The Hong Kong stock market: characteristics and pricing of securities.

by Chan Chi-man, Simon. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves [5]-[8] (2nd group)). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vii / LIST OF TABLES --- p.viii / Chapter CHAPTER I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objectives --- p.3 / Scope --- p.5 / Organization of the Paper --- p.6 / Chapter CHAPTER II. --- THE HONG KONG STOCK MARKET - QUANTIFYING ITS CHARACTERISTICS --- p.7 / Introduction --- p.7 / Choice of Proxy for the Market --- p.9 / Hong Kong in the Asian Pacific Region --- p.11 / Choice of Benchmarks for Comparisons --- p.12 / Comparative Returns and Standard Deviations --- p.13 / Correlations Amongst Different Markets --- p.16 / Comparative Price to Earnings (P/E) Ratios --- p.18 / Market Liquidity --- p.19 / Market Concentration --- p.20 / Summary --- p.21 / Chapter CHAPTER III. --- PRICING OF RISKY ASSETS IN HONG KONG --- p.23 / Introduction --- p.23 / Applicability of Pricing Models in the Hong Kong Stock Market --- p.23 / Literature Review --- p.23 / CAPM --- p.28 / The model --- p.28 / Hypotheses to be tested --- p.29 / Data --- p.30 / Methodology --- p.30 / Portfolio construction --- p.30 / Variable estimation --- p.31 / Cross-sectional regressions --- p.31 / Results and discussions --- p.32 / Stability of Beta --- p.34 / APT --- p.37 / Introduction --- p.37 / Analysis --- p.38 / Chapter CHAPTER IV. --- THE EFFICIENCY AND ANOMALIES OF THE HONG KONG STOCK / MARKET --- p.51 / Market Efficiency --- p.51 / Introduction --- p.51 / Informational Efficiency --- p.51 / Forms of market efficiency --- p.52 / Empirical evidence in Hong Kong --- p.53 / Historical prices --- p.53 / Investment advisory --- p.54 / Government budget speeches --- p.55 / Takeover --- p.55 / Conclusions --- p.55 / Anomalies --- p.56 / Introduction --- p.56 / An Exercise on PBV --- p.57 / Summary --- p.58 / Chapter CHAPTER V. --- POLITICAL INFLUENCE AND THE STOCK MARKET --- p.59 / Introduction --- p.59 / Literature Review --- p.60 / Political Risk in Hong Kong --- p.61 / Conclusion --- p.64 / Chapter CHAPTER VI. --- DIVERSIFICATION --- p.65 / Introduction --- p.65 / Literature Review --- p.65 / Does International Diversification Work --- p.67 / Conclusion --- p.72 / Chapter CHAPTER VII. --- CONCLUSIONS --- p.73 / What Moves Stock Prices? --- p.74 / Is the Stock Market Overreacting? --- p.75 / Some Suggestions --- p.76 / APPENDICES / BIBLIOGRAPHY

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_319062
Date January 1993
ContributorsChan, Chi-man Simon., Chinese University of Hong Kong Graduate School. Division of Business Administration.
PublisherChinese University of Hong Kong
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, viii, 76, [8] leaves : ill. ; 30 cm.
CoverageChina, Hong Kong, China, Hong Kong, China, Hong Kong
RightsUse 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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