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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
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American depository receipt and impact of foreign listings of the risk and return for Hong Kong listed companies.January 1994 (has links)
by Cheuk Kam-wa. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 43-45). / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENT --- p.vii / INTRODUCTION --- p.1 / WHAT IS ADR? --- p.5 / The Trading Mechanism --- p.6 / Issuance --- p.6 / Transfer - intra-market trading --- p.7 / Cancellation --- p.7 / Trading - pricing --- p.8 / Equity offerings --- p.8 / OVERVIEW OF US SECURITIES REGULATIONS --- p.10 / The Securities Act of 1933 --- p.10 / The Securities Exchange Act of 1934 --- p.11 / TYPES OF ADR --- p.13 / Unsponsored ADR --- p.13 / Sponsored ADR --- p.14 / Level-I --- p.14 / Level- II --- p.15 / Level- III --- p.16 / Rule 144A --- p.16 / ADVANTAGES AND BARRIERS OF ADR ISSUANCE TO HONG KONG LISTED COMPANIES --- p.19 / Advantages --- p.19 / Barriers --- p.20 / Deferred taxation --- p.21 / Proposed final dividend --- p.21 / Retirement scheme costs --- p.21 / Property revaluation --- p.22 / OVERVIEW OF THE ADR MARKETS --- p.25 / Comparison Between The Regional Stock Markets In The US --- p.26 / Outlook --- p.28 / THE IMPACT OF ADR LISTINGS ON RISK AND RETURN FOR HONG KONG LISTED COMPANIES --- p.32 / Methodology --- p.32 / The effect of the listing of ADRs on underlying stock price --- p.34 / Interpretation of results on the effect on underlying stock price --- p.36 / The effect of the listing of ADRs on underlying stock volatility --- p.37 / Interpretation of results on the effect on underlying stock volatility --- p.38 / Conclusions --- p.40 / APPENDIX 1 : LIST OF HONG KONG LISTED COMPANIES WITH ADR PROGRAMMES --- p.41 / REFERENCES --- p.43
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The impact of takeovers on the wealth of shareholders of bidding firms: the Hong Kong experience.January 1994 (has links)
by Ko Shuk Yin, Yim Kok Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves [39-41]). / ACKNOWLEDGEMENTS --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / Chapter / Chapter I. --- INTRODUCTION AND OBJECTIVE --- p.1 / Introduction --- p.1 / Objective --- p.2 / Chapter II. --- LITERATURE REVIEW --- p.4 / Rationale for Takeovers --- p.4 / From the shareholders' standpoint --- p.4 / From the managers' standpoint --- p.7 / Empirical Literature Review --- p.9 / Overview --- p.9 / Target Firm Stockholder Returns --- p.12 / Bidding Firm Stockholder Returns --- p.13 / Chapter III. --- METHODOLOGY --- p.16 / Data --- p.16 / Hypothesis To Be Tested --- p.17 / Methodology --- p.17 / Chapter IV. --- EMPIRICAL RESULTS --- p.21 / An Overview --- p.21 / Interpretation --- p.24 / Stock price movement --- p.24 / Information leakage --- p.27 / Hubris hypothesis --- p.27 / Mode of payment --- p.28 / Number of bidders --- p.29 / Chapter V. --- LIMITATIONS AND RECOMMENDATIONS --- p.30 / Limitations --- p.30 / Recommendations --- p.31 / APPENDICES / BIBLIOGRAPHY
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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
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The Hong Kong stock market: characteristics and pricing of securities.January 1993 (has links)
