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

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

by Ho Wai Wa. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 87-92). / TABLE OF CONTENTS --- p.ii / LIST OF TABLES --- p.iii / ACKNOWLEDGMENT --- p.iv / ABSTRACT --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- NOISE TRADING --- p.8 / Chapter III. --- FEEDBACK TRADING FOR ASSET RETURNS --- p.19 / Chapter A. --- The Feedback Trading Model --- p.19 / Chapter B. --- Review of the Models for the Stock Return Distribution --- p.27 / Chapter C. --- A Testable Model --- p.34 / Chapter D. --- other Sources of Serial Correlation --- p.36 / Chapter E. --- Other Sources of ARCH Effect --- p.38 / Chapter IV. --- ESTIMATION OF THE FEEDBACK TRADING MODEL --- p.42 / Chapter A. --- Data Description --- p.42 / Chapter B. --- Estimation --- p.47 / Chapter 1. --- Base Model --- p.47 / Chapter 2. --- The Feeding Trading Model --- p.52 / Chapter C. --- Implications for Feedback Trading --- p.70 / Chapter V. --- MEASURING THE IMPACT OF NOISE TRADING --- p.73 / Chapter VI. --- CONCLUSION --- p.81 / BIBLIOGRAPHY --- p.87

All these results indicate that the hypothesis of weak-form market efficiency has limited applicability in the Hong Kong stock market and that recognised inefficiencies are strongly associated with the information of trend-chasing technical analysts. The results are also consistent with the findings of a theoretical model proposed in this dissertation. In particular, the model suggests that trend-chasing behaviour, together with uncertainty about intrinsic values, contributes to market inefficiency. / This dissertation studies the relationship between the use of trend-chasing technical analysis and inefficiency in the Hong Kong stock market. To answer how widespread use of technical analysis can influence stock prices, a simple equilibrium model is developed. It is shown that trend-chasing behaviour, together with uncertainty about intrinsic values, leads to market inefficiencies in the form of overshooting, positive autocorrelation of short-horizon returns, mean reversion and excess volatility. / To empirically test whether market inefficiency is associated with the information of trend-chasing technical analysts, this dissertation focuses on the Hong Kong stock market, in which technical analysis is widely used. The data covers daily closing values of the Hang Seng Index (HSI) in Hong Kong from 1969 to 1992. The results show that the buy and sell signals obtained from MA rules, which are commonly used indicators of technical analysis in the market, are strongly associated with abnormal price behaviour. For instance, when changes in these MA signals are observed, short-run abnormal price behaviour is noted. That is, stock prices tend to rise when the MA rules change to buy signals and tend to fall when they change to sell signals. Also, autocorrelation in daily returns appears to differ for periods following buy and sell signals. Daily returns tend to be more autocorrelated when the MA rules provide buy signals and less autocorrelated when they provide sell signals. Moreover, when most MA rules show buy signals, mean reversion is more pronounced in subsequent dates. Furthermore, fund managers in Hong Kong can benefit from using the buy and sell signals because they consistently provide information allowing for superior market timing. / by Wong Chak-sham Michael. / Source: Dissertation Abstracts International, Volume: 59-09, Section: A, page: 3579. / Thesis (Ph.D.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (p. 134-145). / 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. / School code: 1307.

In the first part of thesis, we investigated the influence and explanatory power of aggregate insider trading activities on momentum trading strategies in US stock markets. We find that aggregate insider trading activities have ability in predicting cross-sectional returns and can strengthen the naive momentum effects. The risk factors such as size and book-to-market ratio cannot explain the strong momentum effects in our refined momentum strategies. We further extend the time horizon to as long as 3 years and find that the reversal patterns. We interpret our findings as follows: The continuous overreaction causes the mediate term (3- to 12 months) momentum effects and overly pricing. In long-term horizon, these overly priced stocks will be corrected with the time passing. The correction of overly pricing causes long-term reversals. / In the second part of the thesis, we studied relationships between the efficiency of external market and the capital allocation processes in internal market by investigating the performance of red chips traded in Hong Kong. Because of its special role between China and international capital market, it is difficult for international investors to monitor how red chips allocated their Hong Kong raised capital in China. The evidences show that red chips made poor investments in the past decades. However, the external market failed to reflect the unprofitable investment made by the management groups in the internal market. At least, our evidences show that the red chips made diversified but unprofitable investments in aggregate level in the past decade. / Jihong Xiang. / "December 2001." / Source: Dissertation Abstracts International, Volume: 63-01, Section: A, page: 0306. / Supervisors: Jia He; Duan Li. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p.102-113). / Available also through the Internet via ProQuest dissertations and theses under title: Are markets efficient? Evidences from stock markets in United States of America and Hong Kong. / 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.

published_or_final_version / Business Administration / Master / Master of Business Administration

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