A research report submitted in partial fulfilment of the requirements for the degree M.Com. Masters (Finance) in the School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg / This study empirically investigates the existence of the Samuelson Hypothesis in South African markets. The Samuelson Hypothesis states that the volatility of futures contracts increase as the expiration of the contracts approaches. It is an important phenomenon to account for when setting margins, creating hedging strategies and valuing options on futures. The study utilizes daily closing prices of agricultural and non-agricultural futures contracts for a period varying from 2002 to 2015. In total, eleven contracts were examined over this period, yet only one (White Maize) consistently shows support for the Samuelson Hypothesis. The Negative Covariance and State Variable Hypothesis were tested, but could not provide an alternative explanation for the lack of relationship between the time to maturity and volatility of futures contracts. / MT2017

by Ng Kit Yin Kitty, Yu Koon Ying Harry. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 72-75). / ACKNOWLEDGEMENTS --- p.i / ABSTRACT --- p.ii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / The Black-Scholes Model --- p.3 / Option Pricing --- p.4 / Price of the underlying asset --- p.4 / Volatility of the underlying asset --- p.5 / Time to expiration --- p.5 / The risk-free interest rate --- p.5 / Users of Options --- p.6 / Chapter III. --- HANG SENG INDEX OPTIONS --- p.8 / The Hang Seng Index (HSI) --- p.8 / Mechanics of Trading in HSI Options --- p.9 / Features of HSI Options --- p.10 / European Style --- p.11 / Cash Settlement on Exercise --- p.12 / Risk of Trading Options --- p.13 / Similarities and Differences Between HSI Options on the Futures Contracts and HSI Futures --- p.13 / Chapter IV. --- OPTIONS TRADING STRATEGIES --- p.15 / Rising Market Strategies --- p.15 / Declining Market Strategies --- p.17 / Volatile and Stable Market Strategies --- p.18 / Butterfly Spread --- p.20 / Calendar Spread --- p.20 / Chapter V. --- EX-POST STUDIES OF OPTION TRADING STRATEGIES --- p.23 / Methodology --- p.24 / Data Requirement --- p.25 / Assumptions --- p.25 / Empirical Results --- p.26 / Analysis of the First Scenario - Bullish Anticipation on the HSI Market --- p.32 / Ranking of Profits --- p.32 / Mechanics of the Bull Spread --- p.32 / Mechanics of the Calendar Call Spread --- p.32 / Analysis of the Second Scenario - Bearish Anticipation on the HSI Market --- p.39 / Ranking of Profits --- p.39 / Mechanics of the Calendar Put Spread --- p.40 / Analysis of the Third Scenario - Volatile Aniticipation on the HSI Market --- p.43 / Analysis of the Fourth Scenario - Stable Anticipation on the HSI Market --- p.47 / Summary of Our Analysis --- p.47 / Limitations --- p.48 / Recommendations --- p.49 / Chapter VI. --- REVIEW ON HANG SENG INDEX OPTIONS: THE 1993 EXPERIENCE --- p.50 / Relationship Between HSI Futures and HSI Options --- p.50 / Trading Volume --- p.51 / Open Positions --- p.51 / Volatility --- p.52 / Chapter VII. --- PROSPECTS FOR OPTIONS IN HONG KONG --- p.54 / Chapter VIII. --- CONCLUSION --- p.56 / APPENDIX --- p.57 / REFERENCES --- p.72

by Kwong Man-him, Francis, Lee Shuk-yee, Katie. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 98-100.