by Chan Chi-man, Simon. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves [5]-[8] (2nd group)). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vii / LIST OF TABLES --- p.viii / Chapter CHAPTER I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objectives --- p.3 / Scope --- p.5 / Organization of the Paper --- p.6 / Chapter CHAPTER II. --- THE HONG KONG STOCK MARKET - QUANTIFYING ITS CHARACTERISTICS --- p.7 / Introduction --- p.7 / Choice of Proxy for the Market --- p.9 / Hong Kong in the Asian Pacific Region --- p.11 / Choice of Benchmarks for Comparisons --- p.12 / Comparative Returns and Standard Deviations --- p.13 / Correlations Amongst Different Markets --- p.16 / Comparative Price to Earnings (P/E) Ratios --- p.18 / Market Liquidity --- p.19 / Market Concentration --- p.20 / Summary --- p.21 / Chapter CHAPTER III. --- PRICING OF RISKY ASSETS IN HONG KONG --- p.23 / Introduction --- p.23 / Applicability of Pricing Models in the Hong Kong Stock Market --- p.23 / Literature Review --- p.23 / CAPM --- p.28 / The model --- p.28 / Hypotheses to be tested --- p.29 / Data --- p.30 / Methodology --- p.30 / Portfolio construction --- p.30 / Variable estimation --- p.31 / Cross-sectional regressions --- p.31 / Results and discussions --- p.32 / Stability of Beta --- p.34 / APT --- p.37 / Introduction --- p.37 / Analysis --- p.38 / Chapter CHAPTER IV. --- THE EFFICIENCY AND ANOMALIES OF THE HONG KONG STOCK / MARKET --- p.51 / Market Efficiency --- p.51 / Introduction --- p.51 / Informational Efficiency --- p.51 / Forms of market efficiency --- p.52 / Empirical evidence in Hong Kong --- p.53 / Historical prices --- p.53 / Investment advisory --- p.54 / Government budget speeches --- p.55 / Takeover --- p.55 / Conclusions --- p.55 / Anomalies --- p.56 / Introduction --- p.56 / An Exercise on PBV --- p.57 / Summary --- p.58 / Chapter CHAPTER V. --- POLITICAL INFLUENCE AND THE STOCK MARKET --- p.59 / Introduction --- p.59 / Literature Review --- p.60 / Political Risk in Hong Kong --- p.61 / Conclusion --- p.64 / Chapter CHAPTER VI. --- DIVERSIFICATION --- p.65 / Introduction --- p.65 / Literature Review --- p.65 / Does International Diversification Work --- p.67 / Conclusion --- p.72 / Chapter CHAPTER VII. --- CONCLUSIONS --- p.73 / What Moves Stock Prices? --- p.74 / Is the Stock Market Overreacting? --- p.75 / Some Suggestions --- p.76 / APPENDICES / BIBLIOGRAPHY
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A Study on the size anomaly in the Hong Kong stock market and its relation to seasonality.January 1992 (has links)
by Mok, Wai Man Ronald. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 59-63). / ABSTRACT --- p.ii / ACKNOWLEDGEMENTS --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vi / LIST OF TABLES --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Firm Size Effect --- p.2 / Chapter 1.2 --- Hong Kong Situation --- p.3 / Chapter 1.3 --- Outline of the Research Report --- p.4 / Chapter II. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- The Size Effect as a Statistical Artifact --- p.6 / Chapter 2.2 --- Further Characterization of the Size Effect --- p.11 / Chapter 2.3 --- Economic Explanations for the Size Effect --- p.12 / Chapter 2.3.1 --- Tax Effects --- p.12 / Chapter 2.3.2 --- International Evidence on Tax Effects --- p.13 / Chapter 2.3.3 --- Transaction Costs --- p.16 / Chapter 2.3.4 --- Ownership Structure --- p.17 / Chapter 2.3.5 --- Other modifications of the CAPM --- p.18 / Chapter III. --- OVERVIEW OF THE HONG KONG STOCK MARKET --- p.19 / Chapter IV. --- RESEARCH OBJECTIVES AND THEORETICAL FRAMEWORK --- p.21 / Chapter 4.1 --- Research Objectives --- p.21 / Chapter 4.2 --- Theoretical Framework --- p.22 / Chapter 4.2.1 --- Capital Asset Pricing Model (CAPM) --- p.22 / Chapter 4.2.2 --- Assumptions of CAPM --- p.23 / Chapter 4.2.3 --- Suitability of the Model --- p.23 / Chapter V. --- SAMPLE DATA AND