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

Song Yingkun. / Thesis submitted in: December 1999. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 31-34). / Abstracts in English and Chinese.

Zhu Yuande. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 83-87). / Abstracts in English and Chinese. / Chapter CHAPTER 1 --- Introduction --- p.1 / Chapter CHAPTER 2 --- Review of Theories and Literature --- p.4 / Chapter 2.1 --- Theoretical Explanations for IPO Underpricing: --- p.4 / Chapter 2.2 --- Empirical Studies Review on China's IPOs --- p.9 / Chapter CHAPTER 3 --- Introduction of China's IPO Market --- p.13 / Chapter 3.1 --- Chinese Securities Regulatory Commission (CSRC) --- p.13 / Chapter 3.2 --- How to Price and Distribute IPOs --- p.15 / Chapter 3.3 --- Valuing IPOs and Setting Base Price --- p.24 / Chapter 3.4 --- Conclusion of This Chapter --- p.26 / Chapter CHAPTER 4 --- Empirical Results and Analysis of Chinese IPO Pricing --- p.27 / Chapter 4.1 --- The Data and Research Methodology --- p.27 / Chapter 4.2 --- The Regression Results and Discussion --- p.29 / Chapter 4.3 --- Conclusion of This Chapter --- p.34 / Chapter CHAPTER 5 --- Theoretical Explanations of Underpricing Based on Chinese IPO Behaviors --- p.35 / Chapter 5.1 --- The Optimal Underpricing in China's Stock Market --- p.35 / Chapter 5.2 --- Empirical Tests on Some Theories --- p.38 / Chapter 5.21 --- Signaling Model --- p.38 / Chapter 5.22 --- The Impact of Underwriters --- p.45 / Chapter 5.23 --- Winner's Curse Test --- p.46 / Chapter 5.24 --- Extensive Presale Theory --- p.48 / Chapter CHAPTER 6 --- Empirical Results and Analysis of Underpricing in China's Market --- p.54 / Chapter 6.1 --- Underpricing in A-Share Market --- p.54 / Chapter 6.11 --- Survey of Underpricing --- p.54 / Chapter 6.12 --- Empirical Results on A-Share IPO Underpricing --- p.56 / Chapter 6.13 --- Conclusion of This Part --- p.66 / Chapter 6.2 --- Underpricing in B-share Market --- p.66 / Chapter 6.21 --- Survey of Underpricing --- p.66 / Chapter 6.22 --- Empirical Results on the B-share Market --- p.70 / Chapter 6.23 --- Conclusion of This Part --- p.77 / Chapter CHAPTER 7 --- Further Development of Chinese Stock Market --- p.78 / Chapter 7.1 --- Defects in Chinese Stock Market --- p.78 / Chapter 7.2 --- Further Development for Reducing Underpricing --- p.79 / Chapter CHAPTER 8 --- Conclusion --- p.81 / REFERENCE --- p.83

