Dissertations / Theses on the topic 'Stocks Prices Australia Mathematical models'
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Yang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.
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This study deals with the estimation of the optimal hedge ratios using various econometric models. Most of the recent papers have demonstrated that the conventional ordinary least squares (OLS) method of estimating constant hedge ratios is inappropriate, other more complicated models however seem to produce no more efficient hedge ratios. Using daily AOIs and SPI futures on the Australian market, optimal hedge ratios are calculated from four different models: the OLS regression model, the bivariate vector autoaggressive model (BVAR), the error-correction model (ECM) and the multivariate diagonal Vcc GARCH Model. The performance of each hedge ratio is then compared. The hedging effectiveness is measured in terms of ex-post and ex-ante risk-return traHe-off at various forcasting horizons. It is generally found that the GARCH time varying hedge ratios provide the greatest portfolio risk reduction, particularly for longer hedging horizons, but hey so not generate the highest portfolio return.
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Cheng, Lap-yan, and 鄭立仁. "Extension of price-trend models with applications in finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B37428408.
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董森 and Sen Dong. "Two essays on idiosyncratic volatility of stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2002. http://hub.hku.hk/bib/B31225937.
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Wei, Yong, and 卫勇. "The real effects of S&P 500 Index additions: evidence from corporate investment." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B4490681X.
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Wang, Hanfeng, and 王漢鋒. "Essays on stock trading volume, volatility and information." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38826185.
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Wang, Yintian 1976. "Three essays on volatility long memory and European option valuation." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=102851.
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This dissertation is in the form of three essays on the topic of component and long memory GARCH models. The unifying feature of the thesis is the focus on investigating European index option evaluation using these models.The first essay presents a new model for the valuation of European options. In this model, the volatility of returns consists of two components. One of these components is a long-run component that can be modeled as fully persistent. The other component is short-run and has zero mean. The model can be viewed as an affine version of Engle and Lee (1999), allowing for easy valuation of European options. The model substantially outperforms a benchmark single-component volatility model that is well established in the literature. It also fits options better than a model that combines conditional heteroskedasticity and Poisson normal jumps. While the improvement in the component model's performance is partly due to its improved ability to capture the structure of the smirk and the path of spot volatility, its most distinctive feature is its ability to model the term structure. This feature enables the component model to jointly model long-maturity and short-maturity options.
The second essay derives two new GARCH variance component models with non-normal innovations. One of these models has an affine structure and leads to a closed-form option valuation formula. The other model has a non-affine structure and hence, option valuation is carried out using Monte Carlo simulation. We provide an empirical comparison of these two new component models and the respective special cases with normal innovations. We also compare the four component models against GARCH(1,1) models which they nest. All eight models are estimated using MLE on S&P500 returns. The likelihood criterion strongly favors the component models as well as non-normal innovations. The properties of the non-affine models differ significantly from those of the affine models. Evaluating the performance of component variance specifications for option valuation using parameter estimates from returns data also provides strong support for component models. However, support for non-normal innovations and non-affine structure is less convincing for option valuation.
The third essay aims to investigate the impact of long memory in volatility on European option valuation. We mainly compare two groups of GARCH models that allow for long memory in volatility. They are the component Heston-Nandi GARCH model developed in the first essay, in which the volatility of returns consists of a long-run and a short-run component, and a fractionally integrated Heston-Nandi GARCH (FIHNGARCH) model based on Bollerslev and Mikkelsen (1999). We investigate the performance of the models using S&P500 index returns and cross-sections of European options data. The component GARCH model slightly outperforms the FIGARCH in fitting return data but significantly dominates the FIHNGARCH in capturing option prices. The findings are mainly due to the shorter memory of the FIHNGARCH model, which may be attributed to an artificially prolonged leverage effect that results from fractional integration and the limitations of the affine structure.
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Mazzotta, Stefano. "Three essays on volatility." Thesis, McGill University, 2005. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85189.
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This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets.The survey examines selected papers from the international finance literature and from the volatility literature with a focus on the theoretical and empirical relationship between first and second unconditional and conditional moments of domestic and international asset returns. It then specifically proposes several areas for investigation related to international finance topics. The first essay investigates the importance of asymmetric volatility when computing the risk premium of international assets. The results indicate that conditional second moment asymmetry is significant and time-varying. They also show that, if the price of risk is time-varying, the world market and foreign exchange risk premia estimated without allowing for time-varying asymmetry are less consistent with the data. Furthermore, they imply that asymmetry is more pronounced when the business condition is such that investors require higher compensation to bear risk.
In the second essay we start from the consideration that financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this essay is then to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset consisting of over 10 years of daily data on over-the-counter currency option prices. We find that the implied volatilities explain a large share of the variation in realized volatility. Finally, we find that wide-range interval and density forecasts are often misspecified whereas narrow-range interval forecasts are well specified.
In the third essay we examine whether the information contained in various measures of correlation among exchange rates can be used to assess future currency co-movement. We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns based correlations measures, it tends to provide the most consistent results across currencies. Predictions that use both implied and returns-based correlations generate the highest adjusted R2's, explaining up to 42 per cent of the realized correlations.
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關惠貞 and Wai-ching Josephine Kwan. "Trend models for price movements in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211513.
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Wong, Chun-mei May, and 王春美. "The statistical tests on mean reversion properties in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.
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Luo, Yan, and 罗妍. "Three essays on noise and institutional trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44549246.
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Chu, Kut-leung, and 朱吉樑. "The CEV model: estimation and optionpricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B4257500X.
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Sunga, Tapuwa Terence. "Platinum share prices and the Marikana tragedy: an event study." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013002.
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An event study is an economic tool of analysis that has begun to gain popularity in recent empirical literature. It is a technique that gives a researcher the opportunity to map out the reaction of a firm's stock to an event, usually making use of daily or monthly data. However, up to this point, event study methodology has generally been applied to more traditional phenomena capable of affecting equity value, such as dividend and macroeconomic policy announcements, and there have only been a few exceptions to this. This study looks at what impact the tragic shootings at Lonmin mine in Marikana on August 16th 2012 had on the share prices of platinum mining firms based in South Africa using event study methodology. It makes use of the technique to investigate how the share prices responded to the tragedy over a number of trading days, including the day of the shootings. To be best of our knowledge, no attempt has been made to analyse the impact on share prices using events of this nature. For the investigation, daily returns data was used for each firm. The abnormal returns and cumulative abnormal returns to each were then calculated and compared with their respective expected returns in order to determine whether investors in the shares of that particular firm reacted positively, negatively or not at all. The evidence found suggests that tragedies of this nature are capable of influencing share prices in the same manner as more traditional economic phenomena. Overall, only one firm was found to have been negatively affected by the shootings in a persistent manner, while the shares of the other firms examined reacted in a manner that was positive overall, but varied according to individual firm characteristics such as size. These finding conformed to our a priori expectations. In addition, the results also confirm the benefits of applying event study methodology to a wide variety of phenomena that fall outside the boundaries usually associated with business.
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Yiu, Fan-lai, and 姚勳禮. "Applicability of various option pricing models in Hong Kong warrants market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B3126590X.
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高志強 and Chi-keung Anthony Ko. "A preliminary study of Hong Kong warrants using the Black-Scholesoption pricing model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B31263227.
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Kwok, Ho King Calvin Actuarial Studies Australian School of Business UNSW. "Energy price modelling and risk management." Awarded by:University of New South Wales. Actuarial Studies, 2007. http://handle.unsw.edu.au/1959.4/40602.
