Thesis submitted in fulfillment of the requirements for the degree of Master of Management in Finance & Investment in the Faculty of Commerce, Law and Management Wits Business School at the University of the Witwatersrand 2017 / There are 29 formal stock exchanges on the African continent with 23 based in sub-Saharan Africa. The pace and stage of stock market development has varied among most of the countries as only four stock markets have more than 50 listed stocks; five have at least 20 listed stocks; and the remaining 14 have less than 20 stocks. The Johannesburg Stock Exchange (JSE) stands out in Africa as by far the continent’s largest, most liquid and best regulated market and is home to some of the continent’s largest and most sophisticated companies. Cross listing refers to the listing of ordinary shares of a firm on an exchange other than the stock exchange in its registered jurisdiction. There are 24 JSE listed companies that have cross listed on other Sub-Saharan African stock exchanges. The bulk of these, (14), have cross listed on the Namibia Stock Exchange, 3 cross listed on Botswana Stock Exchange, 1 on the Nairobi Stock Exchange, 1 on the Ghanaian Stock Exchange, 3 on the Malawian Stock Exchange, 1 on the Zambian Stock Exchange and 1 on the Zimbabwean Stock Exchange. The study establishes the possible reasons and benefits of cross listing on other sub-Saharan exchanges for JSE listed companies. The study also provides insight into the possible effects, (financial as well as any others), of cross listing on other sub-Saharan African exchanges that a number of JSE listed entities have experienced. The study uses financial information collected from a public platform, (Sharedata), to compute financial ratio’s to determine the financial implications of the JSE companies cross listing on other sub-Saharan exchanges. The effects of cross listing on the JSE companies are then measured using latent growth curve modelling and a paired t test. The study concludes that there is no evidence to suggest that there are financial benefits for JSE listed companies to cross list on other sub-Saharan exchanges. The study further suggests that JSE listed companies should rather consider cross listing for qualitative reasons rather for any quantitative reasons. / MT2017

Research thesis submitted in partial fulfilment of the requirements for the degree Masters of Management in Finance and Investment Faculty of Commerce, Law and Management Wits Business School University of Witwatersrand June 2017 / Sovereign credit ratings provide a summary of the economic conditions of a particular country, and are a representation of the ability and willingness of a country to make its debt payments as they fall due. These ratings provide an indication of the cost of borrowing in that country, so a country would like to obtain the highest possible credit rating. These ratings are provided by independent agencies who use their own systems to provide a rating and an outlook. Credit ratings are important as they provide information to investors on the potential investability and access to financial markets of that particular country. The problem found by some literature is the reliability of ratings in emerging markets as investors perceive these markets to be riskier in nature. In this paper, the aim was to identify what the different factors that the two big agencies, Moody’s and Standard and Poor’s use when rating a country. This is done through using a multiple regression model on 5 emerging economies from different continents from 1994 to 2015, based on annual data. The first step was to find out what are the macro-economic variables that have strong correlations with the agencies, and the results show that external balances as a % of GDP and the GDP growth have low correlations with the ratings. The regression analysis also shows that Moody’s takes the inflation rate into consideration when rating a country but Standard and Poor’s does not. The paper also wanted to identify the effects of ratings on markets, and this was done through the effect of ratings on the interest rate spreads. The results show that the rating differential, which was the ratings from Moody’s subtracted from the ratings of Standard and Poor’s, affect the interest rate spreads negatively, therefore a better rating should reduce the spread and have a positive effect on the financial markets. / MT2017