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

漲跌停制度是一種意圖控制股市價格大幅波動的強制性政策。雖然漲跌停制度被很多國家都採用，但是關於該制度的效果的結論一直都是具有很大爭議性。除此之外，之前的一些研究還表明在不同國家的股票市場中，漲跌停制度的效果也是不一樣的。然而，作為一個獨特且年輕的股票市場，中國A股市場也擁有漲跌停制度，但是關於它的效果的研究卻很稀缺。其中，關於在特殊經濟狀況下，例如金融危機，漲跌停的效用基本上沒被研究過。這是一個很重要的研究課題，因為金融危機這種特殊經濟時期會引起股市的大幅波動，這正是漲跌停制度發揮作用也是我們研究其效果的最佳時機。因為以上原因，這篇論文的主題就是挖掘中國A股的漲跌停制度在金融危機時期的效果，我們希望檢驗是否金融危機引起的特殊市場氛圍會使漲跌停的效果與平常不同。我們將一種改進的關於漲跌停效果的經典方法應用於金融危機期間的股票交易數據上，來對三個假設（波動性溢出, 延遲價格發現和妨礙交易）進行檢驗。相比與之前的方法，我們進行了改進，主要是採用了以漲跌停價格收市和包含了連續漲跌停的數據。 / 此外，爲了更好滴瞭解漲跌停制度的效果，我們還對那些在金融危機期間容易漲跌停的股票研究其主要特點。在本論文中，我們除了引進每個股票的基本面指標，還引進了具有中國特色的因子，包括國有股份和行業等因子，通過廣義（GMM）的方法來進行分析。這些股票特徵希望能夠為於證監會將來制定漲跌停制度和投資者在金融危機期間于中國的投資提供一定信息。 / Price limit is a policy originally utilized to control extreme price movements in stock markets. As a widely adopted policy in numerous countries, price limit has led to several debates regarding its effects on stock markets. Moreover, previous studies have shown that price limit has different effects on different markets and time periods. However, the effects of the price limit system in the Chinese A-share market, a unique and young stock market, has yet to be fully investigated. Furthermore, few works have studied the price limit during special economic conditions, such as financial crises, which should be the best time for price limit to play its role. Additionally, these conditions are the most ideal times at which to test the effects of the price limit. Motivated by these conditions, this thesis explores the effects of price limits on the Chinese A-share stock markets during financial crises in order to examine whether the market atmosphere of investor sentiment caused by special economic conditions has varied impacts on the effects of price limits. By employing the recognized methods, this thesis aims to test the three hypotheses of volatility spillover, delayed price discovery, and trading interference using stock data during financial crisis. Compared with previous studies, this thesis empirically analyzes the effects of price limits with our improved methodology of utilizing closing-hitting observations. / To gain a better understanding of the price limit’s effect, this thesis also investigates the characteristics of stocks that hit the price limits more frequently under this special economic condition. In this study, the Generalized Method of Moments regression model is utilized by introducing financial indicators for each individual stock and some special factors in the Chinese A-share markets, such as state-owned share and industries. Identifying the characteristics of stocks that frequently hit the limit can provide some information to investors when financial crises occur in the Chinese A-share markets. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Wang, Dingyan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 54-55). / Abstracts also in Chinese. / Abstract --- p.3 / Acknowledgement --- p.6 / Chapter 1 --- Introduction --- p.11 / Chapter 1.1 --- Introduction --- p.11 / Chapter 2 --- Background --- p.16 / Chapter 2.1 --- Background of Chinese Stock Markets --- p.16 / Chapter 2.2 --- Literature Review --- p.19 / Chapter 3 --- Effects of Chinese A-Share Price Limits --- p.22 / Chapter 3.1 --- Data --- p.22 / Chapter 3.2 --- Improvement of Methodology --- p.25 / Chapter 3.3 --- Empirical Analysis --- p.26 / Chapter 3.3.1 --- Test of the Volatility Spillover Hypothesis --- p.27 / Chapter 3.3.2 --- Test of the Delayed Price Discovery Hypothesis --- p.36 / Chapter 3.3.3 --- Test of the Trading Interference Hypothesis --- p.38 / Chapter 4 --- Characteristics of Stocks that Hit the Limit --- p.46 / Chapter 4.1 --- Characteristics of Stocks that hit the limit during the Financial Crisis --- p.46 / Chapter 5 --- Conclusions --- p.52 / Chapter 5.1 --- Conclusions --- p.52 / Bibliography --- p.54

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.

Based on a long span database, four important issues are addressed in this study. First one is about their holding preference in Taiwan stock market. The second and third issues are relative to the positive feedback trading and herding. Finally, the price impact of their trading behavior is also discussed on various angles. / In sum, the empirical results of this study suggest the success of the QFIIs scheme in Taiwan, and the import role played by the foreign institutional investors for this success. However it should be noted that the trading behaviors of the foreign investors in the emerging market has a close relationship with the nature and characteristics of the industry and economy of this country, especially the internationalization levels of the domestic industry and the opening degree of the national economy. / Part I. This study provides an integrate investigation into the trading behaviors and the price impact of the qualified foreign institutional investors (QFIIs) in Taiwan stock market. The main purpose of this study is to provide some policy implications to the regulators of emerging financial markets by giving a comprehensive insight into the whole development process of QFIIs scheme in Taiwan. Another purpose is to contribute to the literature, especially on the emerging market, with extensive and in-depth evidences of the QFIIs a sub-group of institutional investors. / Part II. A populous viewpoint ascribes the resent stagnancy in the Chinese stock market to the original inequality of the equity price and rights between the non-liquid equity holders and liquid equity holders. Using the Capital cost IRR method, this paper provides another view on this problem by analyzing the interest balance between the two types of equity holders in the Chinese listed companies. The theoretical models and empirical results suggest the two types of equity holders can reach their interest balance under the original of stock market system, though the balancing mechanism is skewed and results in a wealth outflow due to the specific equity structure and agency problem of the Chinese listed companies. As the necessary step for the long-term development of the Chinese stock market, "Full liquidity" may lead to the break down of the original balance mechanism. Some problems results from the skew mechanism may float up in the new balance achievement and put some pressure to the market. The key to the market reform is not making any compensation to any type of the equity holders but lies in how to restrict a new balance system and mitigate the market pressure. (Abstract shortened by UMI.) / Kang, Li. / "April 2005." / Adviser: He Jia. / Source: Dissertation Abstracts International, Volume: 67-01, Section: A, page: 0284. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references. / 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 Information and Learning, [200-] 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. / Abstracts in English and Chinese. / 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