Chan Shuet Ying, Chan Yiu Wing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 122-124). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / LIST OF EXHIBITS --- p.vi / ACKNOWLEDGMENTS --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objective --- p.3 / Scope --- p.3 / Organization of Paper --- p.4 / Chapter II. --- THE HANG SENG INDEX OPTIONS --- p.5 / Description..................: --- p.5 / Mechanics of Hang Seng Index Option Trading --- p.13 / Market Reviews of HSI Options --- p.15 / Chapter III. --- LITERATURE REVIEW --- p.18 / Seasonal Patterns of Stock Returns --- p.18 / Month-of-the-Year Effect --- p.18 / Week-of-the-Month Effect --- p.18 / Day-of-the-Week Effect --- p.19 / Hour-of-the-Week Effect --- p.19 / Seasonality in Options Returns --- p.20 / Model of Strategic Trading --- p.21 / Seasonality in Hong Kong Stock Market --- p.24 / Chapter IV. --- EMPIRICAL STUDY OF INTRADAY PATTERN OF HSI OPTIONS --- p.26 / Data and Methodology --- p.26 / Obtaining data for the price of the underlying assets --- p.26 / Obtaining data for the price of the option contracts --- p.27 / Calculating means and standard deviations of returns --- p.31 / Chapter V. --- RESULTS AND DISCUSSION --- p.32 / Futures percentage returns per minute --- p.37 / Call options percentage returns per minute --- p.38 / Put options percentage returns per minute --- p.39 / Testing the relationship between index options and index future --- p.40 / Chapter VI. --- IMPLICATION OF FINDINGS AND CONCLUSIONS --- p.45 / Implication of Findings --- p.45 / Conclusions --- p.49 / APPENDIX --- p.50 / BIBLIOGRAPHY --- p.122

by Fung Lai-sang & Kwan Tat-shing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 60-64). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- HANG SENG INDEX OPTIONS --- p.3 / Hong Kong Futures Exchange Limited --- p.3 / Hang Seng Index --- p.4 / Basic Characteristics of HSI Options --- p.5 / Chapter III. --- LITERATURE REVIEW --- p.8 / (A) Put-Call Parity --- p.8 / Put-Call Parity on Other Security --- p.10 / Empirical Studies --- p.11 / Put-Call-Futures Parity --- p.12 / (B) Applicability of Black-Scholes Model --- p.14 / Possible Biases in Black-Scholes Model --- p.16 / (C) Hedging Effectiveness of Derivative Instruments --- p.18 / Empirical Evidence --- p.20 / Chapter IV. --- "EMPIRICAL METHODOLOGY, DATA EMPLOYED AND EMPIRICAL FINDINGS" --- p.22 / Chapter (A) --- Methodology and Data Employed in Investigation of Put-Call Parity for HSI Options --- p.22 / Empirical Findings for Put-Call Pariry for HSI Options --- p.26 / Chapter (B) --- Methodology anf Data Employed in Investigation of Applicability of Black-Scholes Model - An Implied Volatility Approach --- p.30 / Empirical Findings for Applicability of Black Scholes Model --- p.35 / Chapter (C) --- Methodology anf Data Employed in Investigation of the Hedging Effectiveness of Different Derivative Instrument / Methodology --- p.40 / Empirical Findings for Hedging Effectiveness of Different Derivative Instruments --- p.45 / Chapter V. --- "CONCLUSIONS, RECENT DEVELOPMENTS AND TRENDS OF HSI OPTIONS" --- p.48 / Conclusions --- p.48 / International Status --- p.49 / Work to Be Done --- p.50 / APPENDICES --- p.51 / BIBLIOGRAPHY --- p.60

by Adelaide Pang Lan-Fong & Danny Poon Yiu-tak. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 83-88). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / LIST OF EXHIBITS --- p.vii / ACKNOWLEDGEMENTS --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.3 / The Black-Scholes Model --- p.3 / The Test of the Applicability of the Black-Scholes Model --- p.4 / Test of predictability of Black-Scholes Model --- p.5 / Implied Volatility Estimation --- p.5 / Chapter III. --- OPTIONS DEFINED --- p.7 / What are Options ？ --- p.7 / Options Pricing --- p.10 / Intrinsic (Theoretical) Value --- p.10 / Time Value --- p.11 / Price Volatility --- p.12 / Interest Rates --- p.12 / Dividends --- p.12 / Chapter IV. --- HANG SENG INDEX OPTIONS --- p.13 / The Hang Seng Index --- p.13 / Specifications for HSI Options --- p.15 / The Trading Procedures of HSI Options --- p.19 / Advantages of Traded Index Options --- p.21 / Risks involved in Options Trading --- p.23 / Risks of Buying Options --- p.23 / Risk of Writing Options --- p.24 / Chapter V. --- BASIC STRATEGIES OF OPTIONS TRADING --- p.25 / Buy Call --- p.26 / Buy Put --- p.26 / Call Writing --- p.26 / Naked Call Writing --- p.26 / Covered Call Writing --- p.26 / Ratio Covered Call Writing --- p.27 / Put Writing --- p.27 / Naked Put Writing --- p.27 / Covered Put Writing --- p.27 / Ratio Covered Put Writing --- p.28 / Spreads --- p.28 / Bull Spreads --- p.28 / Bear Spreads --- p.28 / Butterfly Spreads --- p.29 / Calendar Spreads --- p.29 / Ratio Spreads --- p.30 / Ratio Calendar Spreads --- p.30 / Straddles --- p.30 / Straddle Purchase / Bottom Straddle --- p.31 / Straddle Write / Top Straddle --- p.31 / Strips --- p.31 / Straps --- p.31 / Strangles --- p.31 / Long Strangle / Bottom Vertical Combination --- p.31 / Short Strangle / Top Vertical Combination --- p.32 / Chapter VI. --- PRICING MODEL --- p.33 / The Biack-Scholes Option Pricing Model --- p.33 / Modifications to Original Black-Scholes Pricing Model --- p.33 / Empirical Analysis and Data Collection --- p.34 / Tests used to determine the performance of Black-Scholes Model --- p.38 / Chapter VII. --- EMPIRICAL RESULTS --- p.39 / Chapter VIII. --- CONCLUSIONS --- p.45 / APPENDICES --- p.48 / BIBLIOGRAPHY --- p.83

