Yuen Wai Sze. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 119-124). / Abstracts in English and Chinese. / ABSTRACT --- p.i / 摘要 --- p.iii / ACKNOWLEDGEMENTS --- p.iv / TABLE OF CONTENTS --- p.v / TABLES --- p.vi / FIGURES --- p.vii / APPENDICES --- p.vii / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- LITERATURE REVIEW --- p.6 / Chapter CHAPTER 3 --- RESEARCH METHODOLOGY --- p.13 / Chapter 3.1 --- Event Study Methodology --- p.13 / Chapter 3.2 --- Cross-Sectional Regression Models --- p.20 / Chapter CHAPTER 4 --- DATA DESCRIPTION OF THE JUNE 4th INCIDENT --- p.26 / Chapter CHAPTER 5 --- DATA DESCRIPTION OF THE SIGNING OF CEPA --- p.31 / Chapter CHAPTER 6 --- EMPIRICAL ANALYSIS OF THE JUNE 4th INCIDENT --- p.35 / Chapter 6.1 --- Background --- p.35 / Chapter 6.2 --- Event Study Results --- p.36 / Chapter 6.3 --- Regression Results --- p.38 / Chapter CHAPTER 7 --- EMPIRICAL ANALYSIS OF THE SIGNING OF CEPA --- p.45 / Chapter 7.1 --- Background --- p.45 / Chapter 7.2 --- Event Study Results --- p.46 / Chapter 7.3 --- Regression Results --- p.49 / Chapter 7.4 --- Robustness Test --- p.57 / Chapter CHAPTER 8 --- CONCLUSION --- p.59 / BIBLIOGRAPHY --- p.119

本論文的研究對象為中國內地證券市場于2010 年3 月31 日開放的融資融券業務，試分析該創新業務是否對中國股市的價格發現功能帶來了有效的改善。筆者將所有符合融資融券條件的股票，以其近日的成交量進行篩選以構成新的證券投資組合，并計算它們在未來一段時間內的投資回報率。該研究的結果顯示，不同於美國等西方市場，中國融資（券）多的股票並未在未來的一定時間段里顯示出比融資（券）少的股票有更強（弱）的盈利能力。從而表明在內地股市中，無論是融資者還是融券者，都無法有效地預測未來一段時間內股市的走向。另外，通過比較融資融券業務占每日成交量的比重，亦可發現內地的融資業務的發展遠超融券業務的發展，使優化“單邊市場“的進程受到影響。根據以上兩個發現，筆者認為到2012 年為止，融資融券業務尚未有效的改善中國內地股市的價格法相功能，有悖于股市監管機構開展此業務時的最初目的。 / This paper studies the margin trading, including both margin purchase and short sale in mainland China markets, which was not opened until Mar 31st, 2010. I attempt to determine how the new business will influence the mainland markets by examining whether the margin traders are informed or not about stock prices in their holding periods. By using data from Mar 31st, 2010 to Dec 31st, 2012, I find that the daily percentage of margin purchasing in trading volume is usually 600% more than that of short selling, which may aggravate the asymmetric level of mainland stock markets. In addition, by measuring the return of specially sorted trading portfolios based on stock margin trading activities in previous trading days, I find that both heavily margin purchased (shorted) stocks do not perform better (worse) than lightly margin purchased (shorted) ones in the following trading days, which is different from the findings in developed markets, where heavily shorted stocks underperform the lightly shorted ones, and indicates that both margin purchasers and short sellers in mainland markets are not well informed. My two findings imply that margin trading in the mainland may not efficiently improve the price efficiency mechanism in mainland markets by incorporating private information into markets, which is one of the top purposes of regulators when starting the business. / Detailed summary in vernacular field only. / Wu, Xueyi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 56-57). