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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323108 |
| Date | January 2000 |
| Contributors | Wong, Fat Keung., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 87 leaves : ill. ; 30 cm. |
| 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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