published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

by Leung Wai Yuen and Wong Che Keung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 79-81). / ABSTRACT --- p.iv / ACKNOWLEDGMENT --- p.v / TABLE OF CONTENTS --- p.vi / LIST OF TABLES --- p.x / LIST OF FIGURES --- p.xi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objective of This Study --- p.5 / Chapter II --- THE DEVELOPMENT OF THE STOCK MARKET IN HONG KONG --- p.6 / Development of the Stock Exchange --- p.6 / Performance of the Stock Market --- p.10 / Chapter III --- CURRENT SITUATION OF THE SEHK --- p.14 / Performance in 1994 --- p.14 / Future Development of the SEHK --- p.19 / Chapter IV --- REGULATORY ENVIRONMENT IN HONG KONG --- p.20 / History of Securities Legislation in Hong Kong --- p.20 / Regulatory Hierarchy of the Securities Market in Hong Kong --- p.24 / The Securities and Futures Commission --- p.25 / Mission and Functions of the SFC --- p.25 / Chapter V --- SECURITIES (INSIDER DEALING) ORDINANCE --- p.29 / Definition of Insider Dealing --- p.29 / The Insider Dealing Tribunal --- p.30 / Chapter VI --- SECURITIES (DISCLOSURE OF INTEREST) ORDINANCE --- p.32 / Gist of the Ordinance --- p.32 / Duties of Substantial Shareholders --- p.33 / Disclosure of Directors and Chief Executives --- p.34 / Interests That Can be Disregarded --- p.35 / Penalties for Breaches --- p.36 / Chapter VII --- LITERATURE REVIEW --- p.37 / Research on Overseas Stock Markets --- p.37 / Watchdog Report by Credit Lyonnais --- p.42 / Chapter VIII --- METHODOLOGY --- p.43 / Data Sampling --- p.43 / Definition of Insider Activities Index --- p.45 / Design of the Study --- p.46 / Chapter IX --- RESULTS AND IMPLICATIONS --- p.50 / Industry Type --- p.50 / Company Size --- p.51 / Seasonal Effect --- p.52 / Ownership Concentration --- p.53 / Chapter X --- CONCLUSION AND RECOMMENDATIONS --- p.55 / Conclusion --- p.55 / Recommendations for Further Studies --- p.56 / APPENDICE --- p.58 / Appendix 1 --- p.59 / Appendix 2 --- p.63 / Appendix 3 --- p.67 / Appendix 4 --- p.71 / Appendix 5 --- p.73 / Appendix 6 --- p.75 / Appendix 7 --- p.77 / BIBLIOGRAPHY --- p.79

by Lam Suen, Tang Mun-suet. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 60-61). / ABSTRACT --- p.iii / TABLE OF CONTENT --- p.v / LIST OF CHARTS/TABLES --- p.vii / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- INTRODUCTION OF MORTGAGE-BACKED SECURITIES --- p.6 / What is Securitization --- p.6 / Types of Mortgage-backed Securities --- p.8 / Mortgage Pass-through Securities --- p.8 / Collateralized Mortgage Obligations --- p.9 / Stripped Mortgage-backed Securities --- p.11 / Chapter III. --- BENEFITS OF SECURITIZATION --- p.14 / Benefits to Issuers --- p.14 / Diversification of Funding Sources and Increased Liquidity --- p.14 / Cost Effective Source of Funds --- p.15 / Efficient Use of Capital --- p.15 / Rapid Portfolio Growth --- p.15 / Better Asset/Liability Management --- p.16 / Earning Enhancement --- p.16 / Benefits to Investors --- p.16 / Benefits to Borrowers --- p.17 / Implication of Securitization for Financial Market --- p.17 / Chapter IV. --- MODELING AND VALUATION OF MORTGAGE-BACKED SECURITIE& --- p.19 / Static Cash Flow Yield (SCFY) Analysis --- p.20 / Advantages and Limitations --- p.21 / Total Rate of return Scenario Analysis (SA) --- p.22 / Advantages and