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts aslo in Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgment --- p.iii / Table of Content --- p.iv / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.3 / Chapter 2.1 --- Margin Trading, Informed Investors and Price Discovery --- p.3 / Chapter 2.2 --- Unbalanced development of margin purchase and short sale --- p.5 / Chapter 2.3 --- Other studies related to margin trading in China --- p.6 / Chapter 3. --- Chinese Market and Its Margin Trading Regulation --- p.8 / Chapter 3.1 --- Market instability and the purposes of introducing margin trading --- p.8 / Chapter 3.2 --- Undeveloped derivative markets and dominance of individual investors --- p.10 / Chapter 3.3 --- Implementation rules --- p.11 / Chapter 3.4 --- Simultaneous opening of margin purchase and short sale --- p.13 / Chapter 4. --- Empirical Method and Results --- p.15 / Chapter 4.1 --- Data and Methodology --- p.15 / Chapter 4.2 --- Margin Trading Summary --- p.16 / Chapter 4.3 --- Duration --- p.18 / Chapter 4.4 --- Correlation --- p.20 / Chapter 4.4.1 --- Contemporaneous Correlation --- p.20 / Chapter 4.4.2 --- Autocorrelation and cross-autocorrelation --- p.21 / Chapter 4.5 --- Cross-section of Margin Purchase and Short Sale and Their Future Returns --- p.24 / Chapter 4.5.1 --- Margin Purchase Returns of Different Sections --- p.24 / Chapter 4.5.2 --- Short Sale Returns of Different Sections --- p.27 / Chapter 4.5.3 --- Robust Check by Choosing Different Holding Periods --- p.29 / Chapter 5. --- Conclusion --- p.31 / Chapter Tables --- p.33 / Chapter Table 1 --- Market capitalization and turnover of mainland stock market --- p.33 / Chapter Table 2 --- Distribution of accounts based on market value --- p.34 / Chapter Table 3 --- Summary statistics for margin trading in mainland markets --- p.35 / Chapter Table 4 --- Industry breakdown of margin purchase and short sale --- p.37 / Chapter Table 5 --- Duration and turnover rate of margin trading --- p.42 / Chapter Table 6 --- Contemporaneous correlation between margin trading and stock performance --- p.43 / Chapter Table 7 --- Autocorrelation and cross-autocorrelation between margin purchase and stock return --- p.45 / Chapter Table 8 --- Autocorrelation and cross-autocorrelation between short sale and stock return --- p.47 / Chapter Table 9 --- Margin purchase returns by using special sorted portfolios --- p.49 / Chapter Table 10 --- Short sale returns by using special sorted portfolios --- p.51 / Chapter Table 11 --- Margin purchase returns by choosing different holding periods --- p.53 / Chapter Table 12 --- Short sale returns by choosing different holding periods --- p.54 / Chapter Table 13 --- Number of securities firms approved for margin trading --- p.55 / References --- p.56