METHODOLOGY --- p.25 / Chapter 5.1 --- Sample Data --- p.25 / Chapter 5.1.1 --- Data Sources --- p.25 / Chapter 5.1.2 --- Sample Period --- p.25 / Chapter 5.1.3 --- Sample Selection --- p.26 / Chapter 5.1.4 --- Market Index --- p.26 / Chapter 5.2 --- Methodology --- p.27 / Chapter 5.2.1 --- Portfolio Construction --- p.27 / Chapter 5.2.2 --- Raw Return --- p.28 / Chapter 5.2.3 --- Excess Return --- p.30 / Chapter 5.2.4 --- Excess Return Adjusted for Infrequent Trading --- p.31 / Chapter 5.2.5 --- Seasonality --- p.32 / Chapter VI. --- EMPIRICAL RESULTS & ANALYSIS --- p.34 / Chapter 6.1 --- Raw Returns --- p.34 / Chapter 6.2 --- Excess Returns --- p.36 / Chapter 6.3 --- Excess Returns Adjusted for Infrequent Trading --- p.42 / Chapter 6.4 --- Seasonality --- p.46 / Chapter 6.4.1 --- Raw Returns --- p.46 / Chapter 6.4.2 --- Excess Returns --- p.48 / Chapter 6.4.3 --- Excess Returns Adjusted for Infrequent Trading --- p.51 / Chapter VII. --- IMPLICATION OF FINDINGS AND CONCLUSION --- p.54 / APPENDIX 1 List of Companies of the Five Portfolios --- p.57 / APPENDIX 2 Average Market Value of Companies of the Five Portfolios --- p.58 / BIBLIOGRAPHY --- p.59
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The Relationship between PE ratios & firm sizes and abnormal returns of Hong Kong stocks, 1990-1991.January 1992 (has links)
by Chu Yee-Mon & Ku Wan-Shim. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 40-41). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- BACKGROUND AND LITERATURE SEARCH / Price earnings ratio anomaly --- p.3 / Over-reaction to earnings effect --- p.4 / January effect --- p.5 / Firm size effect --- p.6 / Chapter III. --- STATEMENT OF OBJECTIVES --- p.8 / Chapter IV. --- RESEARCH HYPOTHESES --- p.9 / Chapter V. --- METHODOLOGY / Research design --- p.10 / Data collection method --- p.13 / "Sampling (method, size, frame)" --- p.13 / Data collection process --- p.15 / Additional sample screening --- p.15 / Chapter VI. --- ANALYSIS AND INTERPRETATION / Sample size --- p.16 / Monthly returns & adjustment for capitalization changes --- p.16 / The market model linear regression analysis --- p.17 / Additional screening for data --- p.19 / Comparison of betas with published results --- p.21 / Monthly abnormal returns --- p.23 / PE ratios and quartiles --- p.23 / PE quartiles and firm sizes --- p.24 / PE ratios and abnormal returns --- p.26 / PE ratios and returns --- p.31 / "PE ratios, firm sizes and abnormal returns" --- p.33 / Chapter VII. --- LIMITATIONS / Limitation of methodology --- p.37 / The applicability of the market model --- p.38 / Chapter VIII. --- SUMMARY OF FINDINGS --- p.39 / BIBLIOGRAPHY --- p.40 / APPENDICES / Chapter A --- Market Model Regression Analysis and Abnormal Returns of individual stocks / Chapter B --- Monthly Abnormal (Market-Model Adjusted) Returns for 1990: Portfolio ranked on the magnitude of the firm's Actual Price on Dec 18 1989/1988 Earning (PE) Ratio Monthly Abnormal (Market-Model Adjusted) Returns for 1991: Portfolio ranked on the magnitude of the firm's Actual Price on Dec 18 1990/1989 Earning (PE) Ratio / Chapter C --- Average Monthly Abnormal (Market-Model Adjusted) Returns for 1990 and 1991: Portfolio ranked on the magnitude of the firm's Actual Price/Last Year Earnings (PE) Ratio / Chapter D --- Average Monthly Returns for 1990 and 1991: Portfolio ranked on the magnitude of the firm's Actual Price/Last Year Earnings (PE) Ratio / Chapter E --- Average Monthly Abnormal (Market-Model Adjusted) Returns for 1990 and 1991: Portfolio ranked on the magnitude of the firm's Actual Price/Last Year Earnings (PE) Ratio and then Firm Size
