[Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.

by Sek Ngo Chi, Tam Kin Sang Samson. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaf 38). / Acknowledgment --- p.5 / Chapter I. --- Introduction --- p.6 / Chapter II. --- Long-term objectives for Mergers and Acquisitions --- p.15 / Chapter III. --- Data Source and Terms --- p.21 / Chapter IV. --- Statistical Summary and Characteristics of Deals --- p.22 / Chapter V. --- Literature Review on Stock Market Reactions --- p.29 / Chapter VI. --- Stock Market Reactions --- p.30 / Chapter VII. --- Effects of Payment methods on M&A transactions --- p.33 / Conclusion --- p.37 / References --- p.38 / Appendices --- p.39

In this study, we address two research questions: 1) Can we identify bear market episodes in Australia in the past 20 years? 2) How do investors’ moods change as stock market conditions enter into a bear phase. To address the first question, we use a pattern recognition algorithm, called the penalised LSE approach. By defining bear markets as those stock market regimes where the average returns are statistically significantly negative or below the risk free rate, we are able to detect two bear market periods in Australia in the past 20 years. These are the November 1987 to February 1988 and the April 2000 to May 2000 periods. To address the second question, we study the change in investors’ attitudes to varieties of systematic risk and the aggregate number and dollar value of shares traded in portfolios as a result of the regime switch from pre-bear to bear period. Out of the 7 categories of risk considered in this study, the transition from pre-bear to bear regime in both sample periods had a significant impact mainly on investors’ attitude toward the size risk factor. Investors systematically became more sensitive to firm size as stock market conditions entered into the 1987⁄1988 bear market. In the later sample period, investors’ reaction to firm size was more selective as it depended on the characteristics of the stocks that made up their portfolios. We also find that the regime switches resulted in lower portfolio trading volumes. Based on these results we infer that the November 1987-February 1988 bear market evoked a general sad mood, while the April 2000-May 2000 bear market stirred up both angry and sad feelings in market participants depending on the composition of stocks in their portfolios.