / Chapter a. --- Whole Year / Chapter b. --- Before June 6 / Chapter c. --- After June 6 / Chapter 3 --- Test of Stability of ISD as against CISD: / Chapter a. --- Whole Year / Chapter b. --- Before June 6 / Chapter c. --- After June 6 / Chapter G. --- Predictability on Future Risk / Chapter 1 --- Performance Test: Correlation Matrix and Cross Sectional Series Average Risk Level: / Chapter a. --- Whole Year / Chapter b. --- Before May 22 / Chapter c. --- After May 23 / Chapter d. --- Before June 5 / Chapter e. --- After June 6 / Chapter 2 --- Half Year Performance Test: Correlation Matrix and Cross Sectional Series Average Risk Level with Division Dates at: / Chapter a. --- April 4 and 6 / Chapter b. --- May 22 and 23 / Chapter c. --- June 5 and 6 / Chapter 3 --- Cross-sectional Average of HISTSD and ISD from: / Chapter a. --- Performance Test / Chapter b. --- Half Year Performance Test / Chapter 4 --- Predictability and Contemporary Relationship of Cross-sectional HISTSD and ISD from: / Chapter a. --- Performance Test / Chapter b. --- Half Year Performance Test / Chapter H. --- Validity of the Black and Scholes Model in the Pricing of Warrant in Hong Kong / Chapter 1. --- Test of the Validity of the Black and Scholes Model in the Pricing of Warrant in Hong Kong / Chapter 2. --- Summary of the Validity of the Black and Scholes Model in the Pricing of the Warrant for the Company that issued 2/3 Warrants / Chapter 3. --- Comparison on the Validity Test of the Constituent Stocks of the Hang Seng Index and all Other Stocks / LISTS OP COMPUTER PROGRAMS --- p.200 / Chapter A. --- Classical Risk Estimator: / Chapter 1 --- HISTSD1 and HISTSD2 / Chapter 2 --- HISTSD(90) / Chapter B. --- Implicit Volatility / Chapter 1 --- Algorithm for the Newton-Raphson Iteration Process / Chapter 2 --- Different Weighting Schemes / Chapter 3 --- Comparison of AISD and LISD / Chapter C. --- Significant Tests for Structural Change in Risk / Chapter 1 --- HISTSD / Chapter 2 --- CISD and CAISD / Chapter 3 --- AVGCISD / Chapter D. --- Stability Test / Chapter E. --- Predictability Tests / Chapter 1 --- Performance Test / Chapter 2 --- Half Year Performance Test / Chapter F. --- Validity of the Black & Scholes Model / APPENDIX --- p.223 / Chapter A. --- Glossary of Notations / Chapter B. --- Other Risk Estimator / Chapter C. --- Option / Chapter 1. --- Concept of Option / Chapter 2. --- Terminology of Option / Chapter 3. --- Determination of Option Value / Chapter 4. --- Trading Strategy of Option / Chapter 5. --- Features of Option as a Financial Instrument / Chapter 6. --- Special Attributes of Warrant / Chapter D. --- Historical Evaluation Methods / Chapter 1. --- Non-evaluation Approach / Chapter a. --- Rules and Formulas / Chapter b. --- Graphic Appraisal / Chapter 2. --- Fair Value Approach / Chapter a. --- Econometric Models / Chapter b. --- Probability Models / Chapter E. --- Black & Scholes Option Pricing Model / Chapter 1. --- Arbitrage Relations of Option Pricing / Chapter 2. --- Black and Scholes Model / Chapter a. --- Assumptions / Chapter b. --- Model Framework / Chapter F. --- Option Market / Chapter 1. --- Option Market in U.S.A / Chapter a. --- Historical Development / Chapter b. --- Present Trading Mechanic / Chapter 2. --- Option Market in Hong Kong / Chapter a. --- Present Trading Mechanic / Chapter b. --- Feasibility of an Option Market in Hong Kong / BIBLIOGRAPHY --- p.280
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A study of whether the stock returns of selected sectors are mainly influenced by the international factors or the domestic factors.January 1991 (has links)