Limitations --- p.23 / Option Adjusted Spreads (OAS) --- p.24 / Advantages and Limitations --- p.26 / Chapter V. --- THE MORTGAGE-BACKED SECURITIES MARKET IN US --- p.27 / U.S. Capital Market --- p.27 / Market Structureof Mortgage-backed Securities in US --- p.28 / Mortgage Originators --- p.28 / Mortgage-backed Securities Issuers --- p.29 / Derivatives of Mortgage-backed Securities --- p.32 / Secondary Mortgage-backed Securities Market --- p.33 / Chapter VI. --- THE HONG KONG MORTGAGE-BACKED SECURITIES MARKET --- p.35 / Mortgage Pool --- p.35 / Characteristics of residential mortgage loans in Hong Kong --- p.35 / Lending policy of authorized institutions since 1989 --- p.37 / Development Of MBS --- p.39 / "Four Mortgage-backed, Bond Sales" --- p.40 / "Bank Of America (Asia) - May, 1994" --- p.40 / "Citibank's Homes-1 - July, 1994" --- p.41 / "Cheung Kong Holdings - September, 1994" --- p.42 / "Standard Chartered Bank's MARS - December, 1994" --- p.44 / Chapter VII. --- DISCUSSION ON HONG KONG MORTGAGED-BACKED SECURITIES MARKET --- p.46 / "Why is the Mortgage-backed, Securities Market Less Important in Hong Kong" --- p.46 / Uncertain Political Environment of Hong Kong --- p.46 / Hong Kong Residential Property Price Inflation --- p.48 / Limited Liquidity --- p.49 / Few Securities with Credit Ratings --- p.49 / Risks of Mortgage-backed Securities --- p.49 / Chapter VIII. --- RECOMMENDATIONS AND FUTURE OF HONG KONG MORTGAGE-BACKED SECURITIES MARKET --- p.55 / Recommendations for Hong Kong Mortgage-backed Securities Market --- p.55 / Credit Enhancement of Securitized Products --- p.55 / Better Market Infrastructure --- p.56 / Liquid Bond Markets --- p.57 / The Future Mortgage-backed Securities Market in Hong Kong --- p.58 / BIBLIOGRAPHY --- p.60

by Wong Hok-Ying. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 67-72). / ABSTRACTS --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENTS --- p.vii / Chapter I --- INTRODUCTION --- p.1 / Research Objectives --- p.5 / Organization of This Paper --- p.7 / Chapter II --- THE ASIAN PRIVATE EQUITY INDUSTRY: AN OVERVIEW --- p.8 / Chapter III --- LITERATURE REVIEW --- p.13 / Research on the Private Equity Industry in General --- p.13 / Research on the Asian Private Equity Industry --- p.15 / Chapter IV. --- Hypothesis Setting --- p.16 / Private Equity Firm Structure --- p.16 / Specialization vs. Diversification --- p.17 / Compensation Issues --- p.23 / Board seat --- p.25 / General Partners Holdings --- p.26 / Percent Ownership in Portfolio Firms --- p.27 / Human Capital --- p.29 / Investment Flexibility --- p.30 / Chapter V --- RESEARCH METHODOLOGY --- p.31 / Data Collection --- p.32 / Measures --- p.34 / Chapter VI --- RESULTS AND DISCUSSIONS --- p.38 / Test of Hypothesis 1 --- p.40 / Test of Hypothesis 2 --- p.42 / Test of Hypothesis 3 --- p.43 / Test of Hypothesis 4 --- p.44 / Test of Hypothesis 5 --- p.45 / Test of Hypothesis 6a & 6b --- p.46 / Test of Hypothesis 7 --- p.47 / Test of Hypothesis 8 --- p.49 / Test of Hypothesis 9 --- p.49 / Test of Hypothesis 10a & 10b --- p.51 / Test of Hypothesis 11 --- p.52 / The Multiple Regression Model --- p.53 / Chapter VII --- CONCLUSIONS --- p.56 / APPENDIX I --- p.60 / APPENDIX II: (Questionnaire) --- p.65 / BIBLIOGRAPHY --- p.67

