Dissertations / Theses on the topic 'Stocks – Prices'
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1
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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Rahou, Amar A. M. "A generalised framework for modelling & forecasting share prices : a field study on modelling and forecasting the share prices from the banking sector." Thesis, University of South Wales, 2009. https://pure.southwales.ac.uk/en/studentthesis/a-generalised-framework-for-modelling--forecasting-share-prices(10fcca19-ff9a-4497-a0be-55f3e980cbed).html.
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Modelling and forecasting the stock market remains a challenge because of the high volatilities in individual stock prices and the market itself. Hence, this topic has received much attention in the literature since forecast errors represent the systematic risk faced by investors. Therefore, the ability to reliably forecast the future values of the shares would provide essential help in reducing that risk to those investors. The main aim of this research is to develop and calibrate a framework that can be used to model the daily share prices of the companies from the banking sector and hence produce informative and reliable one step-ahead forecasts using an adaptive BPNN. To this end, a novel forecasting algorithm is proposed. This algorithm proposes six steps that, when followed, possibly will lead to obtaining superior forecasting models for the share prices from the banking sector. In addition, novel technical indicators, and further information reflecting market knowledge were developed in this research so as to improve the modelling and forecasting share prices for the banking sector, alongside a novel application of the correctly identified turning points which provided an accurate assessment of the performance of the forecasting models. Furthermore, a selection of a set of inputs that are salient to financial data was identified. The research was to inform and improve share price forecasts of the banking sector. The historic open share prices for HSBC, Lloyds TSB, RBS and Barclays were used as case studies and the results give evidence to conclude that useable forecasting models can be obtained by employing the developed framework to the share prices from the banking sector in terms of the correctly identified turning points and the direction of the shares which are achieved more than 70% of the time. The empirical results show that using the market knowledge as input generally improved the modelling and forecasting of the share prices from the banking sector.
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Acree, E. Bryan. "Volatility spillovers in international equity markets." Thesis, Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/30969.
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Sabherwal, Sanjiv. "Price discovery for dually traded securities : evidence from the US-Listed Canadian stocks." Diss., Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/29160.
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Ho, Yueh-Fang. "Three essays on seasoned equity offerings /." Philadelphia, Pa. : Drexel University, 2003. http://dspace.library.drexel.edu/handle/1860/251.
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Wong, Sau-shing Pierre, and 黃守誠. "A study of the correlation of share price movements of Taiwan listed companies with cross holdings." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B31268390.
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Pu, Hansong. "An Analysis of Preferred Equity Redemption Cumulative Stock." Thesis, University of North Texas, 1994. https://digital.library.unt.edu/ark:/67531/metadc277588/.
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This dissertation examines whether Percs, Preferred Equity Redemption Cumulative Stocks, are properly priced regarding to the relevant securities, such as the underlying common stock, the long-term call option of the stock, and so on. Test results indicate that Percs were overpriced with respect to the equivalent packages composed of the relevant securities. Further tests on arbitrage restrictions show that transaction costs would prevent arbitrage profits. This dissertation also examines the market reactions to Percs offerings. Test results reveal that the market reactions to the announcement of Percs offering and the actual issuance are both significantly negative. Compared to the market reaction on common stock offering announcement, the market reaction on Percs offering announcement is weaker. The overpricing of Percs and the weaker reaction of the market suggest that Percs may have advantages in transaction costs, taxes and some corporate finance issues.
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Li, Rong-Jen. "Combined Leverage and the Volatility of Stock Prices." Thesis, North Texas State University, 1985. https://digital.library.unt.edu/ark:/67531/metadc331340/.
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Much has been written during the past decade to explain the relationship between financial and operating leverage and stock-price volatility. However, the relationship between combined leverage and stock-price volatility has yet to be fully explored. Mandelker and Rhee's (MR) recent study uses both operating and financial leverage in a regression (equivalent to the traditional total leverage—DTL) and shows that both types of leverage are positively associated with common stock betas. Huffman recently demonstrated that there are interactions between operating leverage and financial leverage. Therefore, MR's model could be oversimplified. This study examines the relationship between firms' combined leverage and their stock-price volatility. The study also examines industry and industry growth to see if the relationship is influenced by these factors. The question is whether DOCL is a better risk measure than DTL and whether there is an interaction between operating and financial leverage. The inferences that can be drawn from the study's results are as follows: (a) Stock risk is a function of combined leverage; (b) Industry significantly influences the relationship between stock risk and DOCL; (c) High growth increases the relationship between stock risk and DOCL; (d) Combined leverage (DOCL) is a better risk measure than total leverage (DTL). Further, the problem with the traditional total leverage measure is the omission of the interaction between DOL and DFL. This is consistent with Huffman's theory and suggests Mandelker and Rhee's model is oversimplified.
