published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

published_or_final_version / Business Administration / Master / Master of Business Administration

by Leung Kwok Chu, Wong Cheuk Fung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 54-55). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / ACKNOWLEDGMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Technical Analysis --- p.2 / The Characteristics and Efficiency of China's Equity Markets --- p.3 / Market Participants --- p.4 / Transaction Costs and Tradability of Shares --- p.5 / Availability of Information --- p.7 / Implication on Weak Form Market Efficiency --- p.8 / Relative Strength Index --- p.10 / Chapter II. --- LITERATURE REVIEW --- p.12 / Chapter III. --- METHODOLOGY --- p.15 / Primary Research --- p.15 / Source of Data --- p.15 / Spreadsheet Calculation Procedure --- p.16 / Hypothesis Testing --- p.18 / The First Type of Tests --- p.18 / The Second Type of Tests --- p.19 / The Third Type of Tests --- p.20 / Chapter IV. --- RESEARCH FINDINGS --- p.21 / Abnormal Returns Obtained by Following RSI Trading Rules --- p.21 / A-shares --- p.21 / Buy signals --- p.21 / Interpretations of buy signals in A-share markets --- p.22 / Sell signals --- p.22 / Interpretations of sell signals in A-share markets --- p.23 / B-shares --- p.25 / Buy signals --- p.25 / Interpretations of buy signals in B-share markets --- p.25 / Sell signals --- p.26 / Interpretations of sell signals in B-share markets --- p.27 / Chapter V. --- ADDITIONAL RESEARCHES ON B-SHARE MARKETS --- p.30 / Findings on Additional Researches on B-share Markets --- p.30 / Interpretations of Findings on Additional Researches on B-share Markets --- p.31 / Chapter VI. --- ADDITIONAL RESEARCHES ON A-SHARE MARKETS --- p.32 / Correlation between Abnormal Return and Volume Turnover --- p.33 / Findings on Correlation between Abnormal Return and Volume Turnover --- p.33 / Interpretations of Findings on Correlation between Abnormal Return and Volume Turnover --- p.33 / Correlation between Abnormal Return and Market Value --- p.34 / Findings on Correlation between Abnormal Return and Market Value --- p.34 / Interpretations of Findings on Correlation between Abnormal Return and Market Value --- p.35 / Chapter VII. --- CONCLUSIONS --- p.37 / Chapter VIII. --- LIMITATIONS --- p.39 / Chapter IX. --- FURTHER STUDIES RECOMMENDED --- p.42 / APPENDIX --- p.44 / BIBLIOGRAPHY --- p.54

published_or_final_version / abstract / toc / Economics and Finance / Master / Master of Economics