by Kwan Chi Tak. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 44-45). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.vi / LIST OF TABLES --- p.vii / ACKNOWLEDGEMENT --- p.viii / CHAPTER / Chapter I. --- OBJECTIVES AND METHODOLOGY --- p.1 / Objectives --- p.1 / Methodology --- p.1 / Data Source --- p.1 / Analysis on the Efficiency of Secondary Bond Market --- p.1 / Data Collected --- p.2 / Period of Investigation --- p.2 / Bonds Selected --- p.3 / Interviews --- p.3 / Chapter II. --- DEVELOPMENT OF BOND MARKET IN CHINA --- p.4 / Amount of Issue --- p.4 / Types of Bonds Available in China --- p.5 / Government Bonds --- p.6 / Policy Financial Bonds --- p.7 / Enterprise Bonds --- p.7 / Conclusion --- p.7 / Chapter III. --- DEVELOPMENT OF GOVERNMENT BOND MARKET --- p.9 / Background --- p.9 / Issuance Methods --- p.9 / Types --- p.11 / Cost of Issuance and Redemption --- p.12 / The Establishment of Secondary Market --- p.13 / Conclusion --- p.14 / Chapter IV. --- GOVERNMENT DEFICIT FINANCING --- p.16 / The Economy of China --- p.17 / Government revenues and Expenditures --- p.17 / Deficits --- p.19 / Government Bond Issuance --- p.21 / repayment Ability --- p.22 / Conclusion --- p.23 / Chapter V. --- BENCHMARK RATES --- p.23 / Primary Market --- p.23 / Interest Rates --- p.23 / Government Bond Coupons --- p.24 / Anomaly --- p.24 / Pricing of other securities --- p.25 / secondary market --- p.25 / Efficiency of Secondary Bond Market --- p.27 / Conclusion --- p.29 / Chapter VI. --- OPEN MARKET OPERATIONS --- p.30 / Background --- p.30 / Open Market Operations --- p.30 / The Effectiveness --- p.31 / Conclusion --- p.33 / Chapter VII. --- OTHER FACTORS --- p.34 / Education --- p.34 / Institutional Investors --- p.34 / Transaction Costs --- p.35 / Distribution --- p.35 / Transaction Fees --- p.35 / Conclusion --- p.36 / Chapter VIII. --- CONCLUSIONS AND RECOMMENDATIONS --- p.37 / Conclusions --- p.37 / Positive Factors --- p.37 / Negative Factors --- p.38 / Recommendations --- p.39 / Chapter IX. --- APPENDIX I --- p.41 / Chapter X. --- APPENDIX --- p.43 / Chapter XI. --- BIBLIOGRAPHY --- p.44

To value any fixed income security one needs to evaluate the discounted expected cash flows according to an arbitrage free interest rate model. In the case of mortgage-backed securities the future cash flows are uncertain due to mortgagors exercise of their prepayment options. The present project considers prepayments which result from interest rate dependent complete refinancing of mortgages in a pool. The rate of refinancing is modeled as an arbitrary, user defined function of current and past interest rates. This enables the inclusion of refinancing rates that depend on not only on the current level of interest rates but also on the trend of the interest rates and that may also exhibit burnout effects due to past periods of low interest rates. The resulting cash flows depend on the entire past of the path that the interest rates took to get to the current level. The Black-Derman-Toy arbitrage free binomial tree is used to model the underlying interest rates. This is a single-factor market price consistent model which also allows the specification of the observed volatilities. Monte Carlo methodology is used to simulate random paths in the interest rate tree to evaluate the cash flows along the path. A computer program written in MAPLE implements the entire process.