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鄧梅君 and Mui-kwan Gina Tang. "The relationships between money supply and equity price." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1985. http://hub.hku.hk/bib/B44569531.
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Kemerer, Kevin L. "Accounting variables, stock splits and when-issued trading." Diss., Virginia Tech, 1990. http://hdl.handle.net/10919/39702.
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When-issued trading, the contractual agreement for the sale and purchase of shares to be issued in the future (when-issued securities), typically occurs after stock split announcements. Curiously, when-issued trading does not always exist for a stock-splitting firm's shares even though the shares are eligible for when-issued trading.
Although stock splits have been the subject of a large number of studies, intriguing questions concerning these events remain unanswered. In particular, academia has yet to explain adequately the positive average abnormal returns associated with stock split announcements.
These two peculiar phenomena are examined. A major objective of this dissertation is to determine whether there are systematic differences between those stock-splitting firms whose shares are traded on a when-issued basis and those whose shares arc not.
A logistic regression model was constructed, using information with respect to nine accounting variables, to determine if there are systematic differences in accounting information that are useful in classifying stock-splitting firms as being associated with when-issued trading. The classification accuracy of the logistic regression model was significantly better than a random walk model, but was not better than the maximum chance model. The results of the final model indicate that size of the stock-splitting firm is the most significant factor affecting the probability that a stock-splitting firm's shares
are traded on a when-issued basis. The probability that a stock-splitting firm's shares will be traded on a when-issued basis increases with firm size.
The presence/absence of when-issued trading indicates that investors do not react to stock splits in a consistent manner. Therefore, the stock price behavior around the stock split announcements was examined and the difference in the reaction to announcements of when-issued traded and non-when-issued traded firms was tested for statistical significance. The results indicate that the market responds more favorably to the stock split announcements made by non-when-issued traded firms.
The variation in the stock price behavior over a two-day stock split announcement period was analyzed cross-sectionally to determine whether the market reaction displayed through stock prices is related to selected accounting variables. Again, size was the most significant factor. In this case, size was negatively related to the stock price behavior suggesting that stockholders of larger firms earn lower abnormal returns. Another interpretation would be that stock splits are viewed more favorably if authorized by smaller firms.
Overall, the results of this study suggest that all stock-splitting firms are not similar and that the market does not react consistently to the announcement of stock splits of all firms. It seems that the larger the firm, the more likely its shares will be traded on a when-issued basis after the stock split is announced. Furthermore, the market does not react as positively to stock split announcements of larger firms as it does to announcements of smaller firms. My conclusion is that larger firms are more efficiently valued and, accordingly, the announcements of stock splits by larger firms are less informative than for smaller ones.Ph. D.
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Leung, Kai-wan, and 梁啓雲. "The behavior of stock prices in relation to the efficient market hypothesis from the perspective of information costs." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31221336.
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Beyer, Scott B. "Recovering jump risk and diffusion parameters implied by market prices of short-dated options /." free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p3099610.
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Liu, Taisheng. "Stock market overreaction and underreaction : theoretical explanations and empirical evidences." HKBU Institutional Repository, 2006. http://repository.hkbu.edu.hk/etd_ra/693.
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Sjödin, Wågberg Anton. "Prices on electricity and the prices on stocks : -A Vector autoregressive approach." Thesis, Umeå universitet, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-153448.
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This study will investigate if a relationship exists between the price of electricity and the Swedish stock market. This study will also try to investigate what consequences an increase in the price of electricity will have on the return of the Swedish stock market. Economic theory and earlier literature will then be used to try to explain the results obtained in this study. The results from the tests performed in this study imply that a one-way Granger-causality exists between the prices on electricity and the price on the OMX 30. The impulse response functions performed shows that a positive shock in the price on electricity will predict an increase in the return of the OMX 30 in the short run. This effect may come from the existence of a countercyclical risk premium. Although further research needs to be performed to conclude that this is the true reason for the observed result.