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This thesis focuses on the development of a forecasting model for short- to medium-term electricity spot prices, based on modelling the dynamics of the supply and demand functions. It is found that the equilibrium assumption frequently adopted in electricity price models does not always hold; to overcome this problem, a notional demand process derived from the market clearing condition is proposed. Not only is this demand process able to capture all the price-affecting factors in one variable, but it also allows the equilibrium assumption to be satisfied and a spot price model to be built, using any appropriate form of hypothetical supply function. In addition, this thesis presents a model for approximating and modelling the bid stacks by capturing the points that govern their shape and location. Integrating these two models provides a realistic model that has a mean absolute percentage error of approximately 19% and 24% for week- and month-ahead forecasts respectively, when applied to the New South Wales (NSW) half-hourly electricity spot prices. Additionally, the density forecasting evaluation method proposed by Diebold et al. (1998) is employed in the thesis to assess the performance of the model. Besides the development of a spot price model, a two-part empirical study is made of the prices of NSW electricity futures contracts. The first part of the study develops a method based on the principle of certainty equivalence, which enables the market utility function to be recovered from a set of futures market quotes. The method is tested with two different sets of simulated data and works as expected. However, it is unable to obtain useful results from the NSW market quotes due to the poor data quality. The second part uses a regression method to investigate the relationship between futures prices and the descriptive statistics of the underlying spot prices. The result suggests that futures prices in NSW are linear combinations of the median and volatility of the final payoff.
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Coetzee, G. J. "A comparison of the Philips price earnings multiple model and the actual future price earnings multiple of selected companies listed on the Johannesburg stock exchange." Thesis, Stellenbosch : Stellenbosch University, 2000. http://hdl.handle.net/10019.1/51561.
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Thesis (MBA)--Stellenbosch University, 2000.ENGLISH ABSTRACT: The price earnings multiple is a ratio of valuation and is published widely in the media as a comparative instrument of investment decisions. It is used to compare company valuation levels and their future growth/franchise opportunities. There have been numerous research studies done on the price earnings multiple, but no study has been able to design or derive a model to successfully predict the future price earnings multiple where the current stock price and following year-end earnings per share is used. The most widely accepted method of share valuation is to discount the future cash flows by an appropriate discount rate. Popular and widely used stock valuation models are the Dividend Discount Model and the Gordon Model. Both these models assume that future dividends are cash flows to the shareholder. Thomas K. Philips, the chief investment officer at Paradigm Asset Management in New York, constructed a valuation model at the end of 1999, which he published in The Journal of Portfolio Management. The model (Philips price earnings multiple model) was derived from the Dividend Discount Model and calculates an implied future price earnings multiple. The Philips price earnings multiple model includes the following independent variables: the cost of equity, the return on equity and the dividend payout ratio. Each variable in the Philips price earnings multiple model is a calculated present year-end point value, which was used to calculate the implied future price earnings multiple (present year stock price divided by following year-end earnings per share). This study used a historical five year (1995-2000) year-end data to calculate the implied and actual future price earnings multiple. Out of 225, Johannesburg Stock Exchange listed companies studied, only 36 were able to meet the criteria of the Philips price earnings multiple model. Correlation and population mean tests were conducted on the implied and constructed data sets. It proved that the Philips price earnings multiple model was unsuccesful in predicting the future price earnings multiple, at a statistical 0,20 level of significance. The Philips price earnings multiple model is substantially more complex than the Discount Dividend Model and includes greater restrictions and more assumptions. The Philips price earnings multiple model is a theoretical instrument which can be used to analyse hypothetical (with all model assumptions and restrictions having been met) companies. The Philips price earnings multiple model thus has little to no applicability in the practical valuation of stock price on Johannesburg Stock Exchange listed companies.
AFRIKAANSE OPSOMMING: Die prysverdienste verhouding is 'n waarde bepalingsverhouding en word geredelik gepubliseer in die media. Hierdie verhouding is 'n maatstaf om maatskappye se waarde vlakke te vergelyk en om toekomstige groei geleenthede te evalueer. Daar was al verskeie navorsingstudies gewy aan die prysverdiensteverhouding, maar nog geen model is ontwikkel wat die toekomstige prysverdiensteverhouding (die teenswoordige aandeelprys en toekomstige jaareind verdienste per aandeel) suksesvol kon modelleer nie. Die mees aanvaarbare metode vir waardebepaling van aandele is om toekomstige kontantvloeie te verdiskonteer teen 'n toepaslike verdiskonteringskoers. Van die vernaamste en mees gebruikte waardeberamings modelle is die Dividend Groei Model en die Gordon Model. Beide modelle gebruik die toekomstige dividendstroom as die toekomstige kontantvloeie wat uitbetaal word aan die aandeelhouers. Thomas K. Philips, die hoof beleggingsbeampte by Paradigm Asset Management in New York, het 'n waardeberamingsmodel ontwerp in 1999. Die model (Philips prysverdienste verhoudingsmodei) was afgelei vanaf die Dividend Groei Model en word gebruik om 'n geïmpliseerde toekomstige prysverdiensteverhouding te bereken. Die Philips prysverdienste verhoudingsmodel sluit die volgende onafhanklike veranderlikes in: die koste van kapitaal, die opbrengs op aandeelhouding en die uitbetalingsverhouding. Elke veranderlike in hierdie model is 'n berekende teenswoordige jaareinde puntwaarde, wat gebruik was om die toekomstige geïmpliseerde prysverdiensteverhouding (teenswoordige jaar aandeelprys gedeel deur die toekomstige verdienste per aandeel) te bereken. In hierdie studie word vyf jaar historiese jaareind besonderhede gebruik om die geïmpliseerde en werklike toekomstige prysverdiensteverhouding te bereken. Van die 225 Johannesburg Effektebeurs genoteerde maatskappye, is slegs 36 gebruik wat aan die vereistes voldoen om die Philips prysverdienste verhoudingsmodel te toets. Korrelasie en populasie gemiddelde statistiese toetse is op die berekende en geïmpliseerde data stelle uitgevoer en gevind dat die Philips prysverdienste verhoudingsmodel, teen 'n statistiese 0,20 vlak van beduidenheid, onsuksesvol was om die toekomstige prysverdiensteverhouding vooruit te skat. Die Philips prysverdienste verhoudingsmodel is meer kompleks as die Dividend Groei Model met meer aannames en beperkings. Die Philips prysverdienste verhoudingsmodel is 'n teoretiese instrument wat gebruik kan word om hipotetiese (alle model aannames en voorwaardes is nagekom) maatskappye te ontleed. Dus het die Philips prysverdienste verhoudingsmodel min tot geen praktiese toepassingsvermoë in die werkilke waardasie van aandele nie.
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Lam, Yue-kwong, and 林宇光. "A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31267282.
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Kam, Wai-hung Simon, and 甘偉雄. "Capital asset pricing model: is it relevant in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31265686.
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Lee, Chi-ming Simon, and 李志明. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B3126542X.
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Casas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.
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The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence (IRD) or SRD. Under the efficient market hypothesis (EMH), the compatibility of the Vasicek, the CIR, the Anh and Gao, and the CKLS models with the stock market indexes is being tested. Nonparametric techniques are presented to test the affinity of these parametric volatility functions with the volatility observed from the data. Under the assumption of possible statistical patterns in the volatility process, a new estimation procedure based on the Whittle estimation is proposed. This procedure is theoretically and empirically proven. In addition, its application to the stock market indexes provides interesting results.
