by Fong Yuet-Ming, Lau Mei-Po. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 43-46). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / Roots of Asian Financial Crisis --- p.4 / Contagion Phenomenon --- p.10 / Fixed Exchange Rate Regime --- p.10 / Sterilized and Non-sterilized Foreign Exchange Rate --- p.12 / "Case Study of Fixed Exchange Rate Collapse: Mexico Peso Crisis,1982" --- p.13 / Crisis Theories --- p.14 / Chapter III. --- METHODOLOGY --- p.16 / CAPM Analysis --- p.17 / T-tests --- p.18 / Regression Analysis --- p.19 / Chapter IV. --- EMPIRICAL ANALYSIS --- p.20 / Category Level --- p.20 / Individual Stock Level --- p.24 / P/E Ratio Analysis --- p.24 / Share Price Analysis --- p.26 / Market-to-book Ratio Analysis --- p.29 / Cumulative Residual Analysis & Regression Residual Against Time --- p.31 / Chapter V. --- CONCLUSIONS & IMPLICATIONS FROM STUDY --- p.39 / Conclusions --- p.39 / Implications from Study --- p.41 / BIBLIOGRAPHY --- p.43 / APPENDIX / Graphs of Cumulative Residuals against Time of the Hang Seng Index Constituents Stocks

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

Yuan Shuo. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 49-53). / Abstracts in English and Chinese. / Chapter CHAPTER 1 --- Introduction --- p.1 / Chapter CHAPTER 2 --- Literature Review --- p.4 / Chapter 2.1 --- Worldwide IPO Underpricing --- p.4 / Chapter 2.2 --- IPO Underpricing in China --- p.10 / Chapter CHAPTER 3 --- New Explanations for IPO Underpricing --- p.12 / Chapter CHAPTER 4 --- "Data, Methodology and Empirical Results" --- p.15 / Chapter 4.1 --- Data --- p.15 / Chapter 4.2 --- Methodology --- p.19 / Chapter 4.3 --- Models and Empirical Results --- p.27 / Chapter 4.31 --- Underpricing Level Is Measured by the Percentage Difference Between the First Day's Closing Price and the Offer Price --- p.27 / Chapter 4.32 --- Underpricing Level Is Measured by the Percentage Difference Between the Average Price of the First Fifteen Trading Days' Closing Prices and the Offer Price --- p.34 / Chapter 4.33 --- Underpricing Level Is Measured by the Percentage Difference Between the Average Price of the First Seven Trading Days' Closing Prices and the Offer Price --- p.38 / Chapter 4.34 --- Underpricing Level Is Measured by the Percentage Difference Between the Average Price of the First Three Months' Closing Prices and the Offer Price. --- p.42 / Chapter CHAPTER 5 --- Conclusion --- p.47 / REFERENCE --- p.49 / APPENDIX 1 Detailed Regression Results --- p.54 / APPENDIX 2 The Issue Price and Stock Price Movement after IPO for Each Sample Firm --- p.70

