This dissertation consists of two empirical essays on investor behavior and liquidity variation. The results demonstrate the important role of investors in affecting liquidity. The first essay examines how the fluctuation in the aggregate stock market liquidity is related to investor sentiment. I find that the stock market is more liquid when investor sentiment is higher. This evidence is consistent with the theoretical prediction that higher investor sentiment increases stock market liquidity. The second essay investigates whether the cross-sectional differences in liquidity are affected by institutional ownership. I document that stocks with larger increases in the number of institutional investors are more liquid than other stocks. This result is consistent with the prediction that information competition among institutional investors increases stock liquidity. / text

Lau Yuk Hoi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 109-110). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Table of Contents --- p.iv / List of Notations --- p.vi / List of Propositions --- p.vii / List of Figures --- p.viii / List of Appendices --- p.x / Chapter Chapter 1. --- Introduction - The Reaction Approach --- p.1 / Chapter Chapter 2. --- Assumption for OLG Model --- p.7 / Chapter 2.1 --- Assumption A --- p.7 / Chapter Chapter 3. --- Equilibrium Conditions Without Fundamental Risk --- p.9 / Chapter 3.1 --- Price as a Weighted Average --- p.9 / Chapter 3.2 --- Determination of A and B --- p.11 / Chapter 3.2.1 --- Assumption B --- p.12 / Chapter 3.2.2 --- RE Line and NE Line --- p.13 / Chapter 3.2.3 --- Equilibrium values of A and B --- p.14 / Chapter 3.3 --- Rational Expectation on Price Variance (RV Line) --- p.16 / Chapter 3.4 --- Noisy Expectation on Price Variance (NV Line) --- p.18 / Chapter 3.4.1 --- DeLong's Model --- p.19 / Chapter 3.4.2 --- Bhushan's Model --- p.21 / Chapter 3.5 --- Change in Relative Perceived Variance --- p.23 / Chapter 3.5.1 --- General Problem of OLG Model in Noisy Trading --- p.23 / Chapter 3.5.2 --- Changes in Noise Traders' Beliefs --- p.24 / Chapter 3.5.3 --- "Relative Perceived Price Variance of n, θ" --- p.25 / Chapter 3.5.3.1 --- "Effect of Increasing θ on Price Variance, dC/dθ" --- p.26 / Chapter 3.5.3.2 --- "Effect of Increasing θ on Expected Price Level, dp/dθ" --- p.27 / Chapter Chapter 4. --- Equilibrium Conditions With Fundamental Risk --- p.31 / Chapter 4.1 --- Price as a Weighted Average --- p.32 / Chapter 4.2 --- Determination of A and B --- p.34 / Chapter 4.2.1 --- Assumption C --- p.34 / Chapter 4.2.2 --- RE Line and NE Line --- p.35 / Chapter 4.2.3 --- Equilibrium values of A and B --- p.36 / Chapter 4.3 --- Rational Expectation on return Variance (RV Line) --- p.37 / Chapter 4.4 --- Noisy Expectation on Return Variance (NV Line) --- p.40 / Chapter 4.4.1 --- De Long's Model --- p.41 / Chapter 4.4.2 --- Bhushan's Model --- p.42 / Chapter 4.5 --- Change in Relative Perceived Return Variance --- p.45 / Chapter 4.5.1 --- Specification of Noisy Expectation --- p.46 / Chapter 4.5.2 --- Relative Perceived Return Variance of n，Θ --- p.46 / Chapter 4.5.2.1 --- "Effect of Increasing Θ on Price Variance, dC/dΘ" --- p.47 / Chapter 4.5.2.2 --- "Effect of Increasing Θ on Expected Price Level, dp/dΘ" --- p.48 / Chapter 4.6 --- Relative Perceived Price Risk versus Relative Perceived Dividend Risk --- p.52 / Chapter Chapter 5. --- Conclusion and Discussion --- p.55 / Figures --- p.58 / Appendices --- p.86 / References --- p.109

She, Yingni. / "August 2011." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 43-49). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Investor Sentiment Measures --- p.6 / Chapter 2.2 --- Chinese Stock Market Overview --- p.13 / Chapter 3. --- Chinese Investor Sentiment Measure --- p.16 / Chapter 3.1 --- Data and Variables --- p.16 / Chapter 3.2 --- Methodology --- p.21 / Chapter 3.3 --- Empirical Results --- p.22 / Chapter 3.4 --- Investor Sentiment Behavior --- p.24 / Chapter 4. --- Threshold Autoregressive Model --- p.29 / Chapter 4.1 --- Methodology --- p.29 / Chapter 4.2 --- Estimated Results --- p.31 / Chapter 4.3 --- Forecasting Performance --- p.36 / Chapter 4.4 --- Trading Strategy --- p.38 / Chapter 5. --- Conclusion --- p.41 / References --- p.43

