Kam Ying Chuen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 81-83). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 / Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3 / Chapter 2.2 --- Hang Seng Index --- p.4 / Chapter 2.3 --- Influences of the United States --- p.5 / Chapter 2.4 --- Hong Kong Government's Intervention --- p.6 / Chapter 3 --- Literature Review --- p.8 / Chapter 3.1 --- Stable and Student t Distributions --- p.8 / Chapter 3.2 --- Generalized Distribution --- p.10 / Chapter 3.3 --- Socio-economic Model --- p.11 / Chapter 3.4 --- Extreme Value Analysis --- p.11 / Chapter 4 --- Methodology --- p.14 / Chapter 4.1 --- Homogeneous Model --- p.15 / Chapter 4.2 --- Inhomogeneous Model --- p.15 / Chapter 4.3 --- Model Validity --- p.16 / Chapter 4.3.1 --- Exceedance Rate --- p.17 / Chapter 4.3.2 --- Distribution of Excesses --- p.17 / Chapter 4.3.3 --- Independence --- p.18 / Chapter 5 --- Data --- p.19 / Chapter 5.1 --- Minute-by-minute Returns --- p.20 / Chapter 5.2 --- Daily returns --- p.21 / Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21 / Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24 / Chapter 6.1 --- Shape Parameter k --- p.24 / Chapter 6.2 --- Location Parameter μ --- p.25 / Chapter 6.3 --- Scale Parameter σ --- p.26 / Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27 / Chapter 6.5 --- Specification Test --- p.29 / Chapter 7 --- Empirical Results: Daily Returns --- p.29 / Chapter 7.1 --- Homogeneous Model --- p.30 / Chapter 7.2 --- Inhomogeneous Model --- p.31 / Chapter 7.2.1 --- Constant Term --- p.32 / Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33 / Chapter 7.2.3 --- Volatility Indicators --- p.34 / Chapter 7.2.4 --- Monday Dummy --- p.35 / Chapter 7.2.5 --- Time Trend --- p.36 / Chapter 7.2.6 --- Duration Dummy --- p.37 / Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38 / Chapter 8 --- Conclusion --- p.39
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323124 |
| Date | January 2000 |
| Contributors | Kam, Ying Chuen., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 83 leaves : il l. ; 30 cm. |
| Coverage | China, Hong Kong, China, Hong Kong, China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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