Although idiosyncratic return volatility has been used in a number of studies to capture the informativeness of stock prices, the relation between the two is still under controversy. Researchers raise more questions about the existence of such a relation in emerging markets since the efficient market hypothesis (EMH) may not sustain in these markets. Therefore, use idiosyncratic return volatility estimated from the common asset pricing models as a measure of stock price informativeness becomes questionable. The first part of this thesis serves to validate the use of idiosyncratic return volatility as a stock price informativeness measure in the China settings. In particular, using a battery of information flow proxies, I empirically test the relation between stock price informativeness and idiosyncratic return volatility; the empirical evidence supports the existence of such a relation. However, there exists an inverse U-shape relation between firm-specific information and idiosyncratic return volatility. Therefore, in the second essay, when using idiosyncratic return volatility as a measure of informativeness of stock prices, I truncate the sample as Morek et al. (2000) do in their study. / From an institutional perspective, my dissertation attempts to explain why firms operating in emerging markets such as China have inferior information environments. The main theme of this thesis is to provide firm-level evidence that the institutional settings in China change firms' incentives to provide firm-specific information to the stock market and thus impair the information environments and lower the idiosyncratic return volatilities of these firms. / Keywords: Institutions; information environments; performance hiding / The second part of this thesis addresses the research question on how firms' information environments are shaped by a country's institutions. Morek et al. (2000) document that more developed countries usually have better information environments, and vice versa. The authors offer an "institutional explanation" that attributes the poor information environments in emerging markets to the lack of property rights protections in these markets. However, previous literature provides only limited evidences on how institutions affect the supply of firm-specific information to the market. Hence, this paper uses China as case to investigate how extensive government interventions in China generate incentives for firms to hide their information. I find that, first, excessive local government in a region increases firms' incentives to hide their true performance, after controlling for firm characteristics. A further analysis shows that the directions of firms' hiding activities vary across firms and are contingent on the nature of the firms' ultimate owners, because of different political pressures exerted. In particular, I find that family firms are more likely to suppress good news to avoid governments' "grabbing hands", while State-owned Enterprises (SOEs) are more likely to hide their bad performances to protect local governments' image from being damaged. Second, firms' hiding activities do impair firms' information environment, resulting in lower idiosyncratic stock return volatilities. To strengthen this argument, I test the "information link" between firms' hiding activities and their information environments. I find that firms' incentives to hide their performances reduce market participants' motives to acquire private information, evident by fewer analyst following. Moreover, my results show that involvement of information intermediaries alleviates the negative effects of firms' hiding activities on the information environments. / pt. 1. Information environments in China: availability of firm-specific information to the capital market -- pt. 2. Government intervention, firms' hiding activities and information environments: evidence from China. / Lin, Jingrong. / Adviser: T. J. Wong. / Source: Dissertation Abstracts International, Volume: 73-04, Section: A, page: . / Thesis (Ph.D.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references. / 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 Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

In Chapter 1, we investigate the shareholder and creditor protection and look into the dividend policy implement in the stock market. The investor protection was analyzed based on the China company law and our result shows that the shareholder (creditor) protection is weak (strong) compared with the rest of the world. In China, a firm can issue as many as five different classes of shares: state shares, legal person shares, A-shares, foreign shares and employee shares. Under the weak shareholder protection in China, A-shareholders are categorized to the disadvantage group in corporate structure which demonstrates the classic free-rider problem. With the expertise and knowledge to monitor the management, controlling legal person not only enhance the corporate performance, but also expecting dividend payout as the reward. In our study, we have strong evidence on the legal person share ownership positively related to the dividend payout decision, while the A-shares and state shares ownership are negatively related to the decision on dividend payout. / The Japanese stock market provide a reasonable setting for studying intermediate-horizon price momentum effect, because Japan has the largest equity market aside from the U.S. in terms of both capitalization and number of securities. In Chapter 2, by measuring the relative strength of portfolio on the Japanese market, we found that the price momentum does not exist in the Japanese market. Further, the momentum returns keep always negative on any horizon, which is coherent in keiretsu and non-keiretsu grouping and in different trading volume. The decomposition on the expected average returns of different investment period in Japanese market shows that the price reversals is not capable to overwhelm the losses from the cross-sectional differences in mean returns and cannot yield statistically significant net momentum profits in the Japanese market. / This paper consists of two separate projects: (1) The investor protection and dividend policy in China, (2) Price momentum in Japan. / Wong Chin Pang, Antonio. / "April 2003." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3413. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 58-50). / Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Essays in international finance (China, Japan) / 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.