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Chen, Gang. "The Chinese stock market : an emperical analysis of market segmentation, inter-relationships and theoretical versus actual stock prices." Thesis, University of Aberdeen, 2011. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=165872.
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This thesis contributes to our knowledge of the behaviour of the Chinese stock market by offering an empirical investigation into issues such as market segmentation, inter‐relationships between Chinese stock markets and inter‐relationships with foreign stock markets. Basic questions which have been typically analysed for developed stock markets are considered in this thesis. These include an analysis of core concepts such as volatility; causal links with economic variables and the reasons why the theoretical stock price may be different from the actual stock price. Methodological methods include; cointegration, generalised autoregressive heteroscedastic modelling (GARCH), vector autoregressive framework modelling (VAR) and panel data analysis. Both daily and monthly observations are used over a time period from 1996 to 2006. The results indicate that there is a rich set of reasons why we may observe phenomena such as a discount on B shares and a relationship between A shares and B shares. The findings also suggest that China is not isolated from the rest of the world and that there is evidence of inter‐relationships with foreign stock markets and that Chinese stock market prices are close to their fundamental value. This is not generally the finding for developed stock markets. Overall, it appears that the methodological approaches usually associated with developed stock markets can serve us well as useful tools in creating a deeper understanding of the underlying fundamentals describing the Chinese stock market.
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Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.
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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.
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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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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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Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.
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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE's schedule 21 of Listing requirements. The focus of this dissertation is thus centred on whether the current adopted methodologies to establish a fair and reasonable pre-IPO share price is effective. To achieve this, global pricing methodologies were assessed within the framework of various valuation techniques used by South African Designated Advisors.
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Schmitz, Anthony. "Effect of oil prices on returns to alternative energy investments." Thesis, Atlanta, Ga. : Georgia Institute of Technology, 2009. http://hdl.handle.net/1853/31843.
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Thesis (M. S.)--Economics, Georgia Institute of Technology, 2010.Committee Chair: Vivek Ghosal; Committee Member: Byung-Cheol Kim; Committee Member: Chun-Yu Ho; Committee Member: Tibor Besedes. Part of the SMARTech Electronic Thesis and Dissertation Collection.
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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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Joslyn-Battaglia, Kari. "The Relationship Between an Industry Average Beta Coefficient and Price Elasticity of Demand." Thesis, North Texas State University, 1986. https://digital.library.unt.edu/ark:/67531/metadc500999/.
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The price elasticity of demand coefficient for a good or service is a measure of the sensitivity, or responsiveness, of the quantity demanded of a product to changes in the price of that product. The price elasticity of demand coefficients were generated for goods and services in nine different industries for the years 1972 to 1984. A simple linear demand function was employed, using the changes in the Consumer Price Index as a proxy for changes in price and Personal Consumption Expenditures, taken from the National Income and Product Accounts, as a proxy for quantity. Beta measures the sensitivity, or responsiveness, of a stock to the market. An industry average beta coefficient was generated for each of the nine industries over the time period, using the beta coefficients published by Value Line for firms which met certain criteria. In order to test the relationship between the price elasticity of demand and an industry average beta coefficient, a simple regression was performed using the beta coefficient as the dependent variable and the price elasticity of demand coefficient as the independent variable. The results broke down into 3 basic categories: those industries for which there seemed to be no relationship, those industries where there was a fairly strong probability that a relationship exists and the price elasticity of demand explains at least part of the variation in beta coefficients, and those industries where there was a very high probability that a relationship does exist and the variation in the price elasticity of demand coefficients substantially explained the variation in the industry average beta coefficients. The first category includes the food at home, tobacco, and shoe industries. The second category includes the men's clothing, the women's clothing, and the alcoholic beverages industries, and the third includes the automobile, airline, and fast-food restaurant industries.
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Xia, Le, and 夏樂. "Two essays in financial economics." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B39557546.