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Louw, Jan Paul. "Evidence of volatility clustering on the FTSE/JSE top 40 index." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/5039.
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Thesis (MBA (Business Management))--Stellenbosch University, 2008.ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of volatility. This research report was conducted as an in-depth analysis of volatility, measured over five different return interval sizes covering the sample in non-overlapping periods. Each of the return interval sizes' volatility were analysed to reveal the distributional characteristics and if it violated the normality assumption. The volatility was also analysed to identify in which way, if any, subsequent periods are correlated. For each of the interval sizes one-step-ahead volatility forecasting was conducted using Linear Regression, Exponential Smoothing, GARCH(1,1) and EGARCH(1,1) models. The results were analysed using appropriate criteria to determine which of the forecasting models were more powerful. The forecasting models range from very simple to very complex, the rationale for this was to determine if more complex models outperform simpler models. The analysis showed that there was sufficient evidence to conclude that there was volatility clustering on the FTSE/JSE Top 40 Index. It further showed that more complex models such as the GARCH(1,1) and EGARCH(1,1) only marginally outperformed less complex models, and does not offer any real benefit over simpler models such as Linear Regression. This can be ascribed to the mean reversion effect of volatility and gives further insight into the volatility structure over the sample period.
AFRIKAANSE OPSOMMING: Die navorsingsverslag ondersoek die FTSE/JSE Top 40 Indeks om te bepaal of daar genoegsame bewyse is dat volatiliteitsbondeling teenwoordig is. Die teenwoordigheid van volatiliteitsbondeling het praktiese implikasies vir besluite in finansiele markte en akkurate en betroubare volatiliteitsvooruitskattings. Die verslag doen 'n diepgaande ontleding van volatiliteit, gemeet oor vyf verskillende opbrengs interval groottes wat die die steekproef dek in nie-oorvleuelende periodes. Elk van die opbrengs interval groottes se volatiliteitsverdelings word ontleed om te bepaal of dit verskil van die normaalverdeling. Die volatiliteit van die intervalle word ook ondersoek om te bepaal tot watter mate, indien enige, opeenvolgende waarnemings gekorreleer is. Vir elk van die interval groottes word 'n een-stap-vooruit vooruitskatting gedoen van volatiliteit. Dit word gedoen deur middel van Lineêre Regressie, Eksponensiële Gladstryking, GARCH(1,1) en die EGARCH(1,1) modelle. Die resultate word ontleed deur middel van erkende kriteria om te bepaal watter model die beste vooruitskattings lewer. Die modelle strek van baie eenvoudig tot baie kompleks, die rasionaal is om te bepaal of meer komplekse modelle beter resultate lewer as eenvoudiger modelle. Die ontleding toon dat daar genoegsame bewyse is om tot die gevolgtrekking te kom dat daar volatiliteitsbondeling is op die FTSE/JSE Top 40 Indeks. Dit toon verder dat meer komplekse vooruitskattingsmodelle soos die GARCH(1,1) en die EGARCH(1,1) slegs marginaal beter presteer het as die eenvoudiger vooruitskattingsmodelle en nie enige werklike voordeel soos Lineêre Regressie bied nie. Dit kan toegeskryf word aan die neiging van volatiliteit am terug te keer tot die gemiddelde, wat verdere insig lewer oor volatiliteit gedurende die steekproef.
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Cheng, Teddy Man Lai. "Application of filtering theory for optimum strategies in stock market investment." Thesis, Queensland University of Technology, 1997.
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"Pricing models for Hong Kong warrants." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886348.
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by Chan Man Kam, Chung Kwai Ying, Fung Po Hei.Thesis (M.B.A.)--Chinese University of Hong Kong, 1990.
Bibliography: leaf 52.
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iv
LIST OF TABLES --- p.vi
ACKNOWLEDGEMENT --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Justification of the research --- p.1
Research Objectives --- p.3
Chapter II. --- METHODOLOGY --- p.5
Data Source --- p.5
Models --- p.7
Model 1-Simplified Kassouf Model --- p.8
Model 2 -Shelton Model --- p.10
Model 3-Black-Scholes Model --- p.13
Testing Methods --- p.16
Objectives --- p.16
Test of accuracy --- p.17
Rank Test --- p.19
Chapter III. --- RESULTS & FINDINGS --- p.22
Estimating the Shelton Model --- p.22
Estimation of Shelton Model --- p.22
The validity of model --- p.26
Overestimation or underestimation --- p.31
Mean Error vs. Mean Absolute Error --- p.32
Ranking of the models --- p.33
Sensitivity Analysis --- p.37
Simplified Kassouf Model --- p.38
Shelton Model --- p.39
Black-Scholes Model --- p.42
Elasticity of warrant price --- p.43
Warrants issued by the same company --- p.44
Chapter IV. --- CONCLUSION --- p.46
Chapter V. --- LIMITATION OF MODELS & FUTURE RESEARCH --- p.48
APPENDICES --- p.50
BIBLIOGRAPHY --- p.52
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"Finding top-k frequent balls in high dimensional spaces." 2004. http://library.cuhk.edu.hk/record=b5892016.
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Liu Zheng.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 69-72).
Abstracts in English and Chinese.
Abstract --- p.i
Acknowledgement --- p.iii
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Contributions --- p.2
Chapter 1.2 --- Dissertation Organization --- p.3
Chapter 2 --- Problem Statement and Background Study --- p.4
Chapter 2.1 --- Problem Statement --- p.4
Chapter 2.2 --- Background Study --- p.6
Chapter 2.2.1 --- Overview of Pattern Discovery Methods --- p.7
Chapter 2.2.2 --- Applications --- p.9
Chapter 3 --- Ball Discovery Algorithms --- p.13
Chapter 3.1 --- Brute-force Method for Ball Discovery --- p.13
Chapter 3.2 --- Ball Discovery with Small Point Sets --- p.15
Chapter 3.2.1 --- Pruning the Search Space Using RP-tree --- p.15
Chapter 3.2.2 --- CB-tree - Collection of Balls in a Compact and Complete Form --- p.22
Chapter 3.2.3 --- Algorithm of Finding Balls Using RP-tree and CB-tree --- p.31
Chapter 3.3 --- Ball Discovery in Large Point Sets --- p.31
Chapter 3.3.1 --- Candidate Sets of Balls --- p.31
Chapter 3.3.2 --- A Divide-and-Conquer Algorithm --- p.35
Chapter 3.4 --- Heuristic Greedy Algorithms for Ball Discovery --- p.37
Chapter 3.4.1 --- A Heuristic Greedy Algorithm --- p.37
Chapter 3.4.2 --- Another Heuristic Greedy Algorithm --- p.38
Chapter 4 --- Evaluations --- p.40
Chapter 5 --- Discussion --- p.59
Chapter 5.1 --- Order and Index the Points --- p.59
Chapter 5.2 --- Incremental Points Update --- p.59
Chapter 5.3 --- Smallest Enclosed Ball Algorithm --- p.60
Chapter 6 --- Conclusion and Future Research --- p.61
Chapter A --- Appendix --- p.63
Chapter A.1 --- Fundamental Algorithms --- p.63
Chapter A.1.1 --- Computing Smallest Enclosed Ball of a Point Set in Euclidean Space --- p.63
Chapter A.1.2 --- Finding All Cliques of an Undirected Graph --- p.65
Chapter A.2 --- An Example of a Small Data Set --- p.66
Bibliography --- p.69
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"Investigation of an error-correction model for trade and quote prices." 2010. http://library.cuhk.edu.hk/record=b5894492.
