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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
21

Dynamic efficiency, price volatility and margin policy: evidence from Hong Kong stock market and Hang Seng Index futures market.

January 1994 (has links)
Wong Hau Man, Ben. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 85-89). / Abstract / Acknowledgment / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Introduction to the Hang Seng Index Futures Market --- p.9 / Chapter Chapter 3. --- Dynamic Efficiency --- p.17 / Chapter 3.1 --- The Potential Lead/Lag Relationship between the Stock Index Futures price and the Stock Index --- p.18 / Chapter 3.2 --- Empirical Evidence of the Lead/Lag Relationship -the US experience --- p.20 / Chapter 3.3 --- Granger and Engle's Error-Correction Model --- p.21 / Chapter 3.4 --- Error-Correction Model for the Hang Seng Index Futures Price and Hang Seng Index --- p.25 / Chapter 3.5 --- Simultaneous Error-Correction Model --- p.30 / Chapter Chapter 4. --- Price Volatility --- p.38 / Chapter 4.1 --- Why Volatility Matters --- p.38 / Chapter 4.2a --- Theoretical Foundation of the relationship between Futures Trading and Cash Market Volatility --- p.39 / Chapter 4.2b --- Empirical Evidence of Futures Trading and Cash Market Volatility - the US experience --- p.40 / Chapter 4.3 --- The Schwert Estimation Method --- p.42 / Chapter 4.4 --- Hang Seng Index Volatility and Cash Market Trading Volume --- p.47 / Chapter 4.5 --- Hang Seng Index Volatility and Futures Trading Activities --- p.48 / Chapter 4.6 --- Hang Seng Index Volatility and Contract Life Cycle --- p.50 / Chapter Chapter 5. --- Margin Policy --- p.56 / Chapter 5.1 --- The Economic Role of Futures Margin --- p.57 / Chapter 5.2a --- Theoretical Foundation of the relationship between Margin Requirement and Futures Volatility --- p.58 / Chapter 5.2b --- Empirical Evidence of Margin Requirement and Price Volatility --- p.59 / Chapter 5.3 --- HSI Futures Margin Requirement and Probability of Exhaustion --- p.61 / Chapter 5.4 --- HSI Futures Margin Requirement and HSI Futures Volatility --- p.64 / Chapter 5.4a --- Event-Study Approach --- p.64 / Chapter 5.4b --- Alternative Method --- p.66 / Chapter 5.5 --- HSI Futures Leverage and Price Volatility --- p.70 / Chapter Chapter 6. --- Conclusions --- p.81 / REFERENCES --- p.85 / APPENDIX 1. - Data Description --- p.90 / APPENDIX 2. - FIGURES --- p.92 / Chapter - --- Figure 1. Trend of HSI from May 86 to Dec93 --- p.93 / Chapter - --- Figure 2. Trend of HSI Futures Price from May 86 to Dec93 --- p.94 / Chapter - --- Figure 3. Volatility of HSI from May 86 to Dec93 --- p.95 / Chapter - --- Figure 4. HSI Futures Margin and Futures Volatility (Futures volatility is measured in daily change in contracts value) --- p.96
22

Intra-day study on backwardation and contango of Hang Seng index futures prices: a spreader approach.

January 1995 (has links)
by Lam Chi-keung, Wallace, Ng Kim-hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 41-44). / ABSTRACT --- p.iii / ACKNOWLEDGEMENTS --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / LIST OF APPENDICES --- p.viii / CHAPTER / INTRODUCTION --- p.1 / DEVELOPMENT OF METHODOLOGY --- p.7 / cost-of-carry model --- p.7 / Stock Index Futures --- p.9 / Borrowing and Lending Rates --- p.12 / Transaction Costs --- p.13 / Calendar Spread in Stock Index Futures --- p.15 / Discrete Dividend --- p.15 / Futures Spread --- p.16 / SCOPE OF STUDY --- p.18 / Spread and Discrepancy --- p.18 / Trading Rule --- p.18 / Predicting Market Price by Equilibrium Futures Price --- p.21 / DATA --- p.22 / RESULTS --- p.26 / Descriptive Statistics --- p.26 / Stimulated Trading Rule --- p.27 / Regression Analysis --- p.28 / CONCLUSION AND DISCUSSION --- p.29 / APPENDIX --- p.31 / BIBLIOGRAPHY --- p.38
23

Evaluation of hedging effectiveness of Hong Kong and U.S. stock index futures.