In the second part of the thesis, we investigate whether ownership structure has influence to long-term stock return. We use a risk adjustment method to make it possible to compare stock return in different terms, therefore, we can use GMM method to estimate the influence of ownership structure in a panel sample set. We find that, insider ownership and institutional ownership are all significantly favorable to long-term stock return. However, the quarterly insider ownership change and quarterly institutional ownership change do not show significant influence. We also use a Fama-MacBeth approach to compare the results from GMM estimation and we find that the results are similar. / This thesis consists of two related parts. In the first part, we develop a method to extract insider ownership information from insider transaction reporting files and by combining it with quarterly institutions holding report data, we obtain quarterly ownership structure for most common stocks listed in CRSP tape. We use ownership structure and quarterly ownership change to analyze how insiders, large institutions and individual investors differ from each other in their holding preference to stock characteristics and trading behavior. We find that, these three kinds of investors have significant difference in holding preference to size, price, monthly turnover, previous 12-months return. They also show significant difference in trading behaviors. Basically, institutions are momentum trader, and are interested in "growth" stocks. Insiders are anti-momentum trader, they sell more when past return is higher and they more focus on "value" stocks. / Zhu, Honghui. / "September 2002." / Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4150. / Supervisors: Jia He; Xiaoqiang Cai. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (p. 94-101). / 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. / Abstracts in English and Chinese. / School code: 1307.

Not available / text

Not available / text

Freedom is universally valued and fundamentally affects social life. In this thesis, I examine how freedom affects an important dimension of business: long-term commitment (LTC). The LTC of corporations is vital for economic growth because economic development is reliant on entrepreneurs continuously investing in physical and social capital. Corporate opportunism will never lead to long-term economic growth. Specifically, this study examines the effects of political freedom (PF) and economic freedom (EF) on two LTC-related variables: investment and the commitment to maintaining a loyal shareholder base, both of which are essential topics in the business literature. This study consists of two essays. The first essay investigates the effects of a country's political versus economic freedom on corporate investment based on a sample of 19,605 companies operating in 49 countries for the timespan covering 1995 to 2015. First-differencing (FD) regressions show that PF and EF are positively associated with corporate investment, but PF's effect is larger. I also find that the effect of EF is conditional on the development of PF but not vice versa. Further, the effect of PF does not seem to be due to concurrent changes in uncontrolled factors: major changes in PF have larger effects than minor changes, and I do not observe a reversion in the effect of PF. Lastly, I find that an improvement in PF is associated with a larger growth in investment among firms with state ownership or political connections, suggesting a larger distorting effect of low PF on these firms' investment decisions. Overall, the findings shed new light on the economic reforms designed by policymakers: economic reforms, no matter how easy they seem, may not work well without political reforms. The second essay examines the impacts of a country's political compared with economic freedom on corporations' commitment to maintaining a loyal shareholder base. With a sample of 45 countries spanning 12 years, the FD result shows that PF and EF are positively associated with corporations' commitment to shareholder loyalty (CSL). More importantly, PF has a greater effect than EF. It is also determined that the impact of EF is dependent on the advancement of PF, but the reverse is not true. Furthermore, the impact of PF is not caused by concurrent changes in uncontrolled factors: major changes in PF are more impactful than minor changes, while a reversion in the impact of PF is not observed. Finally, I find that an enhancement to PF is correlated with a more significant increase in CSL among firms with state ownership or political connections than in firms without. This implies that low PF has a greater distorting effect on the CSL of such firms. In general, these results indicate that while it is comparatively easier for policymakers to enact economic reforms, their effectiveness may be reduced in the absence of concurrent political reforms.