Chang Li. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 38-39). / Abstracts in English and Chinese. / Abstract --- p.ii / 論文摘要 --- p.iii / Acknowledgement --- p.iv / Table of Contents --- p.v / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review and Hypotheses --- p.4 / Chapter 2.1 --- Literature Review --- p.4 / Chapter 2.2 --- Main Hypotheses --- p.7 / Chapter Chapter 3 --- Methodology --- p.12 / Chapter 3.1 --- Size and volume classifications --- p.12 / Chapter 3.2 --- Portfolio formation strategies --- p.15 / Chapter 3.3 --- Statistical inferences --- p.17 / Chapter Chapter 4 --- Data Analyses --- p.19 / Chapter 4.1 --- Descriptive statistics --- p.19 / Chapter 4.2 --- Main results --- p.20 / Chapter 4.3 --- Tests using absolute share volume as an alternative volume measure --- p.26 / Chapter Chapter 5 --- Tests using Return as an Additional Conditioning Variable --- p.31 / Chapter 5.1 --- Return classifications --- p.32 / Chapter 5.1 --- Test results --- p.33 / Chapter Chapter 6 --- Conclusion --- p.36 / References --- p.38

Tam,Tsz-Wa. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 105-109). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Table of Contents --- p.v / Chapter Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Insider Trading and Corporate Governance --- p.1 / Chapter 1.2 --- Insider Trading and Stock Volatility --- p.3 / Chapter 1.3 --- Objective of the Thesis Research --- p.4 / Chapter Chapter 2 --- Literature Review --- p.6 / Chapter 2.1 --- Review of Theoretical Literature --- p.6 / Chapter 2.2 --- Review of Empirical Literature --- p.18 / Chapter Chapter 3 --- Insider Dealing Regulations in Hong Kong --- p.24 / Chapter Chapter 4 --- Data --- p.27 / Chapter 4.1 --- Data Collection --- p.27 / Chapter 4.2 --- Summary Statistics of Insider Trading Data --- p.30 / Chapter Chapter 5 --- Methodology --- p.31 / Chapter 5.1 --- Hypothesis --- p.31 / Chapter 5.2 --- Event Study --- p.32 / Chapter 5.3 --- Vector Autoregression (VAR) Analysis --- p.41 / Chapter Chapter 6 --- Empirical Results: Event Study --- p.51 / Chapter 6.1 --- General Description of Results --- p.51 / Chapter 6.2 --- Volatility Change Immediately before Insider Trading --- p.53 / Chapter 6.3 --- Volatility Immediately before and after Insider Trading --- p.61 / Chapter 6.4 --- Volatility Change Immediately after Insider Trading --- p.67 / Chapter 6.5 --- Intermediate Term Volatility before and after Insider Trading --- p.72 / Chapter 6.6 --- Chapter Summary and Discussion --- p.79 / Chapter Chapter 7 --- Empirical Results: Vector Autoregression (VAR) Analysis --- p.83 / Chapter 7.1 --- Volatility of Hang Seng Index Return --- p.83 / Chapter 7.2 --- Volatility of Market Value Weighted Index Return --- p.85 / Chapter 7.3 --- Volatility of Equal Weighted Index Return --- p.87 / Chapter 7.4 --- Aggregate Total Volatility --- p.89 / Chapter 7.5 --- Aggregate Abnormal Return Volatility --- p.91 / Chapter 7.6 --- Aggregate Firm Specific Volatility --- p.93 / Chapter 7.7 --- Chapter Summary and Discussion --- p.95 / Chapter Chapter 8 --- Conclusion --- p.97 / Bibliography --- p.105

by Cheong Mei Kin, Sung Shuk Ka. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 94-99). / ABSTRACT --- p.ii / ACKNOWLEDGEMENT --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF TABLES --- p.vii / LIST OF GRAPHS --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- REVIEW OF THEORY AND LITERATURE --- p.4 / Rock's Model (Adverse Selection) --- p.5 / Principal - Agent Model --- p.6 / Signalling Model --- p.8 / Heterodox Explanations --- p.11 / Ownership Structure --- p.16 / Chapter III. --- REVIEW OF PREVIOUS WORK IN HONG KONG --- p.18 / Initial Public Offering in Hong Kong: Procedures and Regulations --- p.18 / Underpricing of IPOs before the Merger of Hong Kong Stock Exchanges --- p.20 / P.McGuiness's Work --- p.21 / Chapter IV. --- DATA AND METHODOLOGY --- p.22 / Research Period and Data Description --- p.22 / Measures of Underpricing --- p.23 / Grouping of Data --- p.25 / Test for Rock's Model --- p.29 / Chapter V. --- RESULT AND DISCUSSION --- p.32 / Underpricing of IPOs in Hong Kong --- p.32 / Listing Methods and Underpricing of IPOs --- p.34 / Stock Groups and Underpricing of IPOs --- p.36 / Different Years of Underpricing Levels --- p.40 / Subscription Ratios and Underpricing --- p.44 / Capital Raising and Underpricing --- p.48 / Test of Rock's Model --- p.51 / Chapter VI. --- CONCLUSION --- p.56 / APPENDIX --- p.59 / Chapter 1. --- Warrant Effect On Underpricing Level Of IPOs (1990- 1996) --- p.59 / Chapter 2. --- Listing Method Effect On Underpricing Level Of IPOs (1990 -1996) --- p.60 / Chapter 3. --- Stock Group Effect On Underpricing Level Of IPOs (1990-1996) --- p.63 / Chapter 4. --- Different Years of Underpricing Level Of IPOs (1990- 1996) --- p.72 / Chapter 5. --- Subscription Ratio Effect On Underpricing Level Of IPOs (1990- 1996) --- p.77 / Chapter 6. --- Amount of Capital Raised Effect On Underpricing Level Of IPOs (1990- 1996) --- p.81 / Chapter 7. --- Initial Public Offerings in Hong Kong (Jan. 1990 - Nov. 1996) --- p.84 / BIBLIOGRAPHY --- p.94