by Lee Ming-Kwong, Tam Yuen-Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 148-152). / ABSTRACT --- p.III / TABLE OF CONTENT --- p.V / LIST OF ILLUSTRATIONS --- p.IX / LIST OF TABLES --- p.X / ACKNOWLEDGEMENT --- p.XI / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- COUNTRY PROFILE --- p.3 / Chapter III. --- VIETNAM MARKET POTENTIAL --- p.4 / Chapter IV. --- RECENT ECONOMIC DEVELOPMENTS --- p.6 / Economy --- p.6 / "The ""Doi Moi ´ح reforms" --- p.6 / 1989onward --- p.7 / Inflation --- p.8 / A three year low inflation of 4.8% is recorded in 1996 --- p.8 / Interest Rate --- p.10 / "Maximum Lending Rate Has Been Cut For the Fourth Time, to 1.5% per month" --- p.10 / Interest Rate Cuts Will have Minimal Impact on Economy- --- p.11 / The Paradox of Surplus Capital in a Cash-strapped Economy --- p.12 / Exchange Rate --- p.12 / Vietnamese Dong to Depreciate Marginally in 1996 --- p.12 / Tight Regulations Contributed to the Stable National Currency --- p.13 / The Dong Has Been Supported by Massive Inflows of Foreign Capital --- p.13 / Dong is Roughly 25% Overvalued --- p.14 / Gradual Adjustment of the Dong is Expected in 1997 --- p.14 / Planning the 2000s --- p.15 / Chapter V. --- THE EIGHTH PARTY CONGRESS --- p.17 / Chapter VI. --- STATE OWNED ENTERPRISES (SOEs) REFORM AND RESTRUCTURING --- p.20 / Liberalization of management --- p.21 / Forming large strong conglomerates through merging --- p.22 / Forming conglomerates in strategic areas --- p.23 / Cutting the fat --- p.24 / Chapter VII. --- EQUITIZATION OF STATE OWNED ENTERPRISES (SOES) IN VIETNAM --- p.28 / What is Equitization of State-owned Enterprises (ESE) in Vietnam ？ --- p.28 / The Equitization process and implementation in Vietnam --- p.29 / Some good news --- p.30 / Government Has Stepped Up Equitisation Drive --- p.32 / A New Decree Aimed to Stimulate Equitization --- p.33 / Problems of equitization --- p.34 / New Incentives Should Ease Management's Fears --- p.39 / Chapter VIII. --- FINANCIAL SYSTEM --- p.41 / State Bank of Vietnam's Evolving Role --- p.42 / reserve Requirements not Effectively Used as a Monetary Instrument --- p.42 / Interbank Domestic Currency Market --- p.42 / Interbank Foreign Exchange Market --- p.42 / A Forward Market is Expected to Be Introduced in 1997 --- p.43 / State Banks Still Dominate the Commercial Bank Sector --- p.44 / New Policies Are Expected to Help Joint-Stock Banks --- p.46 / Chapter IX. --- CAPITAL MARKET DEVELOPMENT --- p.47 / Capital Market Development One of Vietnam 's Priorities --- p.47 / Money Market - Debt Securities --- p.48 / T-bills Have Been Issued Since Early 1991 --- p.48 / New People 's T-bonds Have Been Issued for Individual Investors --- p.49 / Vietnam's First Dollar Convertible Bonds Were Issued in July 1996 --- p.50 / International Bond Issue is Unlikely Despite Clearing of Commercial Debt --- p.51 / Capital Market - Equities Securities --- p.52 / Patience is Required for a Workable Stock Market --- p.52 / National Exchange Committee is a Prerequisite for Future Exchange --- p.53 / Accounting and Auditing Standards to Be Completed in 1998 --- p.54 / Foreign Assistance Will Speed Up Development of Crucial Elements --- p.54 / Coffee Shop' Exchange --- p.55 / Chapter X. --- PRIVATIZATION: FROM EQUITIZATION TO PUBLIC OFFERING --- p.56 / Factors influencing the selection of privatization methods --- p.56 / Motivation for privatization --- p.57 / Financial and social conditions --- p.59 / Privatization Techniques --- p.62 / Chapter 1. --- Contracting-out --- p.62 / Chapter 2. --- Deregulation --- p.63 / Chapter 3. --- Trade sales --- p.63 / Chapter 4. --- Management-employee buyouts --- p.64 / Chapter 5. --- Joint ventures --- p.65 / Chapter 6. --- Share Offerings --- p.66 / Preparing enterprises for privatization --- p.68 / Chapter 1. --- Feasibility assessment --- p.68 / Chapter 2. --- Preparation stage --- p.68 / Chapter