published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Management Studies / Master / Master of Business Administration

published_or_final_version / Geography / Master / Master of Philosophy

by Au Yuk Mui, Kitty, Lo King Yuen, Simon. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Includes bibliographical references. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGEMENT --- p.v / Chapter CHAPTER I --- INTRODUCTION --- p.1 / Hong Kong Stock-Market --- p.2 / History of Hong Kong Stock Market --- p.2 / Stock Indexes in Hong Kong --- p.4 / Process in Granting Dividend to Investors --- p.6 / Transaction Cost in Stock Trading --- p.7 / Chapter CHAPTER II --- HYPOTHESES --- p.10 / Chapter CHAPTER III --- LITERATURE REVIEW --- p.14 / Review of Hong Kong Taxation System --- p.14 / Literature Review --- p.16 / Survey on the Shareownership --- p.22 / Chapter CHAPTER IV --- METHODOLOGY --- p.26 / Data Collection --- p.26 / Stock price & Dividend --- p.26 / Market Index --- p.28 / Regression equation --- p.30 / Chapter CHAPTER V --- STATISTICAL FINDING --- p.36 / Practice of dividend payment --- p.36 / Stock price drop vs Dividend --- p.40 / Adjusted Ex-date Return vs Dividend Yield --- p.46 / Multiple regression analysis on the CAPM equation for ex-date return --- p.60 / Chapter CHAPTER VI --- LIMITATION --- p.73 / Abnormal crisis --- p.73 / Market Index --- p.74 / Portfolio approach --- p.75 / Transaction Cost --- p.76 / Chapter CHAPTER VII --- CONCLUSION --- p.77 / Chapter APPENDIX A --- "REGRESSION RESULT FOR RATE OF STOCK PRICE DROP AND DIVIDEND YIELD, IN ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.79 / Chapter APPENDIX B --- "REGRESSION RESULT FOR ADJUSTED EX-DATE STOCK RETURN AND DIVIDEND YIELD, IN ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.80 / Chapter APPENDIX C --- "RESULT OF MULTIPLE REGRESSION ANALYSIS FOR ADJUSTED EX-DATE STOCK RETURN AND DIVIDEND YIELD, ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.82 / Chapter APPENDIX D --- THE IMPLIED RISK FREE RATE --- p.84 / REFERENCES --- p.85

by Tong Yuen Mun Andy. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 76-77.

by Nip Yun Wing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaf 75.

by Kam Tsz-Chung, Narayanan Kamakodi. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 45-46). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGEMENT --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Asian Crisis 1997 --- p.1 / Project Objectives --- p.2 / Report Structure --- p.2 / Methodology --- p.3 / Chapter II. --- ESSENTIALS OF HEDGE FUNDS --- p.4 / What is a Hedge Fund? --- p.4 / Common Characteristics of Hedge Funds --- p.5 / Comparison of Hedge Funds and Traditional Investment Tools --- p.7 / Popular Misunderstanding --- p.7 / Eight Investment Styles --- p.8 / Fund Structures --- p.12 / Fees --- p.13 / The Rule of Game --- p.13 / Risk Hedging Mechanism by Hedge Fund --- p.14 / Difference Between Hedge Fund and Mutual Fund --- p.14 / Chapter III. --- HEDGE FUND INDUSTRY --- p.16 / Evolution of Hedge Funds --- p.16 / "Number, Size, and Location of Hedge Funds" --- p.16 / Recent Performance --- p.17 / Closing Down of Tiger Management LLC --- p.18 / Supervision and Regulation --- p.18 / Hedge Fund Managers --- p.21 / Hedge Fund Institutions --- p.21 / Chapter IV. --- LITERATURE REVIEW --- p.22 / Returns of Hedge Funds --- p.22 / Chapter V. --- CASE STUDY ON A FAMOUS HEDGE FUND --- p.24 / Long-Term Capital Management --- p.24 / Chapter VI. --- PERSPECTIVES IN ASIAN-PACIFIC REGION --- p.28 / A Survey on Hedge Funds --- p.28 / An Interview with a Hedge Fund Manager in Hong Kong --- p.31 / An Interview with a Fund Manager in Hong Kong --- p.33 / An Interview with the Financial Secretary of HKSAR Government --- p.36 / Chapter VII. --- RECOMMENDATION AND CONCLUSION --- p.37 / General Roles of Hedge Funds in the Financial Market --- p.37 / Specific Roles of Hedge Funds in Asian-Pacific Region --- p.38 / Conclusion --- p.38 / Recommendation --- p.39 / APPENDIX --- p.41 / BIBLIOGRAPHY --- p.45

by Sze Kin Wan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 69-75). / Abstract also in Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.v / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- REVIEW OF THE LITERATURE --- p.7 / Stock Returns and Trading Volume / Volatility / Chapter THREE --- ECONOMETRIC ANALYSIS --- p.16 / Unit Root Tests / Lag Length Tests / Causality Detection between Two Series / ARCH Modelling / Chapter FOUR --- DATA AND ESTIMATION RESULTS --- p.34 / Data / Unit Root Test / Optimal Lag Length / Causality Detection / GARCH Modelling / Chapter FIVE --- CONCLUSION --- p.62 / APPENDIX --- p.67 / BIBLIOGRAPHY --- p.69 / ILLUSTRATIONS --- p.76

