Leung Kam Pui, Calvin, Ip Koon Tung, Patrick. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaf 50). / Chapter Chapter1 --- Introduction --- p.3 / Chapter Chapter 2 --- Methodology --- p.6 / Chapter Chapter 3 --- Market Profile --- p.9 / Chapter Chapter 4 --- Theoretical Framework --- p.16 / Chapter Chapter 5 --- Analysis / Chapter Chapter 6 --- Case Study - Champaign Industrial Co --- p.44 / Chapter Chapter 7 --- Conclusion --- p.47 / Appendix 1. Bibliography --- p.50 / Chapter 2. --- Related Regulations with the Shenzhen Stock Market --- p.53 / Chapter 3. --- Shareholding System --- p.54 / Chapter 4. --- Requirements for New Listing --- p.56 / Chapter 5. --- Settlement Procedure --- p.58 / Chapter 6. --- "How ""B"" Shares are Traded" --- p.60 / Chapter 7. --- List of Authorised Securities Companies --- p.61 / Chapter 8. --- "Company Profiles of ""B"" Shares" --- p.63 / Chapter 9. --- List of Questions & Interviews Record --- p.83

Li, Ming Hin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 42-46). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Inference for Fractional Cointegration --- p.5 / Chapter 2.1 --- Concept of Fractional Cointegration --- p.5 / Chapter 2.1.1 --- Fractional Integration --- p.5 / Chapter 2.1.2 --- Fractional Cointegration --- p.8 / Chapter 2.2 --- Fractional Cointegration Modeling --- p.9 / Chapter 2.2.1 --- Engle-Granger's Methodology --- p.9 / Chapter 2.2.2 --- Johansen's Methodology --- p.10 / Chapter 2.2.2.1 --- Maximum Likelihood Estimators --- p.12 / Chapter 2.2.2.2 --- Cofractional Rank Test --- p.16 / Chapter 3 --- Pairs Trading Strategy --- p.19 / Chapter 3.1 --- Statistical Arbitrage --- p.19 / Chapter 3.2 --- Fractional Cointegration Pairs Trading --- p.20 / Chapter 3.2.1 --- Trading Procedures --- p.22 / Chapter 4 --- Empirical Study --- p.27 / Chapter 4.1 --- Backgrounds --- p.27 / Chapter 4.2 --- Settings --- p.28 / Chapter 4.3 --- Empirical Results --- p.29 / Chapter 5 --- Conclusions and Further Research --- p.39 / Bibliography --- p.42

Tsui Chuk Wah. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 69-70). / Abstracts in English and Chinese. / Abstract --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Data --- p.8 / Chapter 3 --- Methodology --- p.23 / Chapter 4 --- Results --- p.45 / Chapter 5 --- Conclusion and Further Development --- p.59 / Appendix --- p.63 / Reference --- p.69

Yip Wai-chung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 106-110). / Abstracts in English and Chinese. / ABSTRACT --- p.ii / 內容摘要 --- p.iv / ACKNOWLEGDEMENTS --- p.vi / LIST OF FIGURES --- p.ix / LIST OF TABLES --- p.x / Chapter Chapter I --- INTRODUCTION --- p.1 / Chapter Chapter II --- LITERATURE REVIEW --- p.7 / Chapter 2.1 --- Operating Performance of SEO Issuers --- p.7 / Chapter 2.1.1 --- Theoretical Background --- p.8 / Chapter 2.1.1.1 --- Free Cash Flow Theory --- p.8 / Chapter 2.1.1.2 --- Windows of Opportunity Theory --- p.10 / Chapter 2.1.1.3 --- Market Over-optimism Theory --- p.12 / Chapter 2.1.1.4 --- Earning Management Theory --- p.13 / Chapter 2.1.2 --- Empirical Background --- p.16 / Chapter 2.2 --- Corporate Governance Variables and Operating Performance --- p.18 / Chapter 2.2.1 --- Firm Size and Operating Performance --- p.20 / Chapter 2.2.2 --- Market Transaction Volume and Operating Performance --- p.21 / Chapter 2.2.3 --- Dividend Payout Ratio and Operating Performance --- p.22 / Chapter 2.2.4 --- Other Corporate Governance Variables and Operating Performance --- p.24 / Chapter 2.3 --- Price Performance of SEO Issuers --- p.28 / Chapter 2.3.1 --- Announcement Effect --- p.28 / Chapter 2.3.2 --- Long-run Effect --- p.30 / Chapter 2.4 --- Determinants of Operating Performance Decline and Price Performance --- p.32 / Chapter Chapter III --- SAMPLE DATA AND METHODOLOGY --- p.34 / Chapter 3.1 --- Sample Data Description --- p.34 / Chapter 3.2 --- Methodology --- p.37 / Chapter 3.2.1 --- Operating Performance of SEO Issuers --- p.38 / Chapter 3.2.2 --- Corporate Governance Variables and Operating Performance --- p.42 / Chapter 3.2.2.1 --- Firm Size and Operating Performance --- p.43 / Chapter 3.2.2.2 --- Market Transaction Volume and Operating Performance --- p.43 / Chapter 3.2.2.3 --- Dividend Payout Ratio and Operating Performance --- p.44 / Chapter 3.2.2.4 --- Other Corporate Governance Variables and Operating Performance --- p.45 / Chapter 3.2.3 --- Price Performance of SEO Issuers --- p.46 / Chapter 3.2.4 --- Determinants of Operating Performance Decline and Price Performance --- p.48 / Chapter Chapter IV --- RESULTS ON OPERATING PERFORMANCE --- p.50 / Chapter 4.1 --- Operating Performance of SEO Issuers --- p.50 / Chapter 4.2 --- Determinants of Operating Performance --- p.53 / Chapter 4.2.1 --- Firm Size and Operating Performance --- p.53 / Chapter 4.2.2 --- Market Transaction Volume and Operating Performance --- p.57 / Chapter 4.2.3 --- Dividend Payout Ratio and Operating Performance --- p.60 / Chapter 4.2.4 --- Other Corporate Governance Variables and Operating Performance --- p.63 / Chapter Chapter V --- RESULTS ON PRICE PERFORMANCE --- p.68 / Chapter 5.1 --- Price Performance of SEO Issuers --- p.68 / Chapter 5.2 --- Determinants of Operating Performance Decline and Price Performance --- p.72 / Chapter Chapter VI --- CONCLUSION --- p.79 / FIGURES --- p.85 / TABLES --- p.94 / APPENDIX --- p.105 / BIBLIOGRAPHY --- p.106

Wong Wai Hong. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 79-80). / Abstracts in English and Chinese. / Chapter 1. --- Introduction and Literature Review --- p.1 / Chapter 2. --- Spinoffs in an Asymmetric Framework --- p.6 / Chapter A. --- The Model / Chapter B. --- The Analysis / Chapter C. --- Market Value Maximization / Chapter D. --- Data Description / Chapter E. --- Total Market Value Analysis / Chapter 3. --- Case Study --- p.21 / Chapter A. --- Methodology / Chapter B. --- Empirical Results / Chapter 4. --- "Growth, Profitability and Financial Health" --- p.34 / Chapter A. --- Growth / Chapter B. --- Profitability / Chapter C. --- Financial Health / Chapter 5. --- Conclusion --- p.47 / Chapter 6. --- Tables --- p.49 / Chapter 7. --- Bibliography --- p.79

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

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

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

published_or_final_version / Public Administration / Master / Master of Public Administration

by Ng Hon Sun, Stephen & Poon Ming Him. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 50-52). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.v / LIST OF FIGURES --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CHARACTERISTICS OF WARRANTS AND THE NATURE OF HK WARRANT MARKET --- p.5 / Chapter II (i) --- Warrants Versus Call Options --- p.5 / Chapter II (ii) --- Historical Development of Warrants in Hong Kong --- p.6 / Chapter II (iii) --- Equity Warrants --- p.7 / Chapter II (iv) --- Derivative Warrants --- p.8 / Chapter II (v) --- The Risks of Derivative Warrants --- p.10 / High Inherent Risks --- p.10 / Complex Exercise Conditions and Conversion Adjustments --- p.10 / Chapter II (vi) --- Regulatory Environment of Derivative Warrants --- p.12 / Chapter III. --- LITERATURE REVIEW --- p.14 / Chapter IV. --- DATA AND METHODOLOGY EMPLOYED --- p.19 / Chapter IV (i) --- Date Employed --- p.19 / Chapter IV (ii) --- Methodology Employed --- p.24 / Chapter V. --- EMPIRICAL RESULTS AND INTERPRETATION --- p.28 / Chapter V (i) --- Market Trend Before and After Listing --- p.37 / Chapter V (ii) --- Trading Volume --- p.38 / Chapter V (iv) --- Volatility --- p.39 / Chapter VI. --- CONCLUSIONS --- p.44 / APPENDIXES --- p.46 / APPENDIX A STOCKS SELECTED FOR STUDY --- p.46 / APPENDIX B CONSTITUENT STOCKS OF HANG SENG INDEX --- p.47 / APPENDIX C HANG SENG INDEX 1993-1994 --- p.48 / APPENDIX D HANG SENG INDEX RETURN AND SELECTED STOCK UNADJUSTED MEAN RETURN --- p.49 / REFERENCES --- p.50 / LIST OF TABLES / TABLE 1 DERIVATIVE STOCK WARRANTS LISTING IN 1993 -1 994 --- p.21 / TABLE 2 COMPARISON OF PRE- AND POST- LISTING RETURNS --- p.28 / TABLE 3 EXCESS MARKET RATE OF RETURN AND CUMULATIVE EXCESS MARKET RATE OF RETURN --- p.32 / TABLE 4 MARKET MODEL RATE OF RETURN AND CUMULATIVE MARKET MODEL RATE OF RETURN --- p.33 / TABLE 5 β'S CALCULATED ON THE UNDERLYING STOCK --- p.33 / TABLE 6 MARKET TREND BEFORE AND AFTER LISTING OF DERIVATIVE WARRANTS --- p.37 / TABLE 7 EFFECTS OF DERIVATIVE WARRANT LISTING ON RISK CHARACTERISTICS OF UNDERLYING STOCKS --- p.41 / LIST OF FIGURES / FIGURE 1 SUMMARY OF THE REGULATIONS ON DERIVATIVE WARRANTS --- p.13 / FIGURE 2 WARRANT LISTINGS DISTRIBUTION MAP --- p.23 / FIGURE 3 CUMULATIVE RETURN % (ADJUSTED AND UNADJUSTED) --- p.31 / FIGURE 4 IMPACT OF LISTING ON VARIANCE --- p.40