XI. --- ACCOUNTING AND VALUATION --- p.70 / Accounting issue --- p.70 / Valuation issues --- p.72 / Chapter XII. --- VALUATION OF SOE --- p.74 / Chapter 1. --- Corporate valuation --- p.74 / Net Asset Value (NAV) --- p.74 / Chapter 2. --- Business valuation --- p.76 / Chapter (a) --- Discounted cash flow --- p.76 / Chapter (b) --- Price-earnings method --- p.78 / Chapter 1. --- "Assessing the ""Earnings""" --- p.78 / Chapter 2. --- Setting the multiple (P/E ratio) --- p.79 / Chapter 3. --- Special Consideration --- p.79 / Chapter 3. --- Composite basis valuation --- p.80 / Difficulties in emerging market valuation --- p.80 / Absent of open capital market --- p.81 / Property or land use rights --- p.81 / Chapter XIII. --- S PRICE --- p.82 / Chapter 1. --- Price in Flotations --- p.82 / Chapter 2. --- Consideration for pricing the SOEs --- p.83 / Chapter XIV. --- PRIVATIZATION-A REFERENCE TO OTHER COUNTRIES --- p.84 / United Kingdom --- p.86 / Privatization --- p.86 / Chapter 1. --- Which companies to privatize? --- p.86 / Chapter 2. --- Pre-privatization restructuring --- p.87 / Chapter 3. --- The role of the capital markets --- p.87 / Chapter 4. --- The role of Foreign direct investment --- p.89 / Chapter 5. --- Methods of Privatization --- p.89 / France --- p.91 / The objectives of French privatizations: --- p.91 / Privatization --- p.92 / Chapter 1. --- Pre-privatization restructuring --- p.92 / Chapter 2. --- The role of capital markets --- p.92 / Chapter 3. --- The role of foreign direct investment --- p.93 / Chapter 4. --- Method of privatization --- p.94 / Chapter 5. --- Accounting implications of privatization --- p.95 / Korea --- p.96 / Objectives of privatization --- p.96 / From 1968 to the early 1980s --- p.97 / The 1987privatization programme --- p.97 / The new privatization policy in 1993 --- p.98 / The role of foreign direct investment --- p.99 / Thailand --- p.100 / Objectives --- p.100 / Privatization --- p.100 / Chapter 1. --- Which companies to privatize? --- p.100 / Chapter 2. --- Pre-privatization enterprise restructuring --- p.101 / Chapter 3. --- The role of the capital market --- p.101 / Chapter 4. --- The role of foreign direct investment --- p.102 / Chapter 5. --- Methods of privatization --- p.103 / Chapter XV. --- CHINA'S EXPERIENCE --- p.104 / Reform of State-owned Enterprises in China --- p.104 / Development of China Securities Market --- p.106 / China's Shareholding System --- p.109 / Primary types of shares in Chinese shareholding enterprises --- p.109 / Chapter XVI. --- DISCUSSION --- p.111 / Going Public: advantage and disadvantage --- p.111 / vietnaM'S CONCERN --- p.114 / Chapter 1. --- A stock market or a securities market --- p.114 / Chapter 2. --- The Primary Market --- p.115 / Market participants and intermediaries --- p.115 / Market Commodities --- p.118 / Chapter 3. --- The secondary market --- p.120 / The Stock Exchange --- p.120 / Stock exchange ownership --- p.121 / Chapter 4. --- Dealing Mechanism --- p.123 / Electronic dealing and trading system --- p.126 / Chapter 5. --- Settlement and Clearing --- p.128 / Chapter 6. --- Legal framework and supervision --- p.129 / Chapter 7. --- Foreign Participation --- p.131 / Chapter XVII. --- CONCLUSION --- p.132 / APPENDIX 1 --- p.134 / APPENDIX 2 --- p.136 / APPENDIX 3 --- p.137 / APPENDIX 4 --- p.138 / APPENDIX 5 --- p.139 / APPENDIX 6 --- p.143 / APPENDIX 7 --- p.144 / APPENDIX 8 --- p.145 / APPENDIX 9 --- p.146 / APPENDIX 10 --- p.147 / BIBLIOGRAPHY --- p.148

