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by Ng Siu Kow Stephen, Wong Sai Fuk Victor. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 41-42.

by Wong Charlmane. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves 59-60.

by Fan Wenning. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaf 41). / Abstract --- p.1 / Acknowledgement --- p.2 / Chapter / Chapter I. --- Introduction --- p.4 / Chapter II. --- HSI Futures and Trading Pattern --- p.8 / Chapter III. --- Spread Trading --- p.24 / Chapter IV. --- Relationship between Change in Price and and Change in Market Indicators --- p.27 / Chapter V. --- Trading Based on Market Indicators --- p.30 / Chapter VI. --- Hedge Effectiveness --- p.39 / Bibliography --- p.41

by Chan Shuen-Yiu & Tse Wai-Chung Steven. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 91-92.

by Yung Pui Yin Ellen. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaf 52.

Thesis (M.B.A.)--University of Hong Kong, 1987. / Cover title.

In a perfect market with no limit on arbitrage, the price movements or returns of an index futures contract must be perfectly and positively correlated with those of the underlying cash index and the component stocks of the index. However, transaction costs, capital limits and regulatory restrictions reduce arbitrage efficiency which is being revealed by a wealth of findings that index futures and the underlying cash assets do not move in perfect unison. It is an important issue to practitioners, exchange and regulatory authorities, and academics to understand which and how different market and idiosyncratic factors drive the dynamic temporal relationships between an index futures contract and the related individual cash assets. Chapter 1 of the thesis examines how and to what extent the sampling frequency for return calculation affects the intraday correlation and lead-lag relationship between index futures, the underlying cash index and individual cash assets. Chapter 2 tests how and to what extent index weight, liquidity, idiosyncratic information of a single cash stock, market conditions and regulatory restrictions affect the intraday correlation between the futures and individual cash asset. Following the line of argument in Chapter 2, Chapter 3 analyzes the impact of stock-specific and market factors on the intraday lead-lag relationship between the futures and single cash assets. The study deduces that stock-specific and market factors significantly affect the intraday dynamic relationship between index futures and individual cash assets and it is a phenomenon that could be explained by the optimal strategies adopted by index arbitrageurs.

Fung Wing Tsan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves 130-133). / Abstract --- p.i / Acknowledgment --- p.iii / Chapter Chapter 1 --- INTRODUCTION --- p.1 / Chapter Chapter 2 --- THE PRICING OF STOCK INDEX FUTURES --- p.9 / Chapter I. --- The Theoretical Framework --- p.9 / Chapter II. --- Evidence from the US Markets --- p.17 / Chapter III. --- Evidence from Other Markets --- p.21 / Chapter Chapter 3 --- THE PRICE DISCOVERY ROLE OF FUTURES MARKET --- p.24 / Chapter I. --- The Potential of Lead/Lag Relationship between the Stock Index Futures Price and the Stock Index --- p.24 / Chapter II. --- Empirical Evidence for the Lead/Lag Relationship --- p.27 / Chapter Chapter 4 --- THE HEDGING FUNCTION OF STOCK INDEX FUTURES MARKET --- p.30 / Chapter I. --- The Traditional Approach --- p.31 / Chapter II. --- Working's Speculative Hedge Approach --- p.32 / Chapter III. --- The Risk-Minimizing Approach --- p.33 / Chapter IV. --- The Portfolio Allocation Approach --- p.40 / Chapter Chapter 5 --- AN INTRODUCTION TO THE HANG SENG INDEX FUTURES MARKET --- p.44 / Chapter Chapter 6 --- PRICING EFFICIENCY OF THE HANG SENG INDEX FUTURES MARKET --- p.51 / Chapter I. --- Pricing Efficiency of the Hang Seng Index Futures Market with no Transaction Costs --- p.51 / Chapter II. --- Pricing Efficiency of the Hang Seng Index Futures Market with Transaction Costs --- p.59 / Chapter III. --- The Pattern of the Mispricing Series --- p.66 / Chapter IV. --- Test of Pricing Efficiency using Intraday Prices --- p.70 / Chapter Chapter 7 --- PRICE DISCOVERY ROLE OF THE HANG SENG INDEX FUTURES MARKET --- p.85 / Chapter I. --- The Granger-Causality Test --- p.86 / Chapter II. --- Error-Correction Model and Long-Run Relationship between the Stock Price and the Hang Seng Index Futures Price --- p.93 / Chapter III. --- The Simultaneous-Equation Error-Correction Model --- p.96 / Chapter Chapter 8 --- HEDGING EFFECTIVENESS OF THE HANG SENG INDEX FUTURES MARKET --- p.104 / Chapter I. --- The Effectiveness of Hang Seng Index Futures in Reducing Risks Of Stock Portfolios --- p.104 / Chapter II. --- The Hedged Portfolio as an Alternative to Fixed-Income Asset --- p.115 / Chapter III. --- The Effectiveness of Hang Seng Index Futures in Improving Risk´ؤReturn 'Trade-Off --- p.119 / Chapter Chapter 9 --- conclusion --- p.126 / References --- p.130

published_or_final_version / Business Administration / Master / Master of Business Administration