by Ho Wai Wa. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 87-92). / TABLE OF CONTENTS --- p.ii / LIST OF TABLES --- p.iii / ACKNOWLEDGMENT --- p.iv / ABSTRACT --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- NOISE TRADING --- p.8 / Chapter III. --- FEEDBACK TRADING FOR ASSET RETURNS --- p.19 / Chapter A. --- The Feedback Trading Model --- p.19 / Chapter B. --- Review of the Models for the Stock Return Distribution --- p.27 / Chapter C. --- A Testable Model --- p.34 / Chapter D. --- other Sources of Serial Correlation --- p.36 / Chapter E. --- Other Sources of ARCH Effect --- p.38 / Chapter IV. --- ESTIMATION OF THE FEEDBACK TRADING MODEL --- p.42 / Chapter A. --- Data Description --- p.42 / Chapter B. --- Estimation --- p.47 / Chapter 1. --- Base Model --- p.47 / Chapter 2. --- The Feeding Trading Model --- p.52 / Chapter C. --- Implications for Feedback Trading --- p.70 / Chapter V. --- MEASURING THE IMPACT OF NOISE TRADING --- p.73 / Chapter VI. --- CONCLUSION --- p.81 / BIBLIOGRAPHY --- p.87

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

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.

In the first part of thesis, we investigated the influence and explanatory power of aggregate insider trading activities on momentum trading strategies in US stock markets. We find that aggregate insider trading activities have ability in predicting cross-sectional returns and can strengthen the naive momentum effects. The risk factors such as size and book-to-market ratio cannot explain the strong momentum effects in our refined momentum strategies. We further extend the time horizon to as long as 3 years and find that the reversal patterns. We interpret our findings as follows: The continuous overreaction causes the mediate term (3- to 12 months) momentum effects and overly pricing. In long-term horizon, these overly priced stocks will be corrected with the time passing. The correction of overly pricing causes long-term reversals. / In the second part of the thesis, we studied relationships between the efficiency of external market and the capital allocation processes in internal market by investigating the performance of red chips traded in Hong Kong. Because of its special role between China and international capital market, it is difficult for international investors to monitor how red chips allocated their Hong Kong raised capital in China. The evidences show that red chips made poor investments in the past decades. However, the external market failed to reflect the unprofitable investment made by the management groups in the internal market. At least, our evidences show that the red chips made diversified but unprofitable investments in aggregate level in the past decade. / Jihong Xiang. / "December 2001." / Source: Dissertation Abstracts International, Volume: 63-01, Section: A, page: 0306. / Supervisors: Jia He; Duan Li. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p.102-113). / Available also through the Internet via ProQuest dissertations and theses under title: Are markets efficient? Evidences from stock markets in United States of America and Hong Kong. / 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. / Abstracts in English and Chinese. / School code: 1307.

Li, Nasha. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 28-30). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / ACKNOWLEDGEMENTS --- p.iii / Tables and Figures --- p.v / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.2 / Chapter 3. --- Factor-Augmented Regression Framework --- p.6 / Chapter 3.1 --- Estimation of latent factors --- p.8 / Chapter 3.2 --- Number of factors --- p.9 / Chapter 3.3 --- Interpretation of the factors --- p.11 / Chapter 4. --- Data --- p.12 / Chapter 5. --- Empirical Results --- p.13 / Chapter 5.1 --- Common factors --- p.13 / Chapter 5.2 --- Descriptive analysis --- p.16 / Chapter 5.3 --- Macroeconomic factors and excess returns predictability --- p.18 / Chapter 5.3.1 --- In-sample specifications --- p.18 / Chapter 5.3.2 --- Out-of-sample prediction performance --- p.24 / Chapter 6. --- Conclusion --- p.26 / Reference --- p.28 / Appendixes --- p.31 / Appendix I: Tables and Figures --- p.31 / Appendix II: Data --- p.52 / Appendix III: Calculation of the Fama-French three factors --- p.59