Lai, Kwok Tung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 64-66). / Abstracts in English and Chinese. / Abstract --- p.i / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 3 --- Preliminary Analysis of Data --- p.17 / Chapter 3.1 --- Data --- p.17 / Chapter 3.2 --- Preliminary Analysis of Unspanned Stochastic Volatility --- p.20 / Chapter 4 --- A Jump-Diffusion Model for Federal Funds Target Rate --- p.23 / Chapter 4.1 --- Model Specification --- p.23 / Chapter 4.2 --- Estimation Result --- p.31 / Chapter 5 --- Pricing and Hedging Performance of Interest Rate Derivatives --- p.34 / Chapter 5.1 --- Pricing Performance of Interest Rate Cap --- p.34 / Chapter 5.2 --- Hedging Performance of Interest Rate Caplet --- p.38 / Chapter 5.3 --- Hedging Performance of Interest Rate Straddle --- p.42 / Chapter 6 --- Conclusion --- p.49 / Figures --- p.51 / Tables --- p.55 / Bibliography --- p.64

The competition for external capital amongst small and developing financial markets has resulted in a growing awareness of the importance of investor protection laws if markets are to be competitive. One particularly important aspect of such laws is the need to control the behaviour of insiders. Insider trading, widely perceived as trading by investors who have an unfair advantage by virtue of access to confidential information, represents a significant threat to market confidence and investors' willingness to invest in the market. For small markets therefore, not controlling such behaviour represents a significant cost in terms of the development of the market and the economy as a whole. However, while insider trading can do significant harm to the market, it also has the potential to be beneficial to the market as a signal of incorrectly priced information. The question becomes therefore how best to balance the advantages and disadvantages of insider trading. Most markets have relied on regulations to control insiders, however, little research has been done to establish if this is effective.This thesis seeks to provide additional evidence with respect to the role of regulation in controlling insider trading. The issue is explored within the context of the New Zealand market where recent legislation, the Securities Market Amendment Act 2002, offers a prime opportunity to seek further understanding on the issue. In particular, four studies focussed on the role of regulation with respect to insider trading are undertaken within this thesis. In the first the impact of the law change on the profitability and informational base of insiders is examined. A significant decline in profitability is observed in addition to evidence of a change in the informational basis of insiders' trades from knowledge of upcoming announcements to short-term market mispricing. The impact of the new law on four aspects of the market is then examined. A significant increase in liquidity is found following the introduction of the new law, as well as significant reductions in the cost of equity, bid-ask spread and return volatility. The law therefore appears to have improved these aspects of the market. The bid-ask spreads were then examined in more depth by observing the impact of the laws on the cost of informed trading. Strong evidence of a decline in the cost of informed trading was observed, along with significant decreases in the proportion of the spread composed of information asymmetry costs. The declines were largest for those firms most prone to insider trading.Lastly, the elements of an effective insider trading regime were investigated by examining the impact of various legal variables on the cost of informed trading and the total spread. The results indicated that stronger laws have resulted in lower spreads and less informed trading costs, and that effective regimes should prevent insiders passing on their information, should rely on financial penalties over criminal sanctions, and should be both enforceable and policed by a strong public regulator. Overall this thesis finds strong evidence that insider trading laws can be effective in controlling the behaviour of insiders, and that well drafted statutory regulations can be of significant benefit to the market.

Thesis (M.C.A.)--Victoria University of Wellington, 2009. / Includes bibliographical references.