This study investigates whether earnings components are correctly priced by the Chinese investors. Under the Chinese GAAP, total earnings can be easily decomposed into core earnings and non-core earnings. Core earnings are more persistent than non-core earnings and cash flows from operations are more persistent than accruals, as expected. However, the market underestimates (overestimates) the value implications of current core (non-core) earnings for future earnings. Furthermore, the market overprices (underprices) accruals (cash flows from operations). Therefore, future returns adjusted for risk factors identified in this study are predictable by the information contained in the components of current earnings. Both the portfolio tests and regression analysis generate economically significant abnormal returns that are robust to sensitivity checks. Further analysis suggests that there is no significant difference in the extent of mispricing across firms with different characteristics such as transaction costs, arbitrage risks, investor sophistication, or firm size. This could be due to the measurement errors in the proxy variables for these characteristics. / Wu Donghui. / "July 2003." / Advisers: In-Mu Haw; James Xie. / Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2551. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 121-130). / Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Mispricings of earnings components empirical evidence from China. / 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.

by Mak Ho Sing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 54-58). / Abstract / Chapter Chapter 1: --- Introduction / Chapter Chapter 2: --- Simple Value Vs Glamour Strategy / Chapter Chapter 3: --- Are Contrarian Investment Strategies Fundamentally Riskier ？ / Chapter Chapter 4: --- The Performance of the Mutual Fund Industry in Hong Kong / Chapter Chapter 5: --- Summary and Interpretation of the Findings References / References / Appendix: Tables and Diagrams

by Wong Siu-Ming. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaf 77). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATION --- p.v / LIST OF TABLES --- p.vi / PREFACE --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Objectives --- p.1 / Methodology --- p.1 / Selection of stock exchange for case study --- p.2 / Selection of target company and share type for case study --- p.3 / Definitions of abbreviation --- p.4 / Contribution --- p.5 / Chapter II. --- Shenzhen Stock Exchange --- p.6 / History of the stock markets in China --- p.6 / Particulars of Shenzhen Stock Exchange --- p.7 / Profiles of the listing companies on the SZSE --- p.10 / Capital raised and Market capitalization --- p.10 / Distribution of share types on the SZSE --- p.13 / Distribution of listing companies in different sectors --- p.14 / Types of listing companies in China's stock market --- p.15 / Selection criteria of stock exchange for new issue --- p.15 / Chapter III. --- IPO of 'A share' stocks on the Shenzhen Stock Exchange --- p.17 / Basic qualifications for listing on the SZSE --- p.17 / Listing procedures --- p.19 / Method of listing --- p.21 / Professional advisors --- p.22 / Pre´ؤlisting restructuring of state-owned enterprises --- p.24 / Documents required for listing application --- p.25 / Prospectus for listing --- p.26 / Profit estimate in the IPO prospectus --- p.27 / Requirement for further issue of shares after listing --- p.27 / Problems faced by the regulatory bodies --- p.28 / Chapter IV. --- Particulars of Jiangxi Ganneng Company Limited --- p.29 / "History, development and reorganization" --- p.29 / Principal activities --- p.31 / Organization structure of the Company --- p.32 / Pre-listing restructuring of the Company --- p.32 / Ownership structure --- p.34 / Management hierarchy --- p.35 / Financial performance --- p.38 / Listing of the Company --- p.39 / Chapter V. --- IPO pricing of Jiangxi Ganneng Company Limited --- p.41 / IPO Pricing --- p.41 / Computation of the Company's IPO price --- p.42 / Chapter VI. --- IPO Pricing in China --- p.44 / Valuation of companies in China --- p.44 / IPO pricing in China --- p.44 / Restriction on the price-earnings ratio of new issue --- p.45 / Adjustment of the price-earnings ratio of new issue --- p.46 / Evaluation of the current IPO pricing method in China --- p.48 / Chapter VII. --- The post-listing return performance of unseasoned issues of 'A share' stocks in Shenzhen --- p.51 / Methodology --- p.51 / Data Analysis --- p.52 / Measure of central tendency of the sample's 8 rate of return --- p.53 / Distribution of the 8 rate of return --- p.56 / Industry effect on the post-IPO return performance --- p.57 / Size effect on the post´ؤIPO return performance --- p.60 / Chapter VIII. --- Future Prospects of IPO market in China --- p.62 / The state planning of the privatization of state-owned enterprises in China --- p.62 / Impact on IPO of state-owned enterprises after the restructuring of State Council --- p.66 / Chapter IX. --- Conclusions --- p.67 / APPENDIX --- p.72 / BIBLIOGRAPHY --- p.77

