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

Chang Li. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Abstract --- p.ii / 論文摘要 --- p.iii / Acknowledgement --- p.iv / Table of Contents --- p.v / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review and Hypotheses --- p.4 / Chapter 2.1 --- Literature Review --- p.4 / Chapter 2.2 --- Main Hypotheses --- p.7 / Chapter Chapter 3 --- Methodology --- p.12 / Chapter 3.1 --- Size and volume classifications --- p.12 / Chapter 3.2 --- Portfolio formation strategies --- p.15 / Chapter 3.3 --- Statistical inferences --- p.17 / Chapter Chapter 4 --- Data Analyses --- p.19 / Chapter 4.1 --- Descriptive statistics --- p.19 / Chapter 4.2 --- Main results --- p.20 / Chapter 4.3 --- Tests using absolute share volume as an alternative volume measure --- p.26 / Chapter Chapter 5 --- Tests using Return as an Additional Conditioning Variable --- p.31 / Chapter 5.1 --- Return classifications --- p.32 / Chapter 5.1 --- Test results --- p.33 / Chapter Chapter 6 --- Conclusion --- p.36 / References --- p.38

Yip Wai-chung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 106-110). / Abstracts in English and Chinese. / ABSTRACT --- p.ii / 內容摘要 --- p.iv / ACKNOWLEGDEMENTS --- p.vi / LIST OF FIGURES --- p.ix / LIST OF TABLES --- p.x / Chapter Chapter I --- INTRODUCTION --- p.1 / Chapter Chapter II --- LITERATURE REVIEW --- p.7 / Chapter 2.1 --- Operating Performance of SEO Issuers --- p.7 / Chapter 2.1.1 --- Theoretical Background --- p.8 / Chapter 2.1.1.1 --- Free Cash Flow Theory --- p.8 / Chapter 2.1.1.2 --- Windows of Opportunity Theory --- p.10 / Chapter 2.1.1.3 --- Market Over-optimism Theory --- p.12 / Chapter 2.1.1.4 --- Earning Management Theory --- p.13 / Chapter 2.1.2 --- Empirical Background --- p.16 / Chapter 2.2 --- Corporate Governance Variables and Operating Performance --- p.18 / Chapter 2.2.1 --- Firm Size and Operating Performance --- p.20 / Chapter 2.2.2 --- Market Transaction Volume and Operating Performance --- p.21 / Chapter 2.2.3 --- Dividend Payout Ratio and Operating Performance --- p.22 / Chapter 2.2.4 --- Other Corporate Governance Variables and Operating Performance --- p.24 / Chapter 2.3 --- Price Performance of SEO Issuers --- p.28 / Chapter 2.3.1 --- Announcement Effect --- p.28 / Chapter 2.3.2 --- Long-run Effect --- p.30 / Chapter 2.4 --- Determinants of Operating Performance Decline and Price Performance --- p.32 / Chapter Chapter III --- SAMPLE DATA AND METHODOLOGY --- p.34 / Chapter 3.1 --- Sample Data Description --- p.34 / Chapter 3.2 --- Methodology --- p.37 / Chapter 3.2.1 --- Operating Performance of SEO Issuers --- p.38 / Chapter 3.2.2 --- Corporate Governance Variables and Operating Performance --- p.42 / Chapter 3.2.2.1 --- Firm Size and Operating Performance --- p.43 / Chapter 3.2.2.2 --- Market Transaction Volume and Operating Performance --- p.43 / Chapter 3.2.2.3 --- Dividend Payout Ratio and Operating Performance --- p.44 / Chapter 3.2.2.4 --- Other Corporate Governance Variables and Operating Performance --- p.45 / Chapter 3.2.3 --- Price Performance of SEO Issuers --- p.46 / Chapter 3.2.4 --- Determinants of Operating Performance Decline and Price Performance --- p.48 / Chapter Chapter IV --- RESULTS ON OPERATING PERFORMANCE --- p.50 / Chapter 4.1 --- Operating Performance of SEO Issuers --- p.50 / Chapter 4.2 --- Determinants of Operating Performance --- p.53 / Chapter 4.2.1 --- Firm Size and Operating Performance --- p.53 / Chapter 4.2.2 --- Market Transaction Volume and Operating Performance --- p.57 / Chapter 4.2.3 --- Dividend Payout Ratio and Operating Performance --- p.60 / Chapter 4.2.4 --- Other Corporate Governance Variables and Operating Performance --- p.63 / Chapter Chapter V --- RESULTS ON PRICE PERFORMANCE --- p.68 / Chapter 5.1 --- Price Performance of SEO Issuers --- p.68 / Chapter 5.2 --- Determinants of Operating Performance Decline and Price Performance --- p.72 / Chapter Chapter VI --- CONCLUSION --- p.79 / FIGURES --- p.85 / TABLES --- p.94 / APPENDIX --- p.105 / BIBLIOGRAPHY --- p.106