Yin, Xiani. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 58-59). / Abstracts in English and Chinese. / ABSTRACT --- p.ii / 摘要 --- p.iii / ACKNOWLEDGEMENTS --- p.iv / ABSTRACT --- p.ii / Chapter Chapter 1. --- Introduction --- p.8 / Chapter Chapter 2. --- Literature Review --- p.14 / Chapter Chapter 3. --- Institutional Background of the Political Control of Chinese Media --- p.19 / Chapter Chapter 4. --- Data and Sample Selection --- p.24 / Chapter 4.1 --- Data source --- p.24 / Chapter 4.2 --- Sample selection --- p.25 / Chapter 4.3 --- News collection --- p.28 / Chapter Chapter 5. --- Summary Statistics --- p.29 / Chapter Chapter 6. --- Methodology --- p.33 / Chapter 6.1 --- Event study --- p.33 / Chapter 6.2 --- Using CAR to calculate the overall market response after earnings announcement --- p.36 / Chapter 6.3 --- Measuring announcement date effects on stock performances --- p.36 / Chapter 6.4 --- Measuring news effect using CAR and Statistical Inference --- p.37 / Chapter Chapter 7. --- Empirical Results --- p.39 / Chapter 7.2 --- Overall market response after the earnings announcement --- p.42 / Chapter 7.3 --- Market reaction to official earnings announcements --- p.43 / Chapter 7.4 --- Market reaction to news report ´ؤ event study --- p.44 / Chapter 7.5 --- Differentiate higher circulation news effects on the market from lower circulation news --- p.47 / Chapter 7.6 --- Differentiate regional publications news effects on the market from national publications news --- p.48 / Chapter 7.7 --- Relationship between the number of news items and Cumulative Abnormal Return --- p.49 / Chapter 7.8 --- Relationship between “news influence coefficient´ح and Cumulative Abnormal Return: --- p.51 / Chapter 7.9 --- "Relationship between “news influence coefficient´ح, CAR, and number of restructuring activities in the second year" --- p.53 / Chapter 7.10 --- "Relationship between the number of restructuring activities, CAR, different news influence coefficient, and the third year ROE change" --- p.55 / Chapter Chapter 8. --- Conclusion --- p.57 / Tables --- p.61 / Table 1 Summary Statistics on Basic Information of the Sample --- p.61 / Table 2 Summary Statistics on ROE Change --- p.61 / Table 3 Two-sample Mean Comparison Test of the Earnings Performance Between the Subgroup with Negative News and the Subgroup Without Negative News --- p.62 / Table 4 Statistics about the number of restructuring activities of the companies with negative news --- p.63 / Table 5 Daily Average CAR over Different Periods --- p.64 / Table 6 Two-sample Mean Comparison Test --- p.65 / Table 7 Average Abnormal Returns From 3 Days Before Announcement to 10 Days After Announcement --- p.66 / Table 8 Abnormal Returns on the First Headline News Date and First Negative News Date --- p.67 / Table 9 Cumulative Abnormal Returns 10 Days After the First Headline News and First Negative News in a Clean Comparison --- p.68 / Table 10 Cumulative Abnormal Returns 10 Days After the First Headline News and First Negative News --- p.69 / Table 11 Comparisons of the CAR Between Higher and Lower Circulation News --- p.71 / Table 12 Comparisons of CAR Between Regional and National First Headline News --- p.72 / Table 13 Linear Regression Results With Dummy Variables --- p.73 / Table 14 Linear Regression Results with Number of News Items --- p.77 / Table 15 Linear Regression Results With “news influence coefficient´ح --- p.80 / Table 16 Poisson Regression Results with Number of News --- p.84 / Table 17 Linear Regression Results with Number of News --- p.86 / Table 18 Final Event Study Results --- p.88 / "Figure 1: Average CAR across Sample over (-3, 90) Days" --- p.92 / Appendix 1: Sample Companies --- p.93 / Appendix 2: Record of News Reports for Each Firm --- p.96 / Appendix 3: Number of Restructuring Activities During the Second Year --- p.99

This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple before-and-after method to investigate how the volatility of the constituent stocks changes relative to the non-constituent stocks after the introduction of CSI300 Index Futures. Empirical results revealed that the volatility of the constituent stocks increased as compared with that of non-constituent stocks before and after the inception of the CSI300 Index Futures. The temporal-self comparison for the stocks entered or removed from the CSI300 Index List showed that that the introduction of index futures has a long-term destabilizing effect. / 本文研究滬深300股票指數期貨的推出對我國股票市場波動率的影響。考慮到中國股市長期波動率下降的趨勢的存在,我們用差上差的方法取代了傳統的簡單事前事後比較方法來研究成分股相對于非成分股波動率在滬深300股票指數期貨推出前後是如何變化的。實證結果顯示成分股股票相對于非成分股股票,波動率在滬深300股票指數期貨推出前後實際上是上升的。對於進入或者剔除出滬深300指數名單的股票的實證研究顯示,這種股票不同狀態的自我比較說明對於滬深300股票指數期貨的推出在長期有失穩作用。 / Luo, Shengjie. / Thesis M.Phil. Chinese University of Hong Kong 2014. / Includes bibliographical references (leaves 40-42). / Abstracts also in Chinese. / Title from PDF title page (viewed on 12, October, 2016). / Detailed summary in vernacular field only.

This thesis comprises, firstly, a careful and detailed description of the institutional workings of the Chinese stock market; secondly, a literature review of the Chinese segmented markets and dual-listed shares price premium; and thirdly, three evidence-based contributions designed to cast new light on the Chinese A-shares premium puzzle. Publicly-listed firms in China, under certain criteria, can issue two different types of shares, namely A-shares and B-shares, to local and foreign investors respectively. These shares carry the same rights and obligations, but are however priced differently due to market segmentation. After a review of the literature on determinants of the premium, the first contribution offers a complementary explanation. I propose that the premium reflects the difference in valuation preferences between the local and foreign investors, i.e., local investors pay more attention to stock liquidity, while foreign investors pay more attention to firm’s intrinsic value, and so firms having more favorable fundamentals tend to have lower premia. The second contribution involves the examination of a controversial question that which investor group is better informed about local assets, by testing the direction of information flows between the A- and B-shares markets. Both time series methods, and panel data techniques which are used for the first time in this context, are employed, in order to get a distinct and more insightful picture against the current literature. The third contribution compares and contrasts institutional settings of China, Singapore and Thailand which have similar market segmentation and dual-listing systems; examines whether or not the premia in the three countries are caused by same factors; and tries to answer why foreign investors in China pay less, rather than more, as commonly observed in other segmented markets, for identical assets. It provides the first cross-country comparison evidence after 1999 with updated data.

published_or_final_version / Business Administration / Master / Master of Business Administration