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Wong, Kin Lung Keith.Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.
Includes bibliographical references (p. 127-131).
Abstracts in English and Chinese.
Abstract --- p.i
Thesis/Assessment Committee --- p.iii
Acknowledgement --- p.iv
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Background Studies --- p.5
Chapter 2.1 --- Ultra-high Frequency Data Handling with Database Server --- p.5
Chapter 2.1.1 --- Use of Database Server --- p.5
Chapter 2.2 --- Ultra-high Frequency Data Treatments --- p.7
Chapter 2.2.1 --- Cleaning of Data --- p.7
Chapter 2.2.2 --- Matching of a Trade and Its Standing Quote --- p.13
Chapter 2.3 --- Tick-by-tick Price Modeling --- p.15
Chapter 2.3.1 --- Multivariate Linear Models --- p.15
Chapter 2.3.2 --- Duration and Volume Handling --- p.16
Chapter 2.3.3 --- VAR Model Selection Techniques --- p.20
Chapter 2.3.4 --- Seasonality Handling --- p.24
Chapter 3 --- Problem Definition and Framework --- p.27
Chapter 3.1 --- Engle and Patton's Model --- p.27
Chapter 3.2 --- Preparation of data --- p.31
Chapter 3.3 --- Methods to Estimate Diurnal Adjustment Param- eters --- p.38
Chapter 3.4 --- Transformation of the Model to Fit in VARX soft- wares --- p.40
Chapter 3.5 --- Modification of the Model --- p.47
Chapter 3.6 --- Estimating and Forecasting the Exogenous Vari- ables --- p.52
Chapter 3.6.1 --- Modelling BUYt and SELLt --- p.52
Chapter 3.6.2 --- Modelling DURt and VOLt --- p.53
Chapter 3.6.3 --- Modelling k(t) --- p.56
Chapter 3.6.4 --- Forecasting the Cross Terms and the Sum of Buys and Sells --- p.62
Chapter 3.7 --- Forecasting with the Main Model --- p.64
Chapter 4 --- Experimental Evaluation --- p.67
Chapter 5 --- Conclusion --- p.73
Chapter A --- Source and Data Information --- p.76
Chapter B --- Model Estimation Results for (3.13) --- p.80
Chapter C --- Model Forecasting Results for (3.13) and (3.2) --- p.102
Bibliography --- p.127
26
"The information content of macroeconomic variables and industry specific financial ratios on stock prices: evidence from Hong Kong." 2000. http://library.cuhk.edu.hk/record=b5890169.
Full textAbstract:
by Au Wai Shan, Christine, Choi Wing Kam.Thesis (M.B.A.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (leaves 86-90).
ABSTRACT --- p.ii
ACKNOWLEDGEMENT --- p.iv
TABLE OF CONTENTS --- p.v
LIST OF TABLES --- p.vii
CHAPTER
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- LITERATURE REVIEW --- p.3
Chapter III. --- METHODOLOGY --- p.9
Chapter 1 --- Source of Data and Company Information --- p.9
Chapter 1.1 --- Data on Security Prices and Macroeconomic Variables --- p.9
Chapter 1.2 --- Company Annual Reports --- p.9
Chapter 1.3 --- "Journals, Newspapers and Related Magazines" --- p.10
Chapter 2. --- Selection of Company --- p.10
Chapter 3. --- "Whatts PanEL,Data?" --- p.10
Chapter 3.1 --- Benefits of using Panel Data --- p.11
Chapter 3.2 --- Limitations of using Panel Data --- p.12
Chapter 4. --- Multiple regression analysts --- p.13
Chapter 4.1 --- What is multiple regression model? --- p.13
Chapter 4.2 --- Assumptions of multiple regression --- p.15
Chapter 5. --- FtnanctaL RatIo Analysts --- p.16
Chapter 6. --- Economic Factor Analysis --- p.19
Chapter IV. --- FINDINGS --- p.20
Chapter 1. --- ResuLts of MULttpte Regression (By Individual Company) of the Stock Price and MacRoeconomtc factors --- p.20
Chapter 1.1 --- "R2, Coefficients of variables and F-statistic" --- p.20
Chapter 1.2 --- Correlation Among the Macroeconomic Factors --- p.23
Chapter 2. --- Results of MULTIpLe REgREssIons (By Sectors) of thE Stock Prtce and Financial Statement RatIos --- p.24
Chapter 2.1 --- "R2, Coefficients of variables and F-statistic" --- p.24
Chapter 2.2 --- Correlation among the Micro-economic Factors --- p.25
Chapter V. --- DISCUSSIONS --- p.27
Chapter 1. --- Summary of findings --- p.27
Chapter 2. --- Discusston of the impact of economic factors on the stock price --- p.28
Chapter 3. --- "Dtscusston the impacts of ftnancial, statement ratios on the stock price" --- p.29
Chapter 4. --- LImItattons on our model --- p.31
Chapter 4.1 --- Outlier Problems --- p.31
Chapter 4.2 --- Average stock price in the month of announcing annual reports --- p.31
Chapter 4.3 --- Using of annual data --- p.32
Chapter VI. --- FURTHER DISCUSSION ON NOWADAYS PHENOMENA --- p.33
Chapter 1. --- Greenspan's Theory --- p.33
Chapter 2. --- ThE FEvER of Internet/ TEchnoLOgy/ConcEPt Stock --- p.34
Chapter VII. --- RECOMMENDATIONS --- p.35
Chapter 1. --- Other mEthodoLogIEs --- p.35
Chapter 2. --- Other Ratios with same or similar meanings --- p.36
Chapter 3. --- Other indices --- p.37
Chapter 4. --- A new standard： sustatnaBILIty --- p.37
Chapter VIII. --- CONCLUSION --- p.39
APPENDIX --- p.40
BIBLIOGRAPHY --- p.86
27
"The impact of macroeconomic factors on stock returns in China: a factor-augmented regression approach." 2010. http://library.cuhk.edu.hk/record=b5894386.
Full textAbstract:
Li, Nasha.Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.
Includes bibliographical references (leaves 28-30).
Abstracts in English and Chinese.
Abstract --- p.i
摘要 --- p.ii
ACKNOWLEDGEMENTS --- p.iii
Tables and Figures --- p.v
Chapter 1. --- Introduction --- p.1
Chapter 2. --- Literature Review --- p.2
Chapter 3. --- Factor-Augmented Regression Framework --- p.6
Chapter 3.1 --- Estimation of latent factors --- p.8
Chapter 3.2 --- Number of factors --- p.9
Chapter 3.3 --- Interpretation of the factors --- p.11
Chapter 4. --- Data --- p.12
Chapter 5. --- Empirical Results --- p.13
Chapter 5.1 --- Common factors --- p.13
Chapter 5.2 --- Descriptive analysis --- p.16
Chapter 5.3 --- Macroeconomic factors and excess returns predictability --- p.18
Chapter 5.3.1 --- In-sample specifications --- p.18
Chapter 5.3.2 --- Out-of-sample prediction performance --- p.24
Chapter 6. --- Conclusion --- p.26
Reference --- p.28
Appendixes --- p.31
Appendix I: Tables and Figures --- p.31
Appendix II: Data --- p.52
Appendix III: Calculation of the Fama-French three factors --- p.59
28
Ramsumar, Shaun. "Evaluating efficiency of ensemble classifiers in predicting the JSE all-share index attitude." Thesis, 2017. http://hdl.handle.net/10539/23366.