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Han, Rikang, and 韩日康. "The effects of age structures on asset prices : evidence from 18 OECD countries." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hdl.handle.net/10722/195976.
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In Japan, the turning point for its housing and stock prices at the beginning of the 1990s coincided with the turning point for its middle-aged-to-younger population ratio. In the United States, the financial crisis in 2007 also coincided with the turning point for the same ratio. Were these mere coincidences or was there a causal relationship between the middle-aged-to-younger population ratios and asset prices?
In this study, the author proposed two models, namely the income and investment channels, and six hypotheses. The empirical evidence from 18 Organisation for Economic Co-operation and Development (OECD) countries from 1970 to 2010 showed that the middle-aged-to-younger population ratio influenced stock prices through both the income and investment channels and the housing prices mainly through the income channel. The income model suggested that the growth in the middle-aged-to-younger population ratio increased the average national income and, hence, asset prices. The investment model allowed individuals to take advantage of this trend in asset appreciation by saving and investing. As a result, asset prices went up. These discoveries might help us understand the causal relationship between the middle-aged-to-younger population ratio and asset prices and, in the long run, the co-movement of stock and housing prices.published_or_final_version
Real Estate and Construction
Master
Master of Philosophy
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Oliveira, Lima Jorge Claudio Cavalcante de. "Fractional integration and long memory models of stock price volatility : the evidence of the emerging markets." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38164.
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Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, this study provides empirical evidence to an aspect of fractional differencing and long memory processes, or the long memory of volatility. Evidence of long memory persistence is explored using stock price indices for eight emerging economies in both Asian and Latin American markets. The concern with the presence of long memory in higher moments of return series was first drawn by Ding, Granger and Engle (1993), using asset returns. Baillie, Bollerslev and Mikkelsen (1996) developed the fractionally integrated GARCH, or FIGARCH, process to represent long memory in volatility. The measure of long-memory persistence in the volatility is employed either using the original rescaled range statistic by Hurst (1951) and its modified version proposed by Lo (1991). Further analysis of the presence of long memory persistence is conducted using autocorrelation analysis. All the findings point in the same direction, that is, the existence of long memory in volatility irrespective of the measure chosen. Estimation of different models of volatility is undertaken beginning with the ARCH specification and until the FIGARCH model. The results show the effects to be higher in Latin American countries than in the Asian ones. This result seems consistent with the degree of intervention in the Latin American markets, known to be much higher.Other possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study.
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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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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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"An application of two forecasting models for predicting price movements of a number of selected stocks in Hong Kong." Chinese University of Hong Kong, 1986. http://library.cuhk.edu.hk/record=b5885605.
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"The cross-sectional relationship between the fundamental variables and returns of Hang Seng Index constituent stocks of Hong Kong stock market." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888684.
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by Ho Man Shing, William.Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 41-42).
ABSTRACT --- p.i
TABLE OF CONTENTS --- p.iii
LIST OF FIGURE --- p.v
LIST OF TABLES --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Objectives of Research Project --- p.2
Chapter II. --- LITERATURE REVIEW --- p.4
Research work in the U. S --- p.4
Research work in Japan and H. K --- p.5
Chapter III. --- METHODOLOGY --- p.7
Research design --- p.9
Formation of portfolios --- p.10
Univariate Analysis --- p.11
Regression Analysis --- p.11
Data collection --- p.12
Chapter IV. --- RESULTS --- p.13
Univariate analysis of returns and fundamental variables --- p.13
Regression analysis of returns and fimdamental variables --- p.17
Security level regression analysis of returns and fimdamental variables --- p.17
Portfolio level regression analysis of returns and fundamental variables (ranked by different fundamental variables) --- p.21
Portfolio level regression analysis of returns and fundamental variables (ranked by two different fundamental variables) --- p.27
Effects of order of agglomeration and different combinations --- p.30
Chapter V. --- SUMMARY AND CONCLUDING REMARKS --- p.37
BIBLIOGRAPHY --- p.41
APPENDICES
Chapter A --- List of Hang Seng Index Constituent Stocks during 1989 to1994
Chapter B --- Print-out of the Regression Results at Security Level
Chapter C --- Print-out of the Regression Results at Portfolio Level (E/P then LS)
Chapter D --- Print-out of the Regression Results at Portfolio Level (LS then E/P)
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"Movement of stock price and trading volume--: a comparison of Shanghai and Shenzhen stock market." 2000. http://library.cuhk.edu.hk/record=b5890180.