by Leung Chui-wa. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 72-75). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / ACKNOWLEDGEMENT --- p.vii / Chapters / Chapter I. --- introduction --- p.1 / Purpose of the project --- p.2 / Scope of the project --- p.2 / Methodology and literature review --- p.2 / Chapter II. --- BACKGROUND OF OFFSHORE LISTING OF CHINA ENTERPRISES --- p.5 / Reform of China state-owned enterprise --- p.5 / Development of China securities market --- p.8 / Capital needs of China --- p.11 / China's participation in global economy --- p.12 / China's resumption of Hong Kong's sovereignty --- p.13 / Chapter III --- OVERVIEW OF OFFSHORE LISTING OF CHINA ENTERPRISES.…… --- p.15 / China policies over offshore listings of China enterprises --- p.15 / Overall policy --- p.16 / Selection of State-owned enterprises for offshore listings --- p.17 / Selection of listing venue --- p.19 / Competition among stock exchanges worldwide --- p.20 / Australia --- p.21 / Canada --- p.22 / London --- p.22 / Singapore --- p.23 / Tokyo --- p.24 / Chapter IV. --- listings of china enterprises in hong kong and the united states --- p.26 / Current situation in Hong Kong and New York --- p.26 / China enterprises listed in Hong Kong and New York --- p.28 / Hong Kong --- p.28 / New York --- p.30 / Important issues for consideration --- p.32 / Regulatory regime --- p.32 / Offering mechanism --- p.35 / Market characteristics --- p.38 / Advantages and disadvantages of listing in Hong Kong and the US --- p.39 / Chapter V. --- trading performance of h shares and h/n share adrs … --- p.41 / Scope and methodology of the analysis --- p.41 / Findings --- p.42 / Discussion --- p.45 / Chapter VI. --- discussion and conclusion --- p.47 / Implications on SOEs and China economy --- p.47 / Implications on the Hong Kong stock market --- p.50 / appendix --- p.54 / bibliography --- p.72

by Cheung Chan-Wah. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 80-86). / ABSTRACT --- p.ii / TABLF OF CONTENTS --- p.iii / LIST OF TABLES --- p.iv / ACKNOWLEDGMENTS --- p.v / Chapter / Chapter I --- INTRODUCTION l --- p.1 / Chapter II. --- REVIEW OF LITERATURE --- p.7 / Chapter III. --- METHODOLOGY。 --- p.16 / Summary Statistics --- p.16 / Correlation --- p.21 / GARCH Estimation --- p.22 / Chapter IV. --- NATIONAL MARKET INDEX AND DATA --- p.31 / National Stock Indices and Trading Mechanisms --- p.31 / Stock Return Data and Data Transformation --- p.34 / Chapter V. --- EMPIRICAL RESULTS --- p.37 / Summary Statistics --- p.37 / Cross-Correlation --- p.45 / GARCH Estimation --- p.51 / Chapter VI. --- SUMMARY AND CONCLUSION --- p.75 / BIBLIOGRAPHY --- p.80

Yu Xin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 35-38). / Abstracts in English and Chinese.

Li Zimu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 65-68). / Abstracts in English and Chinese. / Abstract --- p.ii / 中文摘要 --- p.iii / Acknowledgements --- p.iv / Contents --- p.v / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.5 / Chapter 2.1 --- Duration Dependence in Business Cycles --- p.5 / Chapter 2.2 --- Duration Dependence in Stock Market Cycles --- p.7 / Chapter 2.3 --- Definition of Bull and Bear Markets --- p.10 / Chapter Chapter 3. --- Nonparametric Tests for Duration Dependence --- p.12 / Chapter 3.1 --- Duration Dependence --- p.12 / Chapter 3.2 --- Stock Market Cycle Periodicity --- p.15 / Chapter 3.3 --- W and W (t0 =a) Tests --- p.18 / Chapter 3.4 --- Z and Z (t0 =a) Tests --- p.20 / Chapter Chapter 4. --- Data Analysis --- p.21 / Chapter 4.1 --- Dow Jones Industrial Average Index --- p.23 / Chapter 4.2 --- NASDAQ Composite Index --- p.29 / Chapter 4.3 --- Shanghai A Share Index --- p.33 / Chapter 4.4 --- Shenzhen B Share Index --- p.38 / Chapter Chapter 5. --- Empirical Results --- p.42 / Chapter 5.1 --- Dow Jones Industrial Average Index --- p.45 / Chapter 5.2 --- NASDAQ Composite Index --- p.47 / Chapter 5.3 --- Shanghai A Share Index --- p.49 / Chapter 5.4 --- Shenzhen B Share Index --- p.51 / Chapter 5.5 --- Summary of Significant W and Z tests --- p.53 / Chapter Chapter 6. --- Sub-sample Analysis --- p.54 / Chapter 6.1 --- Sub-sample 1 of the Dow Jones Index´ؤ --- p.56 / Chapter 6.2 --- Sub-sample 2 of the Dow Jones Index´ؤ --- p.57 / Chapter 6.3 --- Comparison of Sub-samples of the Dow Jones Index --- p.58 / Chapter 6.4 --- Comparison of the Dow Jones Index and the NASDAQ Composite Index --- p.60 / Chapter Chapter 7. --- Conclusion --- p.62 / References --- p.65