Full textAbstract:
A research report submitted to the Faculty of Commerce, Law and Management, University
of the Witwatersrand, Johannesburg, in partial fulfillment of the requirements for the degree
of Master of Management in Finance and Investment.
Johannesburg, 2016The prediction of stock price and index level in a financial market is an interesting but highly complex and intricate topic. Advancements in prediction models leading to even a slight increase in performance can be very profitable. The number of studies investigating models in predicting actual levels of stocks and indices however, far exceed those predicting the direction of stocks and indices. This study evaluates the performance of ensemble prediction models in predicting the daily direction of the JSE All-Share index. The ensemble prediction models are benchmarked against three common prediction models in the domain of financial data prediction namely, support vector machines, logistic regression and k-nearest neighbour. The results indicate that the Boosted algorithm of the ensemble prediction model is able to predict the index direction the best, followed by k-nearest neighbour, logistic regression and support vector machines respectively. The study suggests that ensemble models be considered in all stock price and index prediction applications.
MT2017
29
"Filtering tools in financial market trading: from moving average to empirical mode decomposition." 2012. http://library.cuhk.edu.hk/record=b5549106.
Full textAbstract:
技術分析包括圖表分析和技術指標分析。比較兩者，前者偏於主觀，並且解讀方式不一，而後者卻能用科學方法來考量。本研究論文先分析市場上流行的技術指標，移動平均線。交易員觀測兩條不同日數的移動平均線，從兩線相交處尋找進出市場的時機。從領域來看，兩條不同日數的移動平均線之差屬於一種帶通濾波器。本文將解釋帶通濾波器與市場進出規則之間的關係。除了移動平均線這種線性方法，我們同時考慮非線性的訊號處理工具。特別地，本研究採用近代提出的經驗模態分解法，得出類似移動平均線相交法的一種新交易策略。我們將文中提及的方法應用在香港及中國過去五年的股票市場，並給出數值結果以顯其效。Technical analysis includes chart pattern reading and stock market indicators. While the former is subjective and open to different interpretations, the latter is quantied in a more scientic way. The moving average, a popular market indicator, will be analyzed in this thesis. Traders monitor the crossovers of two moving averages with different durations to nd market entry timings. From the viewpoint of frequency domain, the difference of two such moving averages is found to be a band-pass filter. The relation between band-pass filter and market entry strategy is explained. Apartfrom linear methods such as the moving average,non linear signal processing tool is also studied. In particular,the modern empirical mode decomposition is applied to derive a new trading strategy similar to the moving average crossover rule. The introduced methods are put to the test in the Hong Kong and Chinese stock markets for the last five years. Numerical results are presented to show the performance of the methods.
Detailed summary in vernacular field only.
Lee, Tsz Ho.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2012.
Includes bibliographical references (leaves 64-66).
Abstracts also in Chinese.
Chapter 1 --- Introduction --- p.7
Chapter 2 --- Linear Filters --- p.11
Chapter 2.1 --- Introduction --- p.11
Chapter 2.2 --- Frequency response --- p.13
Chapter 2.3 --- Recursive filters --- p.16
Chapter 2.4 --- Convolution theorem --- p.20
Chapter 3 --- Momentum Indicators --- p.23
Chapter 3.1 --- Introduction --- p.23
Chapter 3.2 --- Momentum indicators --- p.24
Chapter 3.3 --- Crossover of two moving averages --- p.25
Chapter 3.4 --- MACD and acceleration indicators --- p.27
Chapter 4 --- Profitability of Momentum Indicators --- p.33
Chapter 4.1 --- Introduction --- p.33
Chapter 4.2 --- Trading methodology --- p.34
Chapter 4.3 --- Evaluating the performance --- p.36
Chapter 4.4 --- Results of evaluation --- p.39
Chapter 5 --- Empirical Mode Decomposition --- p.45
Chapter 5.1 --- Introduction --- p.45
Chapter 5.2 --- Instantaneous frequency --- p.46
Chapter 5.3 --- Empirical mode decomposition --- p.47
Chapter 5.4 --- Trading methodology --- p.50
Chapter 5.5 --- Results of evaluation --- p.52
Chapter 6 --- Discussions --- p.57
Chapter A Descriptive Statistics and Additional Numerical Results --- p.60
Bibliography --- p.64
30
"Volatility estimates of ARCH models." 2001. http://library.cuhk.edu.hk/record=b5890793.
Full textAbstract:
Chung Kwong-leung.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.
Includes bibliographical references (leaves 80-84).
Abstracts in English and Chinese.
ACKNOWOLEDGMENTS --- p.iii
LIST OF TABLES --- p.iv
LIST OF ILLUSTRATIONS --- p.vi
CHAPTER
Chapter ONE --- INTORDUCTION --- p.1
Chapter TWO --- LITERATURE REVIEW --- p.5
Volatility
ARCH Models
The Accuracy of ARCH Volatility Estimates
Chapter THREE --- METHODOLOGY --- p.11
Testing and Estimation
Simulation
Chapter FOUR --- DATA DESCRIPTION AND EMPIRICAL RESULTS --- p.29
Data Description
Testing and Estimation Results
Simulation Results
Chapter FIVE --- CONCLUSION --- p.45
TABLES --- p.49
ILLUSTRATIONS --- p.58
APPENDICES --- p.77
BIBOGRAPHY --- p.80
31
"Technical analysis and market inefficiency: a study of the Hong Kong stock market." Thesis, 1997. http://library.cuhk.edu.hk/record=b6073905.
Full textAbstract:
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.
32
"Market size, book-to-market equity and the cross-section of stock returns: an application of the multiple-variable threshold model." 2006. http://library.cuhk.edu.hk/record=b5896519.
Full textAbstract:
Mak Wing Hei.Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.
Includes bibliographical references (leaves 50-52).
Abstracts in English and Chinese.
ABSTRACT --- p.1
摘要 --- p.2
ACKNOWLEDGEMENTS --- p.3
TABLE OF CONTENTS --- p.4
Chapter CHAPTER 1 --- INTRODUCTION & LITERATURE REVIEW --- p.6
Chapter CHAPTER 2 --- DATA DESCRIPTION --- p.12
Chapter 2.1 - --- Coverage and Sources --- p.12
Chapter 2.2 - --- Match Accounting Data with Stock Returns --- p.12
Chapter 2.3 - --- Selection Rule --- p.13
Chapter 2.4 - --- Choice of the Threshold Variables Z --- p.14
Chapter CHAPTER 3 --- THE MODEL --- p.15
Chapter 3.1 - --- Estimating excess returns & Betas --- p.15
Chapter 3.2- --- Estimating Threshold Effects --- p.17
Chapter 3.3 - --- Testing the Number of Threshold Variables --- p.19
Chapter 3.4 - --- Estimating Threshold values --- p.21
Chapter CHAPTER 4 --- PRELIMINARY OBSERVATIONS --- p.21
Chapter 4.1 - --- Excess Returns --- p.21
Chapter 4.2 - --- "Relationship between Beta, Market Size and Book-to-Market Equity" --- p.24
Chapter CHAPTER 5 --- ESTIMATION RESULTS OF THE THRESHOLD MODEL --- p.35
Chapter 5.1 - --- Number of Threshold Variables --- p.35
Chapter 5.2- --- Threshold Value Estimates --- p.39
Chapter 5.3- --- The “and´ح case and “or´حcase --- p.40
Chapter 5.4 - --- Comparison with OLS --- p.45
Chapter CHAPTER 6 --- CONCLUSION --- p.48
REFERENCES --- p.50
33
Alovokpinhou, Sedjro Aaron. "Monetary policy and the stock market structure: some international empirical evidence." Thesis, 2016. http://hdl.handle.net/10539/21485.