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by Kei Man Keung, Tong Suk Yi.Thesis (M.B.A.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (leaves 35-39).
ABSTRACT --- p.iii
TABLE OF CONTENTS --- p.iv
LIST OF TABLES --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- THE CHINESE CAPITAL MARKET --- p.6
Chapter III. --- DATA AND METHODOLOGY --- p.10
Cases Description --- p.10
Event 1: Hong Kong Handover (1 July 1997) --- p.11
Event 2: Zhu Rongji Elected the Prime Minister (March 1998) --- p.11
Event 3: U.S.- China Summit (25 June 1998) --- p.12
Event 4: The Chinese Embassy Bombingin Yugoslavia (8 May 1999) --- p.13
Event 5: China's WTO Entry (15 November 1999) --- p.13
Event 6: Macau Handover (20 December 1999) --- p.14
Three Models --- p.15
Chapter IV. --- EMPIRICAL RESULTS --- p.20
Chapter V. --- CONCLUSION --- p.26
APPENDIX --- p.28
BILIOGRAPHY --- p.35
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Ramsumar, Shaun. "Evaluating efficiency of ensemble classifiers in predicting the JSE all-share index attitude." Thesis, 2017. http://hdl.handle.net/10539/23366.
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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
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"On the performance of oscillators on G7 stock market indices." 2003. http://library.cuhk.edu.hk/record=b5891652.
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Ng Wing-kam.Thesis (M.Phil.)--Chinese University of Hong Kong, 2003.
Includes bibliographical references (leaves 54-55).
Abstracts in English and Chinese.
Chapter ONE --- INTRODUCTION --- p.1
Chapter TWO --- DATA AND TECHNICAL TRADING RULES --- p.4
Data
Technical Trading Rules
RSI
MACD
Chapter THREE --- EMPIRICAL RESULTS --- p.10
Sample Statistics
Technical Trading Rules (Without Transaction Cost)
MACD
RSI
Technical Trading Rules (With Transaction Cost)
MACD
RSI
Chapter FOUR --- CONCLUSION --- p.37
TABLES --- p.40
BIBLOGRAPHY --- p.54
33
"The intertemporal relation among the G7 stock markets." 2004. http://library.cuhk.edu.hk/record=b5892214.
Full textAbstract:
Wong Ying Chiu.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 62-69).
Abstracts in English and Chinese.
Chapter 1. --- Introduction and Literature Review --- p.1
Chapter 2. --- Methodology --- p.9
Chapter A. --- OLS Regression and Correlation
Chapter B. --- Simulation Trade
Chapter 3. --- Data --- p.15
Chapter 4. --- Empirical Findings --- p.21
Chapter A. --- OLS Regression and Correlation
Chapter B. --- Simulation Trade
Chapter 5. --- Conclusion --- p.32
Chapter 6. --- Figures and Tables --- p.34
Chapter 7. --- Bibliography --- p.62
Chapter 8. --- Appendix --- p.70
34
"The effects of price limits and stock characteristics on Chinese A-share market during financial crises." 2013. http://library.cuhk.edu.hk/record=b5549325.
