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.
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_342672 |
| Date | January 1997 |
| Contributors | Wong, Michael C. S. (Michael Chak Sham), Chinese University of Hong Kong Graduate School. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, theses |
| Format | electronic resource, 1 online resource (v, 145 p. : ill.) |
| Coverage | 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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