by Fok Shun-cheong, Vincent. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves [37-38] / ACKNOWLEDGEMENTS / Chapter I. --- INTRODUCTION --- p.1 / The Hong Kong Exchange Market --- p.1 / Structure of the market --- p.2 / Forecasting Exchange Rates --- p.4 / Objectives --- p.5 / Chapter II. --- METHODOLOGY --- p.6 / Selecting the Bases for Forecasting --- p.6 / Sampling --- p.9 / Chapter III. --- THEORETICAL FRAMEWORK --- p.10 / Chapter 1. --- Investment Objectives --- p.10 / Chapter 2. --- Time Frame --- p.11 / Chapter 3. --- Funds Available --- p.12 / Chapter 4. --- Time Available --- p.12 / Chapter 5. --- Information Available --- p.13 / Chapter 6. --- Transaction Nature and Cost --- p.14 / Chapter 7. --- Knowledge and Background --- p.14 / Chapter 8. --- Position Taking --- p.14 / Chapter 9. --- Past Experience --- p.16 / Chapter 10. --- External Influences --- p.16 / Chapter IV. --- SURVEY FINDINGS --- p.18 / Individual Investors / Chapter A. --- The Level of Exchange Rate and Interest Rate --- p.18 / Chapter B. --- Seldom use of Charts and Technical Indicators --- p.19 / Chapter C. --- No Relationship between Demographic Variables and Forecasting Bases --- p.19 / Chapter D. --- No Relationship between the Experience of the respondents and the Forecasting Bases --- p.20 / Dealers / Chapter A. --- Charts often considered --- p.22 / Chapter B. --- Technical Indicators also important --- p.22 / Chapter C. --- Emphasis on the Fundamental rather than Technical Analysis --- p.23 / Chapter D. --- Market Sentiments --- p.24 / Chapter E. --- Econometric Models Seldom Used --- p.25 / Chapter F. --- Differences among the six major currencies --- p.27 / Chapter V. --- LIMITATIONS OF THE SURVEY --- p.29 / Chapter VII. --- SUMMARY AND CONCLUSIONS --- p.30 / APPENDICES / BIBLIOGRAPHY

Lui Ho-Chung, Oliver. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 63-64). / Table of Contents --- p.i / Abstract --- p.iii / List of Tables --- p.v / List of Appendices --- p.vi / Acknowledgments --- p.vii / Chapter / Chapter I --- Methodology --- p.1 / Chapter II --- Issues about the HSIF market --- p.2 / The establishment of the Hong Kong Futures Exchange --- p.2 / The Hang Seng Index --- p.3 / The Hang Seng Index Futures Contracts --- p.4 / Features of futures trading --- p.8 / The 1987 crash and the HKFE --- p.10 / Reforms --- p.12 / The evaluation after the reforms --- p.16 / Existing practices of the HSIF brokerage firms --- p.18 / Issues concerning the HSIF investors --- p.20 / Stimulating the HSIF market --- p.21 / Chapter III --- Issues about options --- p.23 / "Current News (updated to April 20, 1992)" --- p.23 / Options --- p.23 / Determination of option premiums --- p.26 / Options on the Hang Seng Index --- p.28 / Features of options in other markets --- p.30 / Margin requirement --- p.34 / Options on index vs. Options on index futures --- p.36 / Options on index vs. Index futures --- p.37 / Chapter IV --- Issues of option development --- p.39 / Lessons learned from the HSIF market --- p.39 / The trend--derivative products --- p.42 / Factors that make options on the HSI successful --- p.43 / Chapter V --- Conclusion --- p.46 / Appendices --- p.48 / References --- p.63