Full textAbstract:
漲跌停制度是一種意圖控制股市價格大幅波動的強制性政策。雖然漲跌停制度被很多國家都採用，但是關於該制度的效果的結論一直都是具有很大爭議性。除此之外，之前的一些研究還表明在不同國家的股票市場中，漲跌停制度的效果也是不一樣的。然而，作為一個獨特且年輕的股票市場，中國A股市場也擁有漲跌停制度，但是關於它的效果的研究卻很稀缺。其中，關於在特殊經濟狀況下，例如金融危機，漲跌停的效用基本上沒被研究過。這是一個很重要的研究課題，因為金融危機這種特殊經濟時期會引起股市的大幅波動，這正是漲跌停制度發揮作用也是我們研究其效果的最佳時機。因為以上原因，這篇論文的主題就是挖掘中國A股的漲跌停制度在金融危機時期的效果，我們希望檢驗是否金融危機引起的特殊市場氛圍會使漲跌停的效果與平常不同。我們將一種改進的關於漲跌停效果的經典方法應用於金融危機期間的股票交易數據上，來對三個假設（波動性溢出, 延遲價格發現和妨礙交易）進行檢驗。相比與之前的方法，我們進行了改進，主要是採用了以漲跌停價格收市和包含了連續漲跌停的數據。此外，爲了更好滴瞭解漲跌停制度的效果，我們還對那些在金融危機期間容易漲跌停的股票研究其主要特點。在本論文中，我們除了引進每個股票的基本面指標，還引進了具有中國特色的因子，包括國有股份和行業等因子，通過廣義（GMM）的方法來進行分析。這些股票特徵希望能夠為於證監會將來制定漲跌停制度和投資者在金融危機期間于中國的投資提供一定信息。
Price limit is a policy originally utilized to control extreme price movements in stock markets. As a widely adopted policy in numerous countries, price limit has led to several debates regarding its effects on stock markets. Moreover, previous studies have shown that price limit has different effects on different markets and time periods. However, the effects of the price limit system in the Chinese A-share market, a unique and young stock market, has yet to be fully investigated. Furthermore, few works have studied the price limit during special economic conditions, such as financial crises, which should be the best time for price limit to play its role. Additionally, these conditions are the most ideal times at which to test the effects of the price limit. Motivated by these conditions, this thesis explores the effects of price limits on the Chinese A-share stock markets during financial crises in order to examine whether the market atmosphere of investor sentiment caused by special economic conditions has varied impacts on the effects of price limits. By employing the recognized methods, this thesis aims to test the three hypotheses of volatility spillover, delayed price discovery, and trading interference using stock data during financial crisis. Compared with previous studies, this thesis empirically analyzes the effects of price limits with our improved methodology of utilizing closing-hitting observations.
To gain a better understanding of the price limit’s effect, this thesis also investigates the characteristics of stocks that hit the price limits more frequently under this special economic condition. In this study, the Generalized Method of Moments regression model is utilized by introducing financial indicators for each individual stock and some special factors in the Chinese A-share markets, such as state-owned share and industries. Identifying the characteristics of stocks that frequently hit the limit can provide some information to investors when financial crises occur in the Chinese A-share markets.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
Wang, Dingyan.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2013.
Includes bibliographical references (leaves 54-55).
Abstracts also in Chinese.
Abstract --- p.3
Acknowledgement --- p.6
Chapter 1 --- Introduction --- p.11
Chapter 1.1 --- Introduction --- p.11
Chapter 2 --- Background --- p.16
Chapter 2.1 --- Background of Chinese Stock Markets --- p.16
Chapter 2.2 --- Literature Review --- p.19
Chapter 3 --- Effects of Chinese A-Share Price Limits --- p.22
Chapter 3.1 --- Data --- p.22
Chapter 3.2 --- Improvement of Methodology --- p.25
Chapter 3.3 --- Empirical Analysis --- p.26
Chapter 3.3.1 --- Test of the Volatility Spillover Hypothesis --- p.27
Chapter 3.3.2 --- Test of the Delayed Price Discovery Hypothesis --- p.36
Chapter 3.3.3 --- Test of the Trading Interference Hypothesis --- p.38
Chapter 4 --- Characteristics of Stocks that Hit the Limit --- p.46
Chapter 4.1 --- Characteristics of Stocks that hit the limit during the Financial Crisis --- p.46
Chapter 5 --- Conclusions --- p.52
Chapter 5.1 --- Conclusions --- p.52
Bibliography --- p.54
35
Golding, John. "Stock prices as a leading indicator of economic activity." Thesis, 2011. http://hdl.handle.net/10539/10673.
Full textAbstract:
Most asset pricing theories suggest that asset prices are forward looking and reflect market expectations of future earnings. By aggregating across companies, aggregate market prices may then be used as leading indicators of future Real GDP, Real Industrial Production and the level of Inflation. A Hodrick & Prescott (1981) filter is used to detrend the data, which is compiled on an annual and quarterly basis from the JSE, to test whether stock returns are in fact useful for indicating economic activity. An autoregressive model is constructed, yielding strong evidence of significance, in the first four quarters on a quarterly basis, and two years on an annual basis, for Real Stock Prices. Therefore, in terms of a South African context, the Cycle of Real Stock Prices are a leading indicator on the JSE.