by Mi Jia, Wang Xueyu. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 77-78). / ABSTRACT --- p.III / TABLE OF CONTENTS --- p.iv / LIST OF TABLES AND FIGURES --- p.vi / Chapters / INTRODUCTION --- p.1 / DATA AND RESEARCH METHODOLOGY --- p.6 / EFFICIENCY TESTS --- p.12 / Time Serial Correlation Analysis --- p.12 / Seasonal Fluctuation --- p.16 / General Index's analysis and comparison --- p.17 / Holiday Effect --- p.20 / Test of Predictability in Stock Market Returns --- p.35 / Larger Stock in June effect --- p.37 / Passive Vs Active portfolio (with technical analysis) --- p.39 / Technical analysis --- p.40 / Filter Rules Approach Testing --- p.43 / Returns over Short and Long Horizons --- p.49 / Holding Period Return over Short and Long Horizons --- p.50 / Accumulative Abnormal Return over Short and Long Horizons --- p.51 / Mutual Fund Performance --- p.52 / Mutual Fund vs. Index --- p.53 / Relative Performance among Mutual Funds --- p.54 / "B/M, Size, and P/E Effect" --- p.55 / "Correlation among B/M, Assets, Market Value of A Share, P/E and Beta" --- p.56 / B/M and Annual Return --- p.57 / P/E and Annual Return --- p.59 / Assets and annual return --- p.60 / Market Value of A Share and Annual Return --- p.61 / Beta and Annual Return --- p.53 / Multiple Regressions --- p.64 / CONCLUSION --- p.66 / Limitation of Research --- p.66 / Summary --- p.67 / APPENDIX 1 --- p.69 / APPENDIX 2 --- p.70 / APPENDIX 3 --- p.71 / APPENDIX 4 --- p.72 / APPENDIX 5 --- p.73 / BIBLIOGRAPHY --- p.77

Choi, Chi Kit. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (leaves 50-51). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.5 / Chapter 3. --- Research Hypothesis / Chapter 3.1 --- Institutional Setting --- p.10 / Chapter 3.2 --- Existence and magnitude of the value of corporate control --- p.11 / Chapter 3.3 --- Determinants of the value of corporate control --- p.13 / Chapter 4. --- Methodology / Chapter 4.1 --- Testing the existence of value of corporate control --- p.16 / Chapter 4.2 --- Typical eamples --- p.17 / Chapter 4.3 --- Testing the determinants of value of corporate control --- p.20 / Chapter 4.3.1 --- Controlling Power --- p.20 / Chapter 4.3.2 --- Regional Governance --- p.22 / Chapter 4.3.3 --- Corporate Governance --- p.24 / Chapter 4.3.4 --- Firm Performance --- p.26 / Chapter 4.3.5 --- Control variables --- p.26 / Chapter 5. --- Data / Chapter 5.1 --- Existence of value of corporate control --- p.28 / Chapter 5.2 --- Determinants of value of corporate control / Chapter 5.2.1 --- Controlling Power --- p.30 / Chapter 5.2.2 --- Regional Governance --- p.31 / Chapter 5.2.3 --- Corporate Governance --- p.32 / Chapter 5.2.4 --- Firm Performance --- p.33 / Chapter 5.2.5 --- Control variables --- p.34 / Chapter 6. --- Empirical Results / Chapter 6.1 --- Existence of value of corporate control --- p.36 / Chapter 6.2 --- Robustness tests --- p.36 / Chapter 6.3 --- Determinants of value of corporate control --- p.38 / Chapter 6.3.1 --- Controlling Power --- p.38 / Chapter 6.3.2 --- Regional Governance --- p.39 / Chapter 6.3.3 --- Corporate Governance --- p.40 / Chapter 6.3.4 --- Firm Performance --- p.41 / Chapter 6.3.5 --- Multivariate regression analysis --- p.43 / Chapter 7. --- Summary and Conclusion --- p.47 / Chapter 8. --- References --- p.50 / Chapter 9. --- Appendix --- p.52