A central topic in empirical asset pricing is how to explain anomalies in various trading horizons. This dissertation contains two essays that study several anomalies in medium-term/long-term investment in the equity market and in high-frequency trading in the foreign exchange market. In the first essay, I propose an investor underreaction model with heterogeneous truncations across time and stocks. In this setting, investors are more attracted to dramatic changes in stock prices than to gradual changes. Continuous information causes signals to be truncated which delays their incorporation into stock prices thus generating momentum. Under the assumption that investors are more attracted to winner stocks and ignore more information in loser stocks, I show that a loser portfolio exhibits stronger momentum and higher profitability than a winner portfolio with the same discreteness level. A trading strategy based on this model yields high alphas and Sharpe ratios. Evidence from social media trends aligns well with this model. In the second essay, I develop multivariate logistic models to explain the short-term offer price movement of the currency pair EUR/USD from the EBS limit order book. Using logistic regression based methods, I study the impact of various market microstructure factors on offer price changes in the next second. The empirical results show explanatory power for the testing sample up to 45% and a true positive rate of the prediction up to 87%. The model reveals interesting mechanisms for the underlying driving forces of the tick-by-tick currency price movement.

本論文的第一部分介紹一個帶基準約束的連續時間均值方差資產組合選擇問題。這個非凸優化問題將採用拉格朗日乘數來解決，並求出相應的答案及其存在準則。為了進行敏感性分析，相應的最佳投資組合及其一些導數將被明確求出。在第二部分中，我們採用標準的線性回歸技巧來檢定三個日曆效應是否在統計上顯著。其中最顯著的效應是四月及十二月的回報比全年平均為高。 / The first part of this thesis presents a benchmarked continuous-time mean-variance portfolio selection problem. The method of Lagrange multipliers is employed to solve this non-convex optimization problem, and the criterion for the existence of solution is derived accordingly. The corresponding efficient portfolio and its derivatives are explicitly derived for sensitivity analysis. The second part we employ the standard linear regression technique to test whether three calendar effects are statistically significant. The most significant effect is that the returns in April and December are higher than the average in the whole year. / Detailed summary in vernacular field only. / Yip, Fai Lung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 49-53). / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Mean Variance --- p.5 / Chapter 2.1 --- Model --- p.5 / Chapter 2.2 --- Portfolio Selection and the Solution --- p.9 / Chapter 2.3 --- Existence and Uniqueness of Lagrange Multipliers --- p.21 / Chapter 2.4 --- Optimal Trading Strategy --- p.29 / Chapter 2.5 --- Sensitivity Analysis --- p.34 / Chapter 3 --- Calendar Effect --- p.39 / Chapter 3.1 --- Data and Method --- p.39 / Chapter 3.2 --- Results --- p.42 / Chapter 4 --- Appendix --- p.47 / Chapter 4.1 --- Procedures Used to Obtain the Results in Chapter 4 --- p.47 / Bibliography --- p.49

In the second part of the thesis, we investigate whether ownership structure has influence to long-term stock return. We use a risk adjustment method to make it possible to compare stock return in different terms, therefore, we can use GMM method to estimate the influence of ownership structure in a panel sample set. We find that, insider ownership and institutional ownership are all significantly favorable to long-term stock return. However, the quarterly insider ownership change and quarterly institutional ownership change do not show significant influence. We also use a Fama-MacBeth approach to compare the results from GMM estimation and we find that the results are similar. / This thesis consists of two related parts. In the first part, we develop a method to extract insider ownership information from insider transaction reporting files and by combining it with quarterly institutions holding report data, we obtain quarterly ownership structure for most common stocks listed in CRSP tape. We use ownership structure and quarterly ownership change to analyze how insiders, large institutions and individual investors differ from each other in their holding preference to stock characteristics and trading behavior. We find that, these three kinds of investors have significant difference in holding preference to size, price, monthly turnover, previous 12-months return. They also show significant difference in trading behaviors. Basically, institutions are momentum trader, and are interested in "growth" stocks. Insiders are anti-momentum trader, they sell more when past return is higher and they more focus on "value" stocks. / Zhu, Honghui. / "September 2002." / Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4150. / Supervisors: Jia He; Xiaoqiang Cai. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 94-101). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

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