Xu Zhi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 61-62 (2nd gp.)). / Abstracts in English and Chinese. / ABSTRACT --- p.II / 中文摘要 --- p.V / ACKNOWLEDGEMENT --- p.XI / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- VALUE OR GROWTH STOCK? --- p.6 / Chapter 2.1 --- Summary Statistics: Financial Ratios of h Shares --- p.7 / Chapter 2.1.1 --- Profitability analysis --- p.7 / Chapter 2.1.2 --- Debt Structure --- p.9 / Chapter 2.1.3 --- Operational Management --- p.11 / Chapter 2.2 --- Corporate Identity: Value or Growth Stock? --- p.11 / Chapter 2.2.1 --- Are H Shares Value Stocks? --- p.12 / Chapter 2.2.2 --- Are H Shares Growth Stocks? --- p.12 / Chapter 2.3 --- Summary --- p.13 / Chapter CHAPTER 3 --- THE METHODOLOGY OF EVENT STUDIES --- p.14 / Chapter 3.1 --- Brief Outline of an Event Study --- p.15 / Chapter 3.2 --- Issues on Event Studies --- p.17 / Chapter 3.2.1 --- Unknown Event Dates --- p.17 / Chapter 3.2.2 --- Which is the best benchmark model for the normal return? --- p.18 / Chapter 3.2.3 --- Hypothesis testing and problems with heteroskedasticity and dependence --- p.21 / Chapter 3.2.4 --- A multivariate regression model (MVRM) employed in the event study --- p.24 / Chapter 3.2.5 --- Measuring long horizon security price performance --- p.26 / Chapter 3.2.6 --- Use daily return or monthly return in event study? --- p.27 / Chapter CHAPTER 4 --- ARE H SHARES WANTED: DEAD OR ALIVE? --- p.28 / Chapter 4.1 --- Definitions of Events --- p.28 / Chapter 4.2 --- Sample and Estimation Procedures --- p.30 / Chapter 4.2.1 --- Sample Selection --- p.30 / Chapter 4.2.2 --- Estimation Procedures --- p.30 / Chapter 4.3 --- Empirical Results of Good and Bad Earnings Announcements --- p.31 / Chapter 4.3.1 --- Short Term Effects on Securities Prices --- p.31 / Chapter 4.3.2 --- Long Term Post-Earnings-Announcement Drifts --- p.34 / Chapter 4.3.3 --- Regression Analysis --- p.35 / Chapter 4.3.3.1 --- REGRESSION RESULTS FOR GOOD EARNINGS ANNOUNCEMENTS --- p.37 / Chapter 4.3.3.2 --- REGRESSION RESULTS FOR BAD EARNINGS ANNOUNCEMENTS --- p.38 / Chapter 4.3.4 --- Summary --- p.39 / Chapter 4.4 --- Empirical Results of Good and Bad News --- p.40 / Chapter 4.5 --- "Empirical Results of SEO, M&A and New Projects" --- p.41 / Chapter 4.5.1 --- Summary --- p.42 / Chapter CHAPTER 5 --- A PRACTICAL CORPORATE GOVERNANCE FOR H SHARES --- p.43 / Chapter 5.1 --- Problems Corporate Governance Deals with --- p.45 / Chapter 5.1.1 --- The Agency Problem --- p.45 / Chapter 5.1.2 --- Management Discretion --- p.46 / Chapter 5.2 --- Solutions to the Problems --- p.46 / Chapter 5.2.1 --- Incentive Contracts --- p.46 / Chapter 5.2.2 --- Large Investors --- p.47 / Chapter 5.2.3 --- Debt Choice --- p.49 / Chapter 5.3 --- Corporate Governance for H Shares: a Practical Framework --- p.50 / Chapter 5.3.1 --- Essential Elements of Good Corporate Governance --- p.51 / Chapter 5.3.2 --- Summary : A Practical Framework of Good Corporate Governance --- p.53 / Chapter CHAPTER 6 --- CONCLUSIONS --- p.58 / REFERENCE --- p.61 / APPENDIX OF TABLES --- p.63 / APPENDIX OF FIGURES --- p.64