Not available

by Chu Yin Yin, Hui Chi Wah. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 65-66). / Chapter CHAPTER II --- INTRODUCTION --- p.1 / What is On-line Trading? --- p.1 / Real-time vs. Non-real-time Trading --- p.1 / What is AMS/3? --- p.2 / Electronic Commerce (e-commerce) --- p.3 / Financial Institutions and the Internet --- p.3 / The Pioneers --- p.4 / Opening Up in Hong Kong --- p.5 / Today's Online Investor --- p.6 / A Variety of Services and Products --- p.6 / On-line Stock Trading vs. Conventional Stock Trading --- p.6 / Factual Differences --- p.7 / Demographic Differences --- p.9 / Impact of Information Technology on Financial Market --- p.10 / Chapter CHAPTER II --- LITERATURE REVIEW --- p.15 / Review of Past studies in Internet Trading --- p.15 / Conceptual Framework: Theory of Reasoned Action --- p.16 / Behavior Beliefs and Attitudes toward the Behavior --- p.17 / Normative Beliefs and Subjective Norms --- p.17 / Conceptual Model --- p.18 / The Acceptance of Information Technology --- p.18 / The Causal Relations Among Constructs --- p.20 / Chapter CHAPTER III --- METHODOLOGY --- p.22 / Overview --- p.22 / The Research Design --- p.22 / Sample And Sampling Procedures --- p.23 / Operationalization of Perceived Constructs --- p.24 / Operationalization of Intended Constructs --- p.27 / Operationalization of Overall Comments --- p.27 / Chapter CHAPTER IV --- RESEARCH MODEL --- p.29 / Overview --- p.29 / The Statistical Modeling --- p.29 / Analysis on Perceived Constructs --- p.36 / Analysis on Intended Constructs --- p.38 / Chapter CHAPTER V --- Findings --- p.39 / Analysis on Overall Comments --- p.39 / Findings on Demographics --- p.39 / Findings on Perceived Constructs --- p.40 / Findings on Intended Constructs --- p.44 / Findings on Overall Comments --- p.46 / Chapter CHAPTER VI --- CONCLUSION --- p.48 / APPENDIX 1 --- p.51 / APPENDIX 2 --- p.57 / APPENDIX 3 --- p.61 / BIBLIOGRAPHY --- p.65 / Books --- p.65 / Periodicals --- p.55 / ACKNOWLEDGEMENT

This dissertation aims to develop a grounded theory explaining how Chinese stock investors construct risk through their communication practices. Many of the previous studies attribute the risk in the stock market to greedy or unprofessional investors who speculate in stocks. In order to explore this topic further, this dissertation applies a grounded theory approach to develop a detailed local case showing the communication practices of Shanghai investors with respect to stock investment. By examining how investors produce meanings of risk and the relevant risk positions, the dissertation explains why investors keep speculating in the stock market. It uses interviews with 35 investors, in-depth interviews with 12 investors, and on-site observations of four stock exchange halls, investors’ home and working places in Shanghai from 2012 to 2014. The findings show that the investors consider risk to be the uncertainties about the accuracy of the information and the speed by which it is obtained. Ideally, they would obtain public information, make sense of public information professionally, and then generate directional information on which they can base their stock trades. However, with the devaluation of public information due to the corrupt social system, investors are forced to communicate more accurate information in a private way to position themselves to have a privileged risk position, which produces certainties for them but uncertainty for others. The belief in professionalism is eroded through the surge in demand for insider information based on interpersonal relations (guanxi). Because of the lack of insurance and security when circulating information privately, investors have shifted away from long-term stock investments to speculate in stocks. Although the mechanism of stock speculation produces risk for almost all investors, they still produce and reproduce this mechanism. The reason for this is that these investors are trapped in a paradox of risk and security without realizing that their practices to produce security are in fact producing uncertainties for them. / 本論文研究上海的股票投資者是怎樣在傳播實踐中構建風險的意義的。很多研究將金融風險歸咎於投資者的貪婪或不專業的過度投機行為。為了進一步研究這一課題，本論文採取紮根理論的研究方法，構建一個詳實的關於上海投資者傳播實踐的案例。由此，本論文研究了當地投資者怎樣通過傳播實踐構建風險的意義以及不同的風險處境，並由此對投資者進行投機行為進行理論性的闡釋。本論文的數據收集時間為2012年至2014年，其中主要包括對4所上海的投資交易大廳的實地觀察，對35個投資者的訪談，以及12個深入訪談以及追踪觀察。研究發現，投資者將風險與對信息的正確性以及傳播速度的不確定性相關聯。理想狀態下，投資者通過獲取公共信息，專業解讀信息以將其轉化為導向性的信息，之後進行股票交易。然而，由於腐敗等問題，各類公共信息都產生了貶值，投資者被迫用更私人的方式傳播更準確的信息，以使自己能處於有利地位，並將對信息的確定性建立在其他投資者對信息的不確定性之上。專業主義被瓦解了，取而代之的是建立在人際關係之上的對內幕消息的傳播。投資者們也從專業的、長期的投資專為短期的投機。而那些處於不利地位的投資者所面臨的不確定性亦將反過來加諸於有利地位的投資者之上。儘管投機的體系將風險加諸於幾乎所有投資者之上，投資者仍繼續投機行為。本論文認為其原因是投資者被困於“風險矛盾”之中——投資者通過實踐來尋求保障，未曾意識到其實踐造成了自己乃至於經濟體系更大的風險。 / Mao, Zhifei. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2015. / Includes bibliographical references (leaves 203-222). / Abstracts also in Chinese. / Title from PDF title page (viewed on 15, September, 2016). / Detailed summary in vernacular field only.