36
"The price behaviour of initial public offerings in Hong Kong." Chinese University of Hong Kong, 1988. http://library.cuhk.edu.hk/record=b5885883.
Full text
37
"Empirical test of arbitrate pricing theory in Hong Kong stock market." Chinese University of Hong Kong, 1991. http://library.cuhk.edu.hk/record=b5886855.
Full textAbstract:
by Chan Chun-hung Benjamin.Thesis (M.B.A.)--Chinese University of Hong Kong, 1991.
Bibliography: leaves 103-105.
ACKNOWLEDGMENT --- p.i
ABSTRACT --- p.ii
TABLE OF CONTENT --- p.iv
LIST OF TABLE --- p.vii
CHAPTER
Chapter I --- INTRODUCTION --- p.1
Chapter II --- "THE THEORETICAL FOUNDATION OF THE CAPITAL ASSET PRICING MODEL, CAPM" --- p.3
Chapter III --- THE THEORETICAL FOUNDATION OF THE ARBITRAGE PRICING THEORY --- p.5
Chapter IV --- REVIEWS ON THE PREVIOUS STUDIES ON THE ARBITRAGE PRICING THEORY --- p.9
Tests for Identification of the Number of Factors --- p.10
Studies Supporting the APT --- p.10
Roll and Ross [1980] --- p.10
Chen [1983] --- p.12
Pari and Chen [1984] --- p.13
Chang and Lewellen [1985] --- p.15
Studies Opposing the APT --- p.17
Shanken [1982] --- p.17
"Dhrymes, Friend and Gultekins [1985]" --- p.17
The Gultekins [1987] --- p.18
Test for Identification of Economic Factors --- p.20
"Chen, Roll and Ross [1986]" --- p.20
Burmeister and Wall [1986] --- p.26
Sweeney and Warga [1986] --- p.27
Beenstock and Chan [1988] --- p.28
Chapter V --- THE FOUNDATION AND OBJECTIVE OF THE STUDY --- p.30
Chapter VI --- THE PROPOSITION OF POTENTIAL FACTORS --- p.35
The Rationale and Criteria of the Proposition --- p.35
Descriptions of the Proposed Factors --- p.38
Industrial Production (PI) --- p.38
Industrial Production of Major Trading Partners --- p.39
Exchange Rate (EERI) --- p.39
Confidence Level of the Investors in Hong Kong --- p.41
The Inflation Rate (CPI) --- p.42
Interest Rate and Term Structure --- p.43
Foreign Stock Market Performance --- p.44
Chapter VII --- STATISTICAL CHARACTERISTICS OF THE POTENTIAL FACTORS --- p.45
Intercorrelations of the Factors --- p.45
Autocorrelations of the Factors --- p.47
Chapter VIII --- METHODOLOGY --- p.50
Phrase One: The Test on the CAPM Model --- p.50
Phrase Two: The Test on the APT model with the Identification of Relevant Factors --- p.52
Phrase Three: Test of the CAPM Residual --- p.55
Chapter IX --- BASIC RESULTS AND INTERPRETATIONS --- p.57
Phrase One: The Test on the CAPM Model --- p.57
Beta Coefficient --- p.58
"Statistical Significance, R2" --- p.60
The Intercept Constant --- p.62
Phrase Two: The Test on the APT Model --- p.64
The Relevant Factors and the Betas --- p.64
Financial Sector --- p.65
Utilities Index --- p.65
Properties Index --- p.67
Hotels Index --- p.68
Industrials Index --- p.69
"Improvement in the Significance, R2" --- p.70
The Intercept Constant --- p.72
Phrase Three : Test of the Residuals of CAPM --- p.74
Chapter X --- CONCLUSION --- p.76
Chapter XI --- LIMITATIONS AND FURTHER IMPROVEMENTS --- p.79
APPENDICES
Chapter I --- The Constituent Stocks of the Hong Kong Index As of April1990 --- p.83
Chapter II --- Autocorrelations of the Sectorial Indices and Potential Factors --- p.85
Chapter III --- Output of Regression on Sectorial Returns with Returns on Market Portfolio (HKI) as Independent Variable --- p.96
Chapter IV --- Output of Regression (Stepwise) on Sectorial Returns with Factors as Independent Variables --- p.98
Chapter V --- Output of Regression (Stepwise) on Residual Variances of Sectorial Indices (CAPM) with Factors as Independent Variables --- p.101
BIBLIOGRAPHY --- p.103
38
"Rights issue and stock price movement in Hong Kong." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5887534.