by Leung Wing-keung, Edward, Wong Tai-chung, Ivan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 98-99. / Chapter CHAPTER I --- INTRODUCTION --- p.1 / OBJECTIVE OF THE STUDY --- p.2 / INDEXES --- p.2 / World Index --- p.3 / Industrial Indexes --- p.3 / Effective (Trade Weighted) Exchange. Rate Index --- p.4 / SRH Political/Economic Confidence Index --- p.4 / Average Consumer Price Index --- p.5 / Chapter CHAPTER II --- LITERATURE REVIEW --- p.6 / Domestic Versus International Factors --- p.6 / Currency Factors --- p.11 / Market Correlation --- p.19 / Conclusion --- p.22 / Chapter CHAPTER III --- METHODOLOGY --- p.24 / Portfolio construction --- p.25 / Industrial sectors --- p.26 / Indexes --- p.26 / Data Smoothing --- p.27 / Measure of Individual Stock Return --- p.28 / Regression --- p.30 / Simple Linear Regression --- p.30 / Multiple Linear Regression --- p.30 / Correlation --- p.31 / Chapter CHAPTER IV --- DATA COLLECTION --- p.32 / World Index --- p.32 / Industry Indexes --- p.32 / Effective (Trade-weighted) Exchange Rate Index (EERI) --- p.33 / SRH Political/Economic Confidence Index --- p.33 / Consumer Price Indexes --- p.33 / Return of Stocks --- p.33 / Chapter CHAPTER V --- STATISTICAL FINDINGS --- p.35 / Correlation of the Indexes and Stock Returns --- p.35 / World Index and Industry Indexes --- p.36 / World Index and Average CPI --- p.36 / Industry Indexes and Average CPI --- p.37 / Banking Portfolio --- p.38 / Financial Services --- p.39 / Textile & Apparel --- p.42 / Real Estates --- p.44 / Simple Regression --- p.47 / International Versus Domestic Factors --- p.47 / Individual Factors --- p.48 / Chapter CHAPTER VI --- CONCLUSION --- p.69 / Banking --- p.70 / Finance --- p.70 / Textile and Apparel --- p.70 / Real Estates --- p.71 / Chapter CHAPTER VII --- RECOMMENDATION FOR FURTHER RESEARCH --- p.72 / APPENDICES / Chapter APPENDIX 1 --- The Composition of Effective (Trade- weighted) Exchange Rate Index --- p.74 / Chapter APPENDIX 2 --- Method of Compilation of EERI --- p.75 / Chapter APPENDIX 3 --- Method of Compilation of SRH Confidence Indexes --- p.76 / Chapter APPENDIX 4 --- Weights for The New Consumer Price Indexes By Section of Commodities / Services --- p.78 / Chapter APPENDIX 5 --- Composition of The portfolios --- p.79 / Chapter APPENDIX 6 --- SRH Confidence Indexes --- p.81 / Chapter APPENDIX 7 --- SPSS Multiple Regression Results (Banking Portfolio) --- p.82 / Chapter APPENDIX 8 --- SPSS Multiple Regression Results (Financial Services Portfolio) --- p.86 / Chapter APPENDIX 9 --- SPSS Multiple Regression Results (Textile & Apparel Portfolio) --- p.90 / Chapter APPENDIX 10 --- SPSS Multiple Regression Results (Real Estates Portfolio) --- p.94 / BIBLIOGRAPHY --- p.98
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Central clearing and settlement system in Hong Kong: review and preview.January 1992 (has links)
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
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Underpricing of new stock issues in Hong Kong: phenomenon and underlying causes.January 1989 (has links)
by Ma Hing-Sing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 89-90.
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Investors' behaviour and the marketing activities of brokers in the Hong Kong stock market.January 1972 (has links)
Summary in Chinese. / Thesis (M.B.A.)--Chinese University of Hong Kong. / Bibliography: leaves 103-105.
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Earnings announcements and common stock price behaviour in Hong Kong.January 1988 (has links)
by Chan Yan Ho, Tommy. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 32-33.
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