Full textAbstract:
Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016.This paper builds upon Blanchard's (1981) model of asset prices, and provides an empirical evidence for good news cases (GNC) and/or bad news cases (BNC) as de ned in Blanchard's paper. We update Blanchard's model by introducing Taylor's rule of monetary policy and explicitly incorporate income distribution in a small, open economy. The ndings indicate that, the labour share is a strong and signi cant variable that should be considered in asset pricing models. The real exchange rate plays a signi cant role in the determination of asset prices in most of the selected countries, but the signi cance is stronger in the emerging markets economies. As the main objective of the paper, the study has found four of the selected countries to be bad news cases and eight of them are good news cases.
MT2016
34
"Asset price determination in the presence of noise traders: a reaction approach." 2000. http://library.cuhk.edu.hk/record=b5890411.
Full textAbstract:
Lau Yuk Hoi.Thesis (M.Phil.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (leaves 109-110).
Abstracts in English and Chinese.
Abstract --- p.i
Acknowledgement --- p.iii
Table of Contents --- p.iv
List of Notations --- p.vi
List of Propositions --- p.vii
List of Figures --- p.viii
List of Appendices --- p.x
Chapter Chapter 1. --- Introduction - The Reaction Approach --- p.1
Chapter Chapter 2. --- Assumption for OLG Model --- p.7
Chapter 2.1 --- Assumption A --- p.7
Chapter Chapter 3. --- Equilibrium Conditions Without Fundamental Risk --- p.9
Chapter 3.1 --- Price as a Weighted Average --- p.9
Chapter 3.2 --- Determination of A and B --- p.11
Chapter 3.2.1 --- Assumption B --- p.12
Chapter 3.2.2 --- RE Line and NE Line --- p.13
Chapter 3.2.3 --- Equilibrium values of A and B --- p.14
Chapter 3.3 --- Rational Expectation on Price Variance (RV Line) --- p.16
Chapter 3.4 --- Noisy Expectation on Price Variance (NV Line) --- p.18
Chapter 3.4.1 --- DeLong's Model --- p.19
Chapter 3.4.2 --- Bhushan's Model --- p.21
Chapter 3.5 --- Change in Relative Perceived Variance --- p.23
Chapter 3.5.1 --- General Problem of OLG Model in Noisy Trading --- p.23
Chapter 3.5.2 --- Changes in Noise Traders' Beliefs --- p.24
Chapter 3.5.3 --- "Relative Perceived Price Variance of n, θ" --- p.25
Chapter 3.5.3.1 --- "Effect of Increasing θ on Price Variance, dC/dθ" --- p.26
Chapter 3.5.3.2 --- "Effect of Increasing θ on Expected Price Level, dp/dθ" --- p.27
Chapter Chapter 4. --- Equilibrium Conditions With Fundamental Risk --- p.31
Chapter 4.1 --- Price as a Weighted Average --- p.32
Chapter 4.2 --- Determination of A and B --- p.34
Chapter 4.2.1 --- Assumption C --- p.34
Chapter 4.2.2 --- RE Line and NE Line --- p.35
Chapter 4.2.3 --- Equilibrium values of A and B --- p.36
Chapter 4.3 --- Rational Expectation on return Variance (RV Line) --- p.37
Chapter 4.4 --- Noisy Expectation on Return Variance (NV Line) --- p.40
Chapter 4.4.1 --- De Long's Model --- p.41
Chapter 4.4.2 --- Bhushan's Model --- p.42
Chapter 4.5 --- Change in Relative Perceived Return Variance --- p.45
Chapter 4.5.1 --- Specification of Noisy Expectation --- p.46
Chapter 4.5.2 --- Relative Perceived Return Variance of n，Θ --- p.46
Chapter 4.5.2.1 --- "Effect of Increasing Θ on Price Variance, dC/dΘ" --- p.47
Chapter 4.5.2.2 --- "Effect of Increasing Θ on Expected Price Level, dp/dΘ" --- p.48
Chapter 4.6 --- Relative Perceived Price Risk versus Relative Perceived Dividend Risk --- p.52
Chapter Chapter 5. --- Conclusion and Discussion --- p.55
Figures --- p.58
Appendices --- p.86
References --- p.109
35
"An empirical study on the effect of launching Chinese stock index futures on the volatility of the stock market." 2014. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291516.
Full textAbstract:
This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple before-and-after method to investigate how the volatility of the constituent stocks changes relative to the non-constituent stocks after the introduction of CSI300 Index Futures. Empirical results revealed that the volatility of the constituent stocks increased as compared with that of non-constituent stocks before and after the inception of the CSI300 Index Futures. The temporal-self comparison for the stocks entered or removed from the CSI300 Index List showed that that the introduction of index futures has a long-term destabilizing effect.本文研究滬深300股票指數期貨的推出對我國股票市場波動率的影響。考慮到中國股市長期波動率下降的趨勢的存在,我們用差上差的方法取代了傳統的簡單事前事後比較方法來研究成分股相對于非成分股波動率在滬深300股票指數期貨推出前後是如何變化的。實證結果顯示成分股股票相對于非成分股股票,波動率在滬深300股票指數期貨推出前後實際上是上升的。對於進入或者剔除出滬深300指數名單的股票的實證研究顯示,這種股票不同狀態的自我比較說明對於滬深300股票指數期貨的推出在長期有失穩作用。
Luo, Shengjie.
Thesis M.Phil. Chinese University of Hong Kong 2014.
Includes bibliographical references (leaves 40-42).
Abstracts also in Chinese.
Title from PDF title page (viewed on 12, October, 2016).
Detailed summary in vernacular field only.
36
Molepo, Makgalemele. "Oil price shocks, oil and the stock market volatility relationship of Africa's emerging and frontier markets." Thesis, 2017. http://hdl.handle.net/10539/23098.
Full textAbstract:
Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017The study examined the relationship between oil price shocks, volatilities and stock indices in the African emerging markets. The ARDL and Bivariate BEKK GARCH models are used in this study. The countries examined are Botswana, Egypt, Mauritius, Morocco, Namibia, Nigeria, South Africa, Tanzania, Kenya, Ghana, Tunisia, and the MSCI’s World Index. The study shows a bidirectional relationship between oil price shocks for Nigeria and the MSCI, but unidirectional flow from oil price shocks to Botswana, Egypt, Mauritius, Morocco, Namibia, South Africa, Tanzania, Kenya, Ghana, and Tunisia. In addition, there is evidence of unidirectional volatility spill over from oil returns to Botswana, Namibia, Tanzania, Mauritius and Kenyan, Nigeria, Tanzania, Kenya and Ghana. Finally, the study found bidirectional volatility between oil and index returns in MSCI, South Africa, and Tunisia.
MT2017
37
"Mispricing of earnings components: empirical evidence from China." Thesis, 2003. http://library.cuhk.edu.hk/record=b6073939.