January 2000 (has links)
by Wong Man Kit, Andy, Yu Miu Ki. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 53-54). / ABSTRACT --- p.ii / ACKNOWLEDGEMENT --- p.iii / TABLE OF CONTENTS --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Credit Risk --- p.2 / Operational risk --- p.3 / Liquidity risk --- p.3 / Legal risk --- p.3 / Market Risk --- p.3 / Model risk --- p.4 / Chapter II. --- LITERATURE REVIEW --- p.5 / Value at Risk (VaR) --- p.5 / Minimum Variance --- p.7 / Dollar equivalence --- p.8 / Statistical Hedging --- p.8 / Risk and Return in an Imperfect Hedge --- p.8 / Expected return and standard deviation in a hedged position --- p.9 / Risk and Return in an actual hedge --- p.11 / Optimal Hedge Ratio --- p.13 / Deriving Optimal Hedge Ratio h* --- p.15 / Computing the minimum risk hedge ratio by regression --- p.16 / Basis Risk --- p.18 / Sources of Basis Risk --- p.19 / Variation in the equilibrium price relationship between cash and futures --- p.19 / "Random ""noise"" in the price process" --- p.19 / Mismatch between cash position and the underlying for the future --- p.20 / Hedging Effectiveness --- p.21 / Chapter III. --- DATA AND METHODOLOGY --- p.25 / Data --- p.25 / Data Collection --- p.25 / Data Selection --- p.25 / Data Manipulation --- p.26 / Methodology --- p.27 / Part I: The Selection of the Portfolios --- p.27 / Part II: The Determination of the Hedge Ratio --- p.28 / Part III: Hedged vs. Unhedged --- p.29 / Part IV: Data Analysis & Comparison --- p.31 / Chapter IV. --- FINDINGS --- p.35 / High volatility of Hong Kong market --- p.35 / Manipulation of institutional investors --- p.36 / Hong Kong financial market are less mature --- p.36 / Less efficient information flow --- p.37 / Less Sophisticated Investors --- p.38 / Results and Discussion --- p.39 / Empirical Results --- p.40 / Explanation for the differences --- p.42 / Limitations --- p.47 / Learning Period --- p.47 / Cross Hedging --- p.47 / Mismatch between the futures and the underlying index --- p.48 / Missing Stock Data in the S&P500 --- p.49 / Chapter V. --- CONCLUSION --- p.50 / Tradeoff between risk and return --- p.50 / Hedge Effectiveness --- p.51 / BIBLIOGRAPHY --- p.53
24

Price discovery of stock index with informationally-linked markets using artificial neural network.

January 1999 (has links)
by Ng Wai-Leung Anthony. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 83-87). / Abstracts in English and Chinese. / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- The Importance of Stock Index and Index Futures --- p.6 / Chapter 2.2 --- Importance of Index Forecasting --- p.6 / Chapter 2.3 --- Reasons for the Lead-Lag Relationship between Stock and Futures Markets --- p.9 / Chapter 2.4 --- Importance of the lead-lag relationship --- p.10 / Chapter 2.5 --- Some Empirical Findings of the Lead-Lag Relationship --- p.10 / Chapter 2.6 --- New Approach to Financial Forecasting - Artificial Neural Network --- p.12 / Chapter 2.7 --- Artificial Neural Network Architecture --- p.14 / Chapter 2.8 --- Evidence on the Employment of ANN in Financial Analysis --- p.20 / Chapter 2.9 --- Hong Kong Securities and Futures Markets --- p.25 / Chapter III. --- GENERAL GUIDELINE IN DESIGNING AN ARTIFICIAL NEURAL NETWORK FORECASTING MODEL --- p.28 / Chapter 3.1 --- Procedure for using Artificial Neural Network --- p.29 / Chapter IV. --- METHODOLOGY --- p.37 / Chapter 4.1 --- ADF Test for Unit Root --- p.38 / Chapter 4.2 --- "Error Correction Model, Error Correction Model with Short- term Dynamics, and ANN Models for Comparisons" --- p.38 / Chapter 4.3 --- Comparison Criteria of Different Models --- p.39 / Chapter 4.4 --- Data Analysis --- p.39 / Chapter 4.5 --- Data Manipulations --- p.41 / Chapter V. --- RESULTS --- p.42 / Chapter 5.1 --- The Resulting Models --- p.42 / Chapter 5.2 --- The Prediction Power among the Models --- p.45 / Chapter 5.3 --- ANN Model of Input Variable Selection Using Contribution Factor --- p.46 / Chapter VI. --- CAUSALITY ANALYSIS --- p.54 / Chapter 6.1 --- Granger Casuality Analysis --- p.55 / Chapter 6.2 --- Results Interpretation --- p.56 / Chapter VII --- CONSISTENCE VALIDATION --- p.61 / Chapter VIII --- ARTIFICIAL NEURAL NETWORK TRADING SYSTEM --- p.67 / Chapter 7.1 --- Trading System Architecture --- p.68 / Chapter 7.2 --- Simulation Runs using the Trading System --- p.77 / Chapter XI. --- CONCLUSIONS AND FUTURE WORKS --- p.79
25

Price discovery in Hong Kong futures markets.

January 2005 (has links)
Choy Siu Kai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 35-37). / Abstracts in English and Chinese. / Chapter Chapter 1 --- Introduction --- p.1-2 / Chapter Chapter 2 --- Literature Review --- p.3-9 / Chapter Chapter 3 --- An Overview of Hong Kong Security Market and Data Description --- p.10-18 / Chapter Chapter 4 --- Methodology --- p.19-24 / Chapter Chapter 5 --- Futures and Mini Futures Results --- p.25-28 / Chapter Chapter 6 --- Index and Futures Contracts Results --- p.29-32 / Chapter Chapter 7 --- Conclusion --- p.33-34 / References --- p.35-37 / Appendix --- p.38-40 / Tables --- p.41-52 / Graphs --- p.53-57

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