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

Hung, Chun Man. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 71-74). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgement --- p.iii / Table of Content --- p.iv / Chapter 1. --- Introduction --- p.1 / Chapter 1.1 --- Hong Kong securities market background --- p.2 / Chapter 1.2 --- Purpose and brief results --- p.4 / Chapter 1.3 --- Organization of the paper --- p.5 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Theoretical Studies --- p.6 / Chapter 2.2 --- Empirical Studies --- p.8 / Chapter 3. --- Methodology --- p.14 / Chapter 3.1 --- Hypothesis development --- p.14 / Chapter 3.2 --- Data and Sample Characteristics --- p.16 / Chapter 3.3 --- Sample selection rules --- p.17 / Chapter 3.4 --- Variables definitions --- p.19 / Chapter 3.5 --- Estimation of market betas (pre-ranking and post-ranking) --- p.23 / Chapter 3.5.1 --- Betas estimation procedure --- p.23 / Chapter 3.5.2 --- Results and findings --- p.25 / Chapter 4. --- Size- Dispersion Portfolio Strategy --- p.27 / Chapter 4.1 --- Formation of size-beta portfolio --- p.27 / Chapter 4.2 --- Results and findings --- p.28 / Chapter 5. --- Fama-MacBeth cross-sectional regressions --- p.32 / Chapter 5.1 --- Relation between dispersion and other firm characteristics --- p.32 / Chapter 5.2 --- Relation between future stocks returns and firm characteristics --- p.33 / Chapter 5.3 --- Robustness check --- p.38 / Chapter 5.3.1 --- Sub-period regressions --- p.38 / Chapter 5.4 --- Possible Explanations --- p.39 / Chapter 6. --- Conclusion Remarks --- p.44 / Chapter 6.1 --- Conclusion --- p.44 / Chapter 6.2 --- Limitations and future direction --- p.45 / Tables --- p.47 / Table 1 Key statistics for the Hong Kong stock market --- p.47 / "Table 2 Sectoral distribution of market capitalization (per cent of total),1997-2006" --- p.48 / "Table 3 Market capitalization: top twenty firms (percentage of total market), 2006" --- p.49 / Table 4 Summary of empirical literature of dispersion on stock returns --- p.50 / Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003 --- p.51 / Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.52 / Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.53 / Table 6 Sample properties based on sectoral distribution --- p.54 / Table 7 Descriptive statistics for the analysts´ة forecasts dispersion: 1997-2003 --- p.55 / Table 8 Properties of the nine size-beta portfolio for the sample period from January 1997 to December 2003 --- p.56 / Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.57 / Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.58 / Table 10 Mean Portfolio Dispersion by Size and Dispersion in Analysts´ة Forecasts --- p.59 / Table 11 Fama-MacBeth cross-sectional regressions of analysts´ة forecasts dispersion on lagged firm characteristics --- p.60 / Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics --- p.61 / Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (continue) --- p.62 / Table 13 Overall monthly correlation matrix between explanatory variables for the period January 1997 to December 2003 --- p.63 / Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) --- p.66 / Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) (continue) --- p.67 / Figures --- p.68 / Figure 1 Growth trend of the Hong Kong stock market --- p.68 / Figure 2 Equities funds raised by H shares enterprise for GEM --- p.69 / Appendix one --- p.70 / References --- p.71

by Lam King Wan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 72-73). / ABSTRACT --- p.ii. / TABLE OF CONTENTS --- p.iv. / Section / Chapter I. --- OBJECTIVE --- p.1 / Chapter II. --- INTRODUCTION --- p.3 / The principal investment risk --- p.3 / Effect of risk on investment --- p.4 / Investors' concern for investment risk --- p.6 / Chapter III. --- THE INPUT PARAMETERS --- p.9 / Chapter IV. --- LITERATURE REVIEW --- p.15 / What is an artificial neural network? --- p.15 / What is a neuron? --- p.16 / Biological versus artificial neuron --- p.16 / Operation of a neural network --- p.17 / Neural network paradigm --- p.20 / Feedforward as the most suitable form of neural network --- p.22 / Capability of neural network --- p.23 / The learning process --- p.25 / Testing the network --- p.29 / Neural network computing --- p.29 / Neural network versus conventional computer --- p.30 / Neural network versus a knowledge based system --- p.32 / Strength of neural network --- p.34 / Weaknesses of neural network --- p.35 / Chapter V. --- NEURAL NETWORK AS A TOOL FOR INVESTMENT ANALYSIS --- p.38 / Neural network in financial applications --- p.38 / Trading in the stock market --- p.41 / Why neural network could outperform in the stock market? --- p.43 / Applications of neural network --- p.45 / Chapter VI. --- BUILDING THE NEURAL NETWORK MODEL --- p.47 / Implementation process --- p.48 / Step 1´ؤ Problem specification --- p.49 / Step 2 ´ؤ Data collection --- p.51 / Step 3 ´ؤ Data analysis and transformation --- p.55 / Step 4 ´ؤ Training data set extraction --- p.58 / Step 5 ´ؤ Selection of network architecture --- p.60 / Step 6 ´ؤ Selection of training algorithm --- p.62 / Step 7 ´ؤ Training the network --- p.64 / Step 8 ´ؤ Model deployment --- p.65 / Chapter 7 --- RESULT AND CONCLUSION --- p.67 / Result --- p.67 / Conclusion --- p.69 / BIBLIOGRAPHY --- p.72