Yuen, San Wing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 58-61). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature review and hypothesis development --- p.5 / Chapter 2.1 --- Going private --- p.5 / Chapter 2.2 --- Tunneling and the expropriation of minority shareholders --- p.9 / Chapter 2.3 --- Our hypotheses --- p.12 / Chapter 3 --- Samples --- p.15 / Chapter 3.1 --- Sample construction --- p.15 / Chapter 3.2 --- Sample description --- p.16 / Chapter 3.3 --- Corporate governance and financial variables --- p.18 / Chapter 3.4 --- Related party transactions --- p.21 / Chapter 4 --- Empirical analysis --- p.23 / Chapter 4.1 --- Event study results --- p.23 / Chapter 4.2 --- Negative premium --- p.34 / Chapter 4.3 --- Insider trading --- p.37 / Chapter 4.4 --- The decision to go private --- p.39 / Chapter 4.4.1 --- Sample matching --- p.39 / Chapter 4.4.2 --- Comparison between going private companies and public companies --- p.41 / Chapter 4.5 --- Logit regression analysis on going private decision --- p.43 / Chapter 4.6 --- The value effect of the bidding firms --- p.46 / Chapter 5 --- Conclusion --- p.49 / Chapter A --- Privatized companies included in the sample with announcement dates --- p.51 / Chapter B --- Methodology of event study --- p.53 / Chapter C --- Bidder companies --- p.55 / Chapter D --- A list of definition of variables --- p.56 / Reference --- p.58

The current study examines the extent and magnitude by which global and regional shocks are transmitted to the volatility of returns in the stock markets of South Africa, Egypt, Nigeria, Botswana, Mauritius and Egypt. This is done so as to make inferences on the level of the domestic market‟s integration into the regional and world capital markets. By applying multivariate and univariate GARCH models, using weekly data from June 1995 to May 2010, the main empirical findings are threefold. Firstly, the volatility analytical framework finds statistically significant and time-varying volatility spillover effects from the regional and global markets to the South African market. Global shocks are generally stronger and account for up to 23.9 percent of the volatility of South Africa‟s equity market compared to weaker regional factors which account for less than 1 percent of domestic variance. Only in countries with strong bilateral trade and economic links with South Africa, such as Botswana and Namibia, is it found that regional factors are more dominant than global factors for domestic volatility. Compared to the other African markets, the joint influence of foreign shocks on domestic volatility is highest in South Africa and Egypt, two of Africa‟s largest and most developed markets. The results further demonstrate that for all the African markets the explanatory power of both regional and global factors for domestic volatility is not constant over time and tends to increase during turbulent market periods. Secondly, the analysis of the determinants of South frica‟s second moment linkages with the global market suggests that the volatility of the exchange rate plays a cardinal role in influencing the magnitude by which global shocks affect domestic volatility. The increased global integration in the second moments cannot be attributed to either increased trade integration, convergence in inflation rates or to convergence in interest rates between South Africa and the global markets. Lastly, tests were conducted to examine whether there have been contagion effects from the regional and global markets to South Africa from the 1997 Asian crisis and the 2007/8 global financial crisis. The results show no evidence of contagion during either the East Asian currency crisis or the recent global financial crisis to South Africa, while some African markets, such as Egypt, Mauritius and Botswana, exhibit contagion effects from either crisis. Overall, the empirical findings generally support the view that African markets are segmented both at the regional and global levels as domestic volatility is more influenced by local idiosyncratic shocks (the proportion not attributable to either global and regional factors). However, the volatility of South Africa, and to a lesser extent Egypt, remains relatively more open to global influence. This implies that the potential for gains from international portfolio diversification and the scope for success of policies aimed at the stabilisation of equity markets in these markets exist.