by Wong Fat Keung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 44-46). / Abstracts in English and Chinese. / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- METHODOLOGY --- p.7 / Chapter 2.1 --- Fund's return --- p.7 / Chapter 2.2 --- Value weighted Index of Hedge Funds --- p.8 / Chapter 2.3 --- Sharpe' s(1992) style analysis --- p.8 / Chapter 2.4 --- Econometric Procedure and Hypothesis Test --- p.11 / Chapter 3. --- DATA --- p.15 / Chapter 3.1 --- Market Data --- p.15 / Chapter 3.2 --- Hedge Fund Data --- p.16 / Chapter 3.3 --- Selecting Market Factor --- p.17 / Chapter 4. --- RESULTS --- p.19 / Chapter 4.1 --- Interest Rate Market --- p.19 / Chapter 4.1.1 --- Did the hedge fund industry as a whole manipulate the interest rate market? --- p.19 / Chapter 4.1.2 --- Did the Jaguar Fund NV manipulate the interest rate market? --- p.23 / Chapter 4.1.3 --- Did the Quantum Fund NV manipulate the interest rate market? --- p.24 / Chapter 4.2 --- Hang Seng Index Future Market --- p.26 / Chapter 4.2.1 --- Did the hedge fund industry as a whole manipulate the Hang Seng Index Future Market? --- p.26 / Chapter 4.2.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Future Market? --- p.29 / Chapter 4.2.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Future Market? --- p.31 / Chapter 4.3 --- Hang Seng Index Market --- p.33 / Chapter 4.3.1 --- Did the hedge funds as a whole manipulate the Hang Seng Index Market? --- p.33 / Chapter 4.3.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Market? --- p.34 / Chapter 4.3.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Market? --- p.35 / Chapter 5. --- CONCLUSION --- p.37 / Chapter 5.1 --- Contribution --- p.41 / BIBLIOGRAPHY --- p.44 / APPENDIX A TABLES --- p.47 / Table 1. Hedge Funds in value-weighted Index (vw38) --- p.47 / Table 2. Net Asset Value of Hedge Funds ( --- p.48 / Table 3. Hedge Fund Returns Around Crash --- p.49 / Table 4. Regression result of value-weighted index (vw38) --- p.50 / Table 5. Regression result of individual fund --- p.51 / Table 6. Correlation of return rates between different market segments from 11/1988 to 10/1999 --- p.52 / Table 7. Correlation of return rates between different market segments from 9/1997 to 10/1999 --- p.53 / Table 8. Regression result of 2-month HIBOR rate and dollar positions of hedge funds --- p.54 / Table 9. Regression result of 2-month HIBOR rate and dollar positions of Jaguar Fund NV --- p.55 / Table 10. Regression result of 2-month HIBOR rate and dollar positions of Quantum Fund NV --- p.56 / Table 11. Regression Result of Hang Seng Index Future Price against Dollar Positions of Hedge Funds --- p.57 / Table11b. Estimated Profit of Hedge Funds in the turmoil period in Hang Seng Index Future (in billions) --- p.58 / Table 12. Regression Result of Hang Seng Index Future Price against Dollar Positions of Jaguar Fund NV --- p.59 / Table 12b. Estimated Profit of Jaguar Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.60 / Table 13. Regression Result of Hang Seng Index Future Price against Dollar Positions of Quantum Fund NV --- p.61 / Table 13b. Estimated Profit of Quantum Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.62 / Table 14. Regression Result of Hang Seng Index Price against Dollar Positions of Hedge Funds --- p.63 / Table 15. Regression Result of Hang Seng Index Price against Dollar Positions of Jaguar Fund NV --- p.64 / Table 16. Regression Result of Hang Seng Index Price against Dollar Positions of Quantum Fund NV --- p.65 / APPENDIX B. FIGURES --- p.67 / Figure 1. Hong Kong Dollar Position of Hedge Funds --- p.67 / Figure 2. Hong Kong Dollar Position of Hedge Funds and 2m HIBOR Rate --- p.68 / Figure 3. Hong Kong Dollar Positions of Jaguar Fund NV --- p.69 / Figure 4. Hong Kong Dollar Positions of Jaguar Fund and 2m HIBOR Rate --- p.70 / Figure 5. Hong Kong Dollar Positions of Quantum Fund NV --- p.71 / Figure 6. Hong Kong Dollar Positions of Quantum Fund NV and 2m HIBOR Rate --- p.72 / Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73 / Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74 / Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73 / Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74 / Figure 9. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.75 / Figure 10. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.76 / Figure 11. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index Future --- p.77 / Figure 13. Hong Kong Dollar Positions of Hedge Funds in Hang Seng --- p.79 / Figure 17. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.83 / Figure 18. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.84 / Figure 19. Net Profit of Hedge Funds in Hang Seng Index Future (in HK Billions) --- p.85 / Figure 20. Net Profit of Jaguar Fund NV in Hang Seng Index Future (in HK Billions) --- p.86