Wu Hiu-fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 86-89). / Abstracts in English and Chinese. / Abstract --- p.i / Table of Contents --- p.iv / List of Tables --- p.iii / List of Figures --- p.iv / Chapter I. --- Introduction --- p.1 / Chapter II. --- Literature Review --- p.10 / Chapter A. --- Existence and Persistence of Momentum Profitability --- p.10 / Chapter B. --- Potential Sources of Momentum Profitability and Behavioral Models Explanations --- p.11 / Chapter C. --- Evaluations of Possible Explanations --- p.14 / Chapter III. --- Data and Methodology --- p.18 / Chapter A. --- Portfolio Formation --- p.18 / Chapter B. --- Risk-Adjusted Momentum Profits --- p.20 / Chapter 1. --- Capital Asset Pricing Model (CAPM) (Sharpe (1964) and Lintner (1965)) --- p.21 / Chapter 2. --- Fama and French Three-Factor Model (Fama and French (1996)) --- p.21 / Chapter 3. --- Chordia and Shivakumar Four-Factor Model (Chordia and Shivakumar (2001)) --- p.21 / Chapter C. --- Momentum Profitability and Firm Characteristics --- p.24 / Chapter D. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.28 / Chapter IV. --- Empirical Results --- p.30 / Chapter A. --- Momentum Profitability in the Hong Kong Stock Market --- p.30 / Chapter B. --- Profitability of Momentum Portfolios in Each Calendar Month --- p.33 / Chapter C. --- Properties of Momentum Portfolios --- p.34 / Chapter D. --- Risk- adjusted Return of the Zero-cost Momentum Portfolio --- p.36 / Chapter E. --- Long-run Profitability of Momentum Portfolios --- p.37 / Chapter F. --- Momentum Profitability and Firm Characteristics --- p.42 / Chapter 1. --- Momentum Profitability and Firm Size --- p.42 / Chapter 2. --- Momentum Profitability and Book-to-market Ratio --- p.44 / Chapter 3. --- Momentum Profitability and Trading Volume --- p.45 / Chapter 4. --- Momentum Profitability and Stock Price --- p.46 / Chapter 5. --- Momentum Profitability and Industry Classifications --- p.46 / Chapter 6. --- Momentum Profitability and Analyst Coverage --- p.48 / Chapter 7. --- "Momentum Profitability, Firm Size and Book-to-market Ratio" --- p.49 / Chapter 8. --- "Momentum Profitability, Firm Size and Trading Volume" --- p.50 / Chapter 9. --- "Momentum Profitability, Book-to-market Ratio and Trading Volume" --- p.51 / Chapter 10. --- "Momentum Profitability, Firm Size and Analyst Coverage" --- p.52 / Chapter 11. --- "Momentum Profitability, Book-to-market and Analyst Coverage" --- p.52 / Chapter G. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.53 / Chapter V. --- Conclusion --- p.57 / Reference --- p.86

by Chow Shun Yin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 45-46). / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iii / LIST OF TABLE --- p.iv / ABBREVIATION --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- OVERVIEW OF HONG KONG STOCK OPTIONS --- p.4 / Chapter III. --- LITERATURE REVIEW --- p.6 / Chapter IV. --- METHODOLOGY AND DATA EMPLOYED --- p.10 / Test A ´ؤ Trading Volume Approach --- p.10 / Test B ´ؤ Trading Volume-Price Volatility Approach --- p.13 / Sample Selection --- p.15 / Data Collection --- p.16 / Chapter V. --- EMPIRICAL RESULTS --- p.17 / Findings --- p.24 / Discussion --- p.27 / Chapter VI. --- CONCLUSION --- p.30 / APPENDIX / BIBLIOGRAPHY

Chan Chi-fai Quincy. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 52-55). / Abstracts in English and Chinese. / ACKNOWLEDGMENTS --- p.iv / LIST OF TABLES --- p.v / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- LITERATURE REVIEW --- p.4 / Chapter THREE --- DATA AND METHODOLOGY --- p.8 / Moving Averages (MA) / Relative Strength Index (RSI) / Buy-and-Hold (B & H) and the Annual Return / Transaction Costs and the Adjusted Return / Chapter FOUR --- EMPIRICAL RESULTS --- p.13 / Hong Kong-HSI / Results Without Short Selling / Results With Short Selling / Results / Singapore - STII / Results Without Short Selling / Results With Short Selling / Results / Taiwan-TWSE / Results Without Short Selling / Results With Short Selling / Results / Korea-KSP / Results Without Short Selling / Results With Short Selling / Results / Chapter FIVE --- CONCLUSION --- p.30 / TABLES --- p.32 / ILLUSTRATIONS --- p.45 / BIBOGRAPHY --- p.52

published_or_final_version / Law / Doctoral / Doctor of Philosophy

published_or_final_version / Statistics / Master / Master of Social Sciences

published_or_final_version / Economics / Master / Master of Philosophy

This dissertation examines stock price behavior on the Hong Kong stock market in terms of normality of returns and the efficiency of that market. The results reveal that the Hong Kong stock market is efficient, although the degree of efficiency is somewhat different from what has been found for securities traded in the U.S. market. Moreover, it was found that as a small but active stock market, the Hong Kong market is sensitive and highly vulnerable to international events. The study also analyzes the relationship among different national equity markets, i.e., the U.S., the U.K., Japan, and Hong Kong. The results show that a substantial amount of multi-lateral interaction is present among national equity markets. In addition, some common seasonal patterns of stock price movements appear across the different national markets, and innovation transmissions from market to market are significant and efficient. The study provides added support to the hypothesis of an integrated world financial market. / Ph. D.