Full textAbstract:
This study investigates whether earnings components are correctly priced by the Chinese investors. Under the Chinese GAAP, total earnings can be easily decomposed into core earnings and non-core earnings. Core earnings are more persistent than non-core earnings and cash flows from operations are more persistent than accruals, as expected. However, the market underestimates (overestimates) the value implications of current core (non-core) earnings for future earnings. Furthermore, the market overprices (underprices) accruals (cash flows from operations). Therefore, future returns adjusted for risk factors identified in this study are predictable by the information contained in the components of current earnings. Both the portfolio tests and regression analysis generate economically significant abnormal returns that are robust to sensitivity checks. Further analysis suggests that there is no significant difference in the extent of mispricing across firms with different characteristics such as transaction costs, arbitrage risks, investor sophistication, or firm size. This could be due to the measurement errors in the proxy variables for these characteristics.Wu Donghui.
"July 2003."
Advisers: In-Mu Haw; James Xie.
Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2551.
Thesis (Ph.D.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (p. 121-130).
Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Mispricings of earnings components empirical evidence from China.
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.
Abstracts in English and Chinese.
School code: 1307.
38
Alves, da Cunha Jesse. "The performance of secondary equity offerings on the Johannesburg Stock Exchange." Thesis, 2016. http://hdl.handle.net/10539/22136.
Full textAbstract:
A research report submitted to the School of Economic and Business Sciences, Faculty of
Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment
(50%) of the requirements for degree of Master of Commerce in Finance.
Date of submission:
April 2016International studies have widely documented the long-run underperformance of firms conducting secondary equity offerings (SEOs), a phenomenon commonly referred to as the ‘new issues puzzle’. Understanding the market’s reaction to SEOs is vital for managers who are commonly tasked with deciding on how to finance their firm’s operations. This study investigates the short-run and long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998 to 2015, by exploring both rational and behavioural models in predicting SEO behaviour. Event-study analysis reveals that the market generally reacts negatively to the announcement of SEOs with a statistically significant average two-day cumulative abnormal return of -2.6%. Using a buy-and-hold abnormal return approach, as well as factor regression analysis to study the long-run share performance of issuing firms, there is no evidence that issuing firms significantly underperform relative to non-issuing firms over a five-year period when testing for abnormal share return performance with the Capital Asset Pricing Model. Furthermore, issuing firms exhibit no consistent signs of operating underperformance in comparison to non-issuing firms over a fiveyear period. Finally, in evidence contradicting the market timing theory, investor sentiment appears to bear no consistently significant influence on either a firm’s decision to issue equity, or on the short-run and long-run performance of SEOs. Overall, the results imply that the longrun performance of SEOs conducted in South Africa is best described by rational explanations centred on the risk-return framework. There is no consistent evidence of any ‘new issues puzzle’ on the JSE.
MT2017
39
Yee, Louis Patrice Chong San. "Volatility bounds : a multivariate inequality approach." Master's thesis, 2009. http://hdl.handle.net/1885/148231.
Full text
40
Hurst, Simon R. "On the stochastic dynamics of stock market volatility." Phd thesis, 1997. http://hdl.handle.net/1885/145358.
Full text
41
Wang, Qi. "Volatility : a market-based approach." Phd thesis, 2005. http://hdl.handle.net/1885/150234.
Full text
42
Young, Nicara Romi. "Liquidity and the convergence to market efficiency." Thesis, 2017. https://hdl.handle.net/10539/24391.
Full textAbstract:
Master of Commerce (Finance) in the Finance Division, School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg, 6 September 2017The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE), and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis, and Shiller’s (1981; 2003) informational efficiency designation. Efficiency was tested using measures of return predictability, a random walk benchmark, and price volatility; liquidity was measured using market turnover. The tests were conducted on JSE Top 40 shares across three regimes, spanning January 2012 – June 2016. The regimes are demarcated by two structural breaks in the JSE’s microstructure: the 2012 trading platform upgrade, and the 2014 colocation centre launch. The results show that past order imbalances are a significant predictor of daily returns, although the significance of this predictability has dissipated over time. Return predictability is not influenced by liquidity. In fact, there is evidence that illiquidity weakens return predictability. Prices were closer to random walk benchmarks during the third regime. In consideration of informational efficiency, during the latter two regimes price volatility is greater during trading versus non-trading hours. This is coupled with an emergence of nonlinear return dependence, which is indicative of greater mispricing. Thus, over the three regimes, market efficiency improved in the sense of the EMH, but informational efficiency deteriorated. The study contributes to the field by: introducing an inverse measure of market efficiency; providing insight into the measure’s time variation and relation to liquidity; and demonstrating that market efficiency tests should incorporate its dual meanings, enabling richer understanding of their intersection.
GR2018
43
McKane, Graeme. "Liquidity and size effects on the JSE." Thesis, 2017. https://hdl.handle.net/10539/24389.
Full textAbstract:
A research report presented in partial fulfilment (50%) of the requirements for the degree of Master of Commerce in Business Economics (Finance) in the School of Economic and Business Sciences at the University of Witwatersrand, Johannesburg, 6 October 2017This study tests the efficacy of the liquidity variables of Liu (2006) in determining the existence of a liquidity premium on the South African market and finds evidence of a significant liquidity effect. This factor is determined to be robust and to proxy for a different underlying effect than the Fama-French (1992) effects and the market risk premium. The analysis is performed through portfolio sorts and tests for difference of portfolio means, as well as both a univariate and multivariate regression analysis. The sample period covers 16 years from 2000 to 2015. The relationship between size and liquidity is clear, however liquidity is found to be separate from the size effect. This study recommends the use of a liquidity-augmented model for the analysis of asset returns in South Africa.
GR2018
44
Bettman, Jenni Lee. "Fundamental and technical analysis : substitutes or complements?" Phd thesis, 2007. http://hdl.handle.net/1885/147120.
Full text
45
"Extreme value analysis of Hong Kong's stock market." 2000. http://library.cuhk.edu.hk/record=b5890390.
Full textAbstract:
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
46
"A profitability comparison of modal point and closing price." 2003. http://library.cuhk.edu.hk/record=b5891673.
Full textAbstract:
Chan Chi-fai Quincy.Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 52-55).
Abstracts in English and Chinese.
ACKNOWLEDGMENTS --- p.iv
LIST OF TABLES --- p.v
LIST OF ILLUSTRATIONS --- p.vi
CHAPTER
Chapter ONE --- INTRODUCTION --- p.1
Chapter TWO --- LITERATURE REVIEW --- p.4
Chapter THREE --- DATA AND METHODOLOGY --- p.8
Moving Averages (MA)
Relative Strength Index (RSI)
Buy-and-Hold (B & H) and the Annual Return
Transaction Costs and the Adjusted Return
Chapter FOUR --- EMPIRICAL RESULTS --- p.13
Hong Kong-HSI
Results Without Short Selling
Results With Short Selling
Results
Singapore - STII
Results Without Short Selling
Results With Short Selling
Results
Taiwan-TWSE
Results Without Short Selling
Results With Short Selling
Results
Korea-KSP
Results Without Short Selling
Results With Short Selling
Results
Chapter FIVE --- CONCLUSION --- p.30
TABLES --- p.32
ILLUSTRATIONS --- p.45
BIBOGRAPHY --- p.52
47
"Two essays on institutions, corporate government and firms' information environments: evidence from China." Thesis, 2011. http://library.cuhk.edu.hk/record=b6075102.