Lai Wing Sze. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 76-81). / Abstracts in English and Chinese. / ENGLISH ABSTRACT --- p.i / CHINESE ABSTRACT --- p.ii / ACKNOWLEDGEMENT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF ILLUSTRATIONS --- p.vii / LIST OF APPENDICES --- p.viii / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- LITERATURE REVIEW --- p.6 / Chapter 2.1 --- Theoretical Contributions to the Literature --- p.6 / Chapter 2.1.1 --- Negative Hypothesis --- p.6 / Chapter 2.1.2 --- Positive Hypothesis --- p.3 / Chapter 2.2 --- Empirical Contributions to the Literature --- p.9 / Chapter 2.2.1 --- Investigation of Various Types of Trade Flows --- p.10 / Chapter 2.2.1.1 --- Investigation of Multilateral Trade Flows --- p.11 / Chapter 2.2.1.2 --- Investigation of Bilateral Trade Flows --- p.12 / Chapter 2.2.1.3 --- Investigation of Sectoral Trade Flows --- p.13 / Chapter 2.2.2 --- Estimation of Exchange Rate Volatility --- p.14 / Chapter 2.2.3 --- Stationarity of Variables --- p.16 / Chapter 2.2.4 --- Methodology of Estimation --- p.17 / Chapter CHAPTER 3 --- ESTIMATION OF EXCHANGE RATE VOLATILITY --- p.19 / Chapter 3.1 --- Methodology of Estimation of ARCH Model --- p.20 / Chapter 3.2 --- Estimation Results of Real Effective Exchange Rate Volatility --- p.23 / Chapter CHAPTER 4 --- METHODOLOGY OF EMPIRICAL ANALYSIS --- p.27 / Chapter 4.1 --- Unit Root Test --- p.27 / Chapter 4.1.1 --- Augmented Dickey-Fuller (ADF) Test --- p.28 / Chapter 4.1.2 --- Phillips-Perron (P-P) Test --- p.29 / Chapter 4.2 --- Zivot and Andrews (ZA) Test --- p.30 / Chapter 4.3 --- Cointegration and Error-Correction Mechanism --- p.32 / Chapter 4.3.1 --- Concept of Cointegration --- p.33 / Chapter 4.3.2 --- Cointegration Test and Error-Correction Model --- p.33 / Chapter CHAPTER 5 --- MODEL SPECIFICATION AND DATA ISSUES --- p.38 / Chapter 5.1 --- Model Specification --- p.38 / Chapter 5.2 --- Hypothesis of the Signs of Variables --- p.40 / Chapter 5.3 --- Data Issues --- p.41 / Chapter CHAPTER 6 --- EMPIRICAL EVIDENCE AND ANALYSIS --- p.46 / Chapter 6.1 --- Empirical Evidence of Investigation of Multilateral Trade Flows --- p.46 / Chapter 6.2 --- Empirical Evidence of Investigation of Bilateral Trade Flows --- p.56 / Chapter CHAPTER 7 --- CONCLUSION --- p.65 / APPENDICES --- p.68 / BIBLIOGRAPHY --- p.76