Full textAbstract:
by Li Shu Kan Tony.Thesis (M.B.A.)--Chinese University of Hong Kong, 1993.
Includes bibliographical references (leaf 50).
ABSTRACT --- p.i
TABLE OF CONTENTS --- p.1
LIST OF FIGURES AND TABLES --- p.2
CHAPTER
Chapter I. --- INTRODUCTION --- p.3
Definition of Rights Issue --- p.6
Chapter II. --- PREVIOUS STUDIES --- p.9
Chapter III. --- DATA COLLECTION --- p.13
Chapter IV. --- METHODOLOGY --- p.16
Sutdy Period --- p.20
Chapter V. --- FINDINGS --- p.23
Post-announcement Parameters --- p.24
Discount to Net Asset Value --- p.26
Amount raised from Right Issues --- p.30
Right Issue Terms --- p.31
Further test on Price Press Hypothesis --- p.33
Chapter VI. --- CONCLUSION --- p.35
Chapter VII. --- FIGURES AND TABLES --- p.37
Chapter VIII. --- BIBLIOGRAPHY --- p.50
39
"Underpricing of new stock issues in Hong Kong: phenomenon and underlying causes." Chinese University of Hong Kong, 1989. http://library.cuhk.edu.hk/record=b5886201.
Full text
40
"Earnings announcements and common stock price behaviour in Hong Kong." Chinese University of Hong Kong, 1988. http://library.cuhk.edu.hk/record=b5885854.
Full text
41
"The high-volume return premium: the case of Hong Kong." 2004. http://library.cuhk.edu.hk/record=b5892208.
Full textAbstract:
Chang Li.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 38-39).
Abstracts in English and Chinese.
Abstract --- p.ii
論文摘要 --- p.iii
Acknowledgement --- p.iv
Table of Contents --- p.v
Chapter Chapter 1 --- Introduction --- p.1
Chapter Chapter 2 --- Literature Review and Hypotheses --- p.4
Chapter 2.1 --- Literature Review --- p.4
Chapter 2.2 --- Main Hypotheses --- p.7
Chapter Chapter 3 --- Methodology --- p.12
Chapter 3.1 --- Size and volume classifications --- p.12
Chapter 3.2 --- Portfolio formation strategies --- p.15
Chapter 3.3 --- Statistical inferences --- p.17
Chapter Chapter 4 --- Data Analyses --- p.19
Chapter 4.1 --- Descriptive statistics --- p.19
Chapter 4.2 --- Main results --- p.20
Chapter 4.3 --- Tests using absolute share volume as an alternative volume measure --- p.26
Chapter Chapter 5 --- Tests using Return as an Additional Conditioning Variable --- p.31
Chapter 5.1 --- Return classifications --- p.32
Chapter 5.1 --- Test results --- p.33
Chapter Chapter 6 --- Conclusion --- p.36
References --- p.38
42
"A study of chaos in Hang Seng Index." Chinese University of Hong Kong, 1994. http://library.cuhk.edu.hk/record=b5888028.
Full textAbstract:
by Tam Tak-wai.Thesis (M.B.A.)--Chinese University of Hong Kong, 1994.
Includes bibliographical references (leaves 35-37).
APPROVAL --- p.ii
ABSTRACT --- p.iii
ACKNOWLEDGEMENTS --- p.iv
TABLE OF CONTENTS --- p.v
Chapter CHAPTER 1 --- INTRODUCTION --- p.1
Chapter CHAPTER 2 --- CHAOS THEORY - AN OVERVIEW --- p.6
Chapter CHAPTER 3 --- THEORETICAL IMPLICATIONS OF CHAOS THEORY --- p.14
Chapter CHAPTER 4 --- EMPIRICAL