Full textAbstract:
Although idiosyncratic return volatility has been used in a number of studies to capture the informativeness of stock prices, the relation between the two is still under controversy. Researchers raise more questions about the existence of such a relation in emerging markets since the efficient market hypothesis (EMH) may not sustain in these markets. Therefore, use idiosyncratic return volatility estimated from the common asset pricing models as a measure of stock price informativeness becomes questionable. The first part of this thesis serves to validate the use of idiosyncratic return volatility as a stock price informativeness measure in the China settings. In particular, using a battery of information flow proxies, I empirically test the relation between stock price informativeness and idiosyncratic return volatility; the empirical evidence supports the existence of such a relation. However, there exists an inverse U-shape relation between firm-specific information and idiosyncratic return volatility. Therefore, in the second essay, when using idiosyncratic return volatility as a measure of informativeness of stock prices, I truncate the sample as Morek et al. (2000) do in their study.From an institutional perspective, my dissertation attempts to explain why firms operating in emerging markets such as China have inferior information environments. The main theme of this thesis is to provide firm-level evidence that the institutional settings in China change firms' incentives to provide firm-specific information to the stock market and thus impair the information environments and lower the idiosyncratic return volatilities of these firms.
Keywords: Institutions; information environments; performance hiding
The second part of this thesis addresses the research question on how firms' information environments are shaped by a country's institutions. Morek et al. (2000) document that more developed countries usually have better information environments, and vice versa. The authors offer an "institutional explanation" that attributes the poor information environments in emerging markets to the lack of property rights protections in these markets. However, previous literature provides only limited evidences on how institutions affect the supply of firm-specific information to the market. Hence, this paper uses China as case to investigate how extensive government interventions in China generate incentives for firms to hide their information. I find that, first, excessive local government in a region increases firms' incentives to hide their true performance, after controlling for firm characteristics. A further analysis shows that the directions of firms' hiding activities vary across firms and are contingent on the nature of the firms' ultimate owners, because of different political pressures exerted. In particular, I find that family firms are more likely to suppress good news to avoid governments' "grabbing hands", while State-owned Enterprises (SOEs) are more likely to hide their bad performances to protect local governments' image from being damaged. Second, firms' hiding activities do impair firms' information environment, resulting in lower idiosyncratic stock return volatilities. To strengthen this argument, I test the "information link" between firms' hiding activities and their information environments. I find that firms' incentives to hide their performances reduce market participants' motives to acquire private information, evident by fewer analyst following. Moreover, my results show that involvement of information intermediaries alleviates the negative effects of firms' hiding activities on the information environments.
pt. 1. Information environments in China: availability of firm-specific information to the capital market -- pt. 2. Government intervention, firms' hiding activities and information environments: evidence from China.
Lin, Jingrong.
Adviser: T. J. Wong.
Source: Dissertation Abstracts International, Volume: 73-04, Section: A, page: .
Thesis (Ph.D.)--Chinese University of Hong Kong, 2011.
Includes bibliographical references.
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 Information and Learning, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Abstract also in Chinese.
48
"Nonparametric regression-based pattern recognition method for stock price movements." 2011. http://library.cuhk.edu.hk/record=b5896684.
Full textAbstract:
Poon, Ka Ho.Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.
Includes bibliographical references (leaves 62-63).
Abstracts in English and Chinese.
Abstract of the thesis entitled --- p.ii
摘要 --- p.iii
Acknowledgements --- p.iv
Chapter Section 1. --- Introduction --- p.1
Chapter Section 2. --- Review of Useful Concepts --- p.4
Chapter 2.1 --- Terms and Methodologies - Pattern Recognition --- p.4
Chapter 2.1.1 --- Rolling Windows --- p.4
Chapter 2.1.2 --- Smoothing Function - Kernel Regression --- p.5
Chapter 2.1.3 --- Filtering Function ´ؤ Search for Extrema --- p.6
Chapter 2.1.4 --- Filtering Function - The Pattern Detection Algorithm --- p.7
Chapter 2.1.5 --- Risk-adjustment Model --- p.10
Chapter Section 3. --- Data and Methodology --- p.12
Chapter 3.1 --- Data --- p.12
Chapter 3.2 --- Methodology --- p.12
Chapter Section 4. --- Results --- p.17
Chapter Section 5. --- Further Extension --- p.21
Chapter Section 6. --- Discussions and Conclusion --- p.22
APPENDIX 1 --- p.23
References --- p.62
49
Alruwaili, Bader Lafi Q. "Time series properties of Saudi Arabia stock price data." 2013. http://liblink.bsu.edu/uhtbin/catkey/1709508.
Full textAbstract:
Access to abstract permanently restricted to Ball State community only.Estimation and forecasting of time series data -- Fitting of Saudi stock price by deterministic models -- Determination and fitting of the ARIMA models for Saudi stock price data -- Evaluation of forecasts by cross validation.
Access to thesis permanently restricted to Ball State community only.
Department of Mathematical Sciences
50
"Exchange rate variability and the riskiness of US multinational firms: evidence from the Asian turnmoil." 2001. http://library.cuhk.edu.hk/record=b5890751.
Full textAbstract:
Chen Chen.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.
Includes bibliographical references (leaves 122-129).
Abstracts in English and Chinese.
ABSTRACT --- p.ii
ACKNOWLEDGEMENT --- p.iv
TABLE OF CONTENTS --- p.v
LIST OF FIGURES --- p.vii
LIST OF TABLES --- p.viii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter 1.1 --- Introduction --- p.1
Chapter 1.2 --- Objectives and Motivation --- p.5
Chapter 1.3 --- The Asian Crisis --- p.9
Chapter 1.4 --- Procedures and Findings --- p.18
Chapter 1.5 --- Summary --- p.20
Chapter II. --- LITERATURE REVIEW --- p.21
Chapter 2.1 --- Definition and Determinants --- p.21
Chapter 2.2 --- Measurement Model --- p.25
Chapter 2.3 --- Exchange Rate Fluctuation and Market Value of the Firm --- p.28
Chapter 2.3.1 --- Exchange Rate Fluctuation and Stock Return --- p.28
Chapter 2.3.2 --- Some Problems of the Measurement Model --- p.31
Chapter 2.4 --- Exchange Rate Fluctuation and Market Risk of the Firm --- p.42
Chapter 2.5 --- Summary --- p.45
Chapter III. --- HYPOTHESES，METHODOLOGY & DATA --- p.47
Chapter 3.1 --- Hypotheses --- p.47
Chapter 3.2 --- Research Design --- p.50
Chapter 3.3 --- Sample Selection --- p.56
Chapter 3.3.1 --- Selection of Sample Group --- p.56
Chapter 3.3.2 --- Selection of Control Group --- p.61
Chapter 3.3.3 --- Comparison of Two Groups --- p.62
Chapter 3.4 --- Data and the Measurement of the Variables --- p.64
Chapter 3.5 --- Summary --- p.67
Chapter IV. --- EMPIRICAL RESULTS AND DISCUSSION --- p.68
Chapter 4.1 --- Exchange Rate Variability and Stock Return Volatility --- p.68
Chapter 4.2 --- Exchange Rate Variability and Market Risk --- p.81
Chapter 4.3 --- Interpretations --- p.87
Chapter 4.3.1 --- Phenomenon 1: Cost of Equity and Net Cash Flows --- p.89
Chapter 4.3.2 --- Phenomenon 2: Increased Return Variability and the US Stock Market Return --- p.92
Chapter 4.4 --- Alternative Explanation --- p.96
Chapter 4.5 --- Summary --- p.99
Chapter V. --- CONCLUDING REMARKS --- p.100
APPENDICES
APPENDIX 1. Firm Lists --- p.105
APPENDIX 2. Estimates of CAPM Betas --- p.115
BIBLIOGRAPHY --- p.122