All these results indicate that the hypothesis of weak-form market efficiency has limited applicability in the Hong Kong stock market and that recognised inefficiencies are strongly associated with the information of trend-chasing technical analysts. The results are also consistent with the findings of a theoretical model proposed in this dissertation. In particular, the model suggests that trend-chasing behaviour, together with uncertainty about intrinsic values, contributes to market inefficiency. / This dissertation studies the relationship between the use of trend-chasing technical analysis and inefficiency in the Hong Kong stock market. To answer how widespread use of technical analysis can influence stock prices, a simple equilibrium model is developed. It is shown that trend-chasing behaviour, together with uncertainty about intrinsic values, leads to market inefficiencies in the form of overshooting, positive autocorrelation of short-horizon returns, mean reversion and excess volatility. / To empirically test whether market inefficiency is associated with the information of trend-chasing technical analysts, this dissertation focuses on the Hong Kong stock market, in which technical analysis is widely used. The data covers daily closing values of the Hang Seng Index (HSI) in Hong Kong from 1969 to 1992. The results show that the buy and sell signals obtained from MA rules, which are commonly used indicators of technical analysis in the market, are strongly associated with abnormal price behaviour. For instance, when changes in these MA signals are observed, short-run abnormal price behaviour is noted. That is, stock prices tend to rise when the MA rules change to buy signals and tend to fall when they change to sell signals. Also, autocorrelation in daily returns appears to differ for periods following buy and sell signals. Daily returns tend to be more autocorrelated when the MA rules provide buy signals and less autocorrelated when they provide sell signals. Moreover, when most MA rules show buy signals, mean reversion is more pronounced in subsequent dates. Furthermore, fund managers in Hong Kong can benefit from using the buy and sell signals because they consistently provide information allowing for superior market timing. / by Wong Chak-sham Michael. / Source: Dissertation Abstracts International, Volume: 59-09, Section: A, page: 3579. / Thesis (Ph.D.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (p. 134-145). / 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. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / School code: 1307.

Kong Tze-shan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 60-62). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Moving Average --- p.5 / Chapter 2.2 --- Other Trading Rules --- p.9 / Chapter 2.3 --- Share Repurchase --- p.12 / Chapter 2.3.1 --- Types of Share Repurchase --- p.12 / Chapter 2.3.2 --- Previous Studies on Relationship between Share Repurchase and Stock Price --- p.14 / Chapter 3 --- Regulations and Facts of Share Repurchase in Hong Kong --- p.19 / Chapter 4 --- Data Summary --- p.23 / Chapter 4.1 --- Description on Hong Kong Stock Market --- p.23 / Chapter 4.2 --- Description on Hang Seng Index --- p.24 / Chapter 4.3 --- Description on Stock Price Series --- p.25 / Chapter 4.4 --- Description on Repurchase Data --- p.26 / Chapter 5 --- Profitability of Technical Trading Rule --- p.30 / Chapter 5.1 --- Moving Average --- p.30 / Chapter 5.2 --- Result of Individual Stocks --- p.32 / Chapter 5.3 --- Overall Result for 25 Stocks Tested --- p.35 / Chapter 5.4 --- Using short moving averages rather than current stock price --- p.37 / Chapter 6 --- Profitability with transaction cost --- p.39 / Chapter 6.1 --- Result of Individual Stock --- p.39 / Chapter 6.2 --- Sharpe Ratio of 25 Stocks Tested --- p.40 / Chapter 7 --- Profitability with Share Repurchase Dates Removed --- p.42 / Chapter 7.1 --- Removing Share Repurchase Dates --- p.42 / Chapter 7.2 --- Result of Individual Stock --- p.43 / Chapter 7.3 --- Overall Results for 10 Stocks Tested --- p.44 / Chapter 7.4 --- Removing Repurchase Dates of 28 Non-HSI Constituent Stocks --- p.47 / Chapter 8 --- Further discussion --- p.51 / Chapter 8.1 --- Basic differences in market structure --- p.51 / Chapter 8.2 --- Difference between central bank intervention and share repurchase --- p.52 / Chapter 8.2.1 --- Motivation of central bank intervention --- p.53 / Chapter 8.2.2 --- Motivation of share repurchase --- p.53 / Chapter 9 --- Conclusion --- p.57