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Rights issues and investor returns in Hong Kong.January 1992 (has links)
by Lau Yiu Fai, Lawrence. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 44-45). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGEMENT --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Background --- p.2 / Mechanism of Rights Issue --- p.6 / Underwriting --- p.10 / Intrinsic Value of Rights --- p.14 / Advantages of Rights Issues for Fund Raising --- p.15 / Trading Strategies for Shareholders --- p.16 / Chapter II. --- METHODOLOGY OF ANALYSIS --- p.17 / Introduction and Literature Review --- p.17 / Performing the Event Study (Announcement of Rights Issue) of the Hong Kong Stocks. --- p.22 / Results Analysis --- p.27 / Correlations Between Rates of Change in Stock Price During the Announcement Period and the Size of the Proceeds --- p.28 / Results Analysis --- p.33 / The Price effect of Rights Issues and the Total Net Assets of the Company --- p.34 / Results Analysis --- p.35 / Chapter III. --- CONCLUSION --- p.37 / EXHIBITS --- p.40 / BIBLIOGRAPHY --- p.44
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Real estate and stock returns are indeed correlated: evidence from Hong Kong micro data.January 1999 (has links)
by Chan Tsun Kit. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 64-67). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgments --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vi / List of Figures --- p.vii / List of Appendices --- p.viii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Background --- p.4 / Chapter 2.1 --- The Importance of Real Estate Sector --- p.4 / Chapter 2.1.1 --- Employment Sector --- p.5 / Chapter 2.1.2 --- Investment Sector --- p.5 / Chapter 2.1.3 --- Banking Sector --- p.6 / Chapter 2.1.4 --- Government Sector --- p.6 / Chapter 2.2 --- Characteristics of the Real Estate Market --- p.7 / Chapter 2.3 --- Price Movement --- p.10 / Chapter 2.4 --- Major Developer --- p.13 / Chapter 2.4.1 --- Sun Hung Kai Properties --- p.15 / Chapter 2.5 --- Contribution of Real Estate Sector on Stock Market --- p.16 / Chapter 2.6 --- Connection between Real Estate and Stock Market --- p.17 / Chapter Chapter 3. --- Literature Review --- p.19 / Chapter Chapter 4. --- Methodology --- p.24 / Chapter 4.1 --- The Model --- p.24 / Chapter 4.2 --- Variables Used --- p.27 / Chapter 4.3 --- Sources of Data --- p.29 / Chapter Chapter 5. --- Empirical Findings --- p.30 / Chapter Chapter 6. --- Implication --- p.33 / Chapter Chapter 7. --- Limitation --- p.35 / Chapter Chapter 8. --- Conclusion --- p.37 / Tables --- p.39 / Figures --- p.48 / Appendices --- p.50 / Bibliography --- p.64
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An empirical study of the post-listing performance of IPO firms in Hong Kong: 1990-1998.January 2002 (has links)
Wong Yu-kwan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 74-77). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.8 / Chapter 3 --- Data and Methodology --- p.25 / Chapter 3.1 --- Data description --- p.25 / Chapter 3.2 --- Data sources --- p.27 / Chapter 3.3 --- Methodology --- p.28 / Chapter 4 --- Results --- p.40 / Chapter 4.1 --- Results of correlations --- p.40 / Chapter 4.2 --- Results of holding rates of returns- MAAMRORsubIPos --- p.44 / Chapter 4.3 --- The post-listing price performance of the IPO firms --- p.51 / Chapter 4.4 --- Regression results --- p.59 / Chapter 5 --- Discussion --- p.65 / Chapter 6 --- Conclusion --- p.70 / References --- p.74 / Tables --- p.78 / Appendix --- p.99
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