Zhang, Yujie. / "August 2011." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (leaves 53-56). / Abstracts in English and Chinese. / Abstract --- p.ii / 摘要 --- p.iii / Acknowledgement --- p.iv / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Institutional background and research hypotheses --- p.8 / Chapter 2.1 --- Rules and regulations in China --- p.8 / Chapter 2.2 --- Ownership structure and corporate governance in China --- p.11 / Chapter 2.3 --- Research hypothesis --- p.13 / Chapter 3. --- Construction of variables and model specification --- p.17 / Chapter 3.1 --- Stock return synchronicity (SYNCH) --- p.17 / Chapter 3.2 --- Insider trading --- p.18 / Chapter 3.3 --- Control variables --- p.21 / Chapter 3.4 --- Ownership structure and corporate governance indicators --- p.23 / Chapter 4. --- Descriptive statistics --- p.30 / Chapter 4.1 --- Insider trading --- p.31 / Chapter 4.2 --- Synchronicity --- p.34 / Chapter 4.3 --- Summary of all variables --- p.35 / Chapter 5. --- Regression analysis --- p.37 / Chapter 5.1 --- Effect of insider trading on stock price synchronicity --- p.37 / Chapter 5.2 --- Effect of insider trading by different identities on stock price synchronicity --- p.39 / Chapter 5.3 --- Effect of insider trading on stock price synchronicity under various corporate governance --- p.42 / Chapter 6. --- Robustness checks --- p.46 / Chapter 6.1 --- insider trading and industry-level return --- p.46 / Chapter 6.2 --- The effect of insider trading on industry vs. firm-specific earnings information --- p.47 / Chapter 7. --- Conclusions --- p.51 / References: --- p.53 / Appendix: Variable definitions: --- p.80

This dissertation examines stock price behavior on the Hong Kong stock market in terms of normality of returns and the efficiency of that market. The results reveal that the Hong Kong stock market is efficient, although the degree of efficiency is somewhat different from what has been found for securities traded in the U.S. market. Moreover, it was found that as a small but active stock market, the Hong Kong market is sensitive and highly vulnerable to international events. The study also analyzes the relationship among different national equity markets, i.e., the U.S., the U.K., Japan, and Hong Kong. The results show that a substantial amount of multi-lateral interaction is present among national equity markets. In addition, some common seasonal patterns of stock price movements appear across the different national markets, and innovation transmissions from market to market are significant and efficient. The study provides added support to the hypothesis of an integrated world financial market. / Ph. D.

by Au Yuk Mui, Kitty, Lo King Yuen, Simon. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Includes bibliographical references. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGEMENT --- p.v / Chapter CHAPTER I --- INTRODUCTION --- p.1 / Hong Kong Stock-Market --- p.2 / History of Hong Kong Stock Market --- p.2 / Stock Indexes in Hong Kong --- p.4 / Process in Granting Dividend to Investors --- p.6 / Transaction Cost in Stock Trading --- p.7 / Chapter CHAPTER II --- HYPOTHESES --- p.10 / Chapter CHAPTER III --- LITERATURE REVIEW --- p.14 / Review of Hong Kong Taxation System --- p.14 / Literature Review --- p.16 / Survey on the Shareownership --- p.22 / Chapter CHAPTER IV --- METHODOLOGY --- p.26 / Data Collection --- p.26 / Stock price & Dividend --- p.26 / Market Index --- p.28 / Regression equation --- p.30 / Chapter CHAPTER V --- STATISTICAL FINDING --- p.36 / Practice of dividend payment --- p.36 / Stock price drop vs Dividend --- p.40 / Adjusted Ex-date Return vs Dividend Yield --- p.46 / Multiple regression analysis on the CAPM equation for ex-date return --- p.60 / Chapter CHAPTER VI --- LIMITATION --- p.73 / Abnormal crisis --- p.73 / Market Index --- p.74 / Portfolio approach --- p.75 / Transaction Cost --- p.76 / Chapter CHAPTER VII --- CONCLUSION --- p.77 / Chapter APPENDIX A --- "REGRESSION RESULT FOR RATE OF STOCK PRICE DROP AND DIVIDEND YIELD, IN ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.79 / Chapter APPENDIX B --- "REGRESSION RESULT FOR ADJUSTED EX-DATE STOCK RETURN AND DIVIDEND YIELD, IN ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.80 / Chapter APPENDIX C --- "RESULT OF MULTIPLE REGRESSION ANALYSIS FOR ADJUSTED EX-DATE STOCK RETURN AND DIVIDEND YIELD, ACCORDING TO THE DIVIDEND TYPE, WEEKDAY AND TIME LAPSE BETWEEN CUM-DATE AND EX-DATE" --- p.82 / Chapter APPENDIX D --- THE IMPLIED RISK FREE RATE --- p.84 / REFERENCES --- p.85