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

by Wong Hiu Ming. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 74-79). / Abstracts in English and Chinese. / ACKNOWLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.v / CHAPTER / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- THE LITERATURE REVIEW --- p.5 / ARCH/GARCH Models / Nonparametric Method / Chapter THREE --- METHODOLOGY --- p.14 / ARCH Modeling / Semiparametric GARCH Modeling / Causality Test / Local Polynomial Model / Chapter FOUR --- DATA AND EMPIRICAL RESULTS --- p.37 / Data / GARCH Modeling / Semiparametric GARCH Modeling / Causality Test / Local Polynomial Model / Chapter FIVE --- CONCLUSION --- p.52 / TABLES --- p.56 / ILLUSTRATIONS --- p.62 / APPENDIX --- p.71 / BIBLIOGRAPHY --- p.74

Wong Man Kit. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 118-121). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Table of Contents --- p.v / List of Tables --- p.viii / List of Figures --- p.x / List of Appendices --- p.x / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Performance of Value Strategy in Stock Markets over The World --- p.7 / Chapter 2.2 --- Possible Explanations for Superior Return of Value Stocks --- p.11 / Chapter 2.2.1 --- Sampling Biases --- p.11 / Chapter 2.2.2 --- Risk Factors --- p.13 / Chapter 2.2.3 --- Expectation Error Hypothesis --- p.15 / Chapter 2.3 --- Studies for Value Strategy in Hong Kong --- p.20 / Chapter Chapter 3 --- Data and Methodology --- p.23 / Chapter 3.1 --- Methodology of Expectation Error Hypothesis --- p.23 / Chapter 3.1.1 --- Earnings Announcement Returns --- p.23 / Chapter 3.1.2 --- Past and Future Earnings Growth Rates of Stocks --- p.26 / Chapter 3.2 --- Data Source --- p.29 / Chapter 3.3 --- Portfolio Formation --- p.30 / Chapter 3.4 --- Variable Calculation Method --- p.31 / Chapter 3.4.1 --- Annual Buy and Hold Returns --- p.31 / Chapter 3.4.2 --- Earnings Announcement Returns --- p.32 / Chapter 3.4.3 --- Earnings Growth Rate of Portfolios --- p.33 / Chapter Chapter 4 --- Interpretation of Results --- p.34 / Chapter 4.1 --- Annual Buy and Hold Returns of Portfolios --- p.36 / Chapter 4.1.1 --- Annual Returns of Portfolios Sorted by B/M Ratio --- p.36 / Chapter 4.1.2 --- Annual Returns of Portfolios Sorted by E/P Ratio --- p.37 / Chapter 4.1.3 --- Analysis of Performance on Return Differences between Two Ratios --- p.38 / Chapter 4.2 --- Earnings Announcement Returns for Value and Glamour Portfolios --- p.41 / Chapter 4.2.1 --- 3-day Event Returns --- p.41 / Chapter 4.2.2 --- "B/M Ratio: 5,7,9 & 11 Days Event Returns" --- p.43 / Chapter 4.2.3 --- "E/P Ratio: 5,7,9 & 11 Days Event Returns" --- p.46 / Chapter 4.3 --- Past and Future Earnings Growths of Portfolios --- p.49 / Chapter 4.3.1 --- "Fundamental Variables, Prior and Post Returns of Portfolios" --- p.50 / Chapter 4.3.2 --- Earnings Performance of Portfolios --- p.51 / Chapter 4.3.3 --- Factors Affect Investor Expectation --- p.56 / Chapter Chapter 5 --- Conclusion --- p.59 / Tables --- p.64 / Figures --- p.76 / Appendices --- p.82 / References --- p.118