Liu Zheng. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 69-72). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Contributions --- p.2 / Chapter 1.2 --- Dissertation Organization --- p.3 / Chapter 2 --- Problem Statement and Background Study --- p.4 / Chapter 2.1 --- Problem Statement --- p.4 / Chapter 2.2 --- Background Study --- p.6 / Chapter 2.2.1 --- Overview of Pattern Discovery Methods --- p.7 / Chapter 2.2.2 --- Applications --- p.9 / Chapter 3 --- Ball Discovery Algorithms --- p.13 / Chapter 3.1 --- Brute-force Method for Ball Discovery --- p.13 / Chapter 3.2 --- Ball Discovery with Small Point Sets --- p.15 / Chapter 3.2.1 --- Pruning the Search Space Using RP-tree --- p.15 / Chapter 3.2.2 --- CB-tree - Collection of Balls in a Compact and Complete Form --- p.22 / Chapter 3.2.3 --- Algorithm of Finding Balls Using RP-tree and CB-tree --- p.31 / Chapter 3.3 --- Ball Discovery in Large Point Sets --- p.31 / Chapter 3.3.1 --- Candidate Sets of Balls --- p.31 / Chapter 3.3.2 --- A Divide-and-Conquer Algorithm --- p.35 / Chapter 3.4 --- Heuristic Greedy Algorithms for Ball Discovery --- p.37 / Chapter 3.4.1 --- A Heuristic Greedy Algorithm --- p.37 / Chapter 3.4.2 --- Another Heuristic Greedy Algorithm --- p.38 / Chapter 4 --- Evaluations --- p.40 / Chapter 5 --- Discussion --- p.59 / Chapter 5.1 --- Order and Index the Points --- p.59 / Chapter 5.2 --- Incremental Points Update --- p.59 / Chapter 5.3 --- Smallest Enclosed Ball Algorithm --- p.60 / Chapter 6 --- Conclusion and Future Research --- p.61 / Chapter A --- Appendix --- p.63 / Chapter A.1 --- Fundamental Algorithms --- p.63 / Chapter A.1.1 --- Computing Smallest Enclosed Ball of a Point Set in Euclidean Space --- p.63 / Chapter A.1.2 --- Finding All Cliques of an Undirected Graph --- p.65 / Chapter A.2 --- An Example of a Small Data Set --- p.66 / Bibliography --- p.69

Wong Ying Chiu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 62-69). / Abstracts in English and Chinese. / Chapter 1. --- Introduction and Literature Review --- p.1 / Chapter 2. --- Methodology --- p.9 / Chapter A. --- OLS Regression and Correlation / Chapter B. --- Simulation Trade / Chapter 3. --- Data --- p.15 / Chapter 4. --- Empirical Findings --- p.21 / Chapter A. --- OLS Regression and Correlation / Chapter B. --- Simulation Trade / Chapter 5. --- Conclusion --- p.32 / Chapter 6. --- Figures and Tables --- p.34 / Chapter 7. --- Bibliography --- p.62 / Chapter 8. --- Appendix --- p.70

Ng Wing-kam. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 54-55). / Abstracts in English and Chinese. / Chapter ONE --- INTRODUCTION --- p.1 / Chapter TWO --- DATA AND TECHNICAL TRADING RULES --- p.4 / Data / Technical Trading Rules / RSI / MACD / Chapter THREE --- EMPIRICAL RESULTS --- p.10 / Sample Statistics / Technical Trading Rules (Without Transaction Cost) / MACD / RSI / Technical Trading Rules (With Transaction Cost) / MACD / RSI / Chapter FOUR --- CONCLUSION --- p.37 / TABLES --- p.40 / BIBLOGRAPHY --- p.54

No description available.

Thesis (Ph. D.)--Drexel University, 2003. / Includes abstract and vita. Includes bibliographical references (leaves 83-88).

My dissertation finds that the effects of institutional trading on stock price efficiency are significant and complicated. On one hand, I present evidence that institutional trading in general improves price efficiency. In particular, major stock market anomalies such as stock return momentum, post earnings announcement drift, and the book-to-market effect are much stronger in stocks with lower institutional trading volume. On the other, some institutional trading behaviors could hamper stock price efficiency even though institutions are generally rational arbitrageurs. Specifically, I show that when institutions act as positive-feedback traders, their trading contributes to stock return momentum and hampers prices efficiency.

published_or_final_version / Business / Master / Master of Philosophy

No description available.

Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, this study provides empirical evidence to an aspect of fractional differencing and long memory processes, or the long memory of volatility. Evidence of long memory persistence is explored using stock price indices for eight emerging economies in both Asian and Latin American markets. The concern with the presence of long memory in higher moments of return series was first drawn by Ding, Granger and Engle (1993), using asset returns. Baillie, Bollerslev and Mikkelsen (1996) developed the fractionally integrated GARCH, or FIGARCH, process to represent long memory in volatility. The measure of long-memory persistence in the volatility is employed either using the original rescaled range statistic by Hurst (1951) and its modified version proposed by Lo (1991). Further analysis of the presence of long memory persistence is conducted using autocorrelation analysis. All the findings point in the same direction, that is, the existence of long memory in volatility irrespective of the measure chosen. Estimation of different models of volatility is undertaken beginning with the ARCH specification and until the FIGARCH model. The results show the effects to be higher in Latin American countries than in the Asian ones. This result seems consistent with the degree of intervention in the Latin American markets, known to be much higher. / Other possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study.

M.Com. (Financial Management) / Researchers are not satisfied with models that explain share price variations based on net present value analysis. To overcome the traditional problems of net present value analysis, intrinsic bubbles and the dividend price ratio were investigated to explain share price volatility. An index derived from dividend paying shares listed on the Johannesburg Securities Exchange Limited (JSE Ltd) for the period January 2000 to December 2010 was investigated. This investigation was based on Froot and Obstfeld’s (1991) Intrinsic Bubbles model. The null hypothesis of no intrinsic bubbles was not rejected. The findings infer that share prices were not only driven by fundamentals, implying the presence of intrinsic bubbles. This is consistent with the findings of Brooks, Nneji and Ward (2011) after applying the same methodology on the US housing market. The researcher’s aim was to provide a better clarification on whether changes in fundamentals are suitable to predict share prices, but results were inconclusive in this regard. The results indicate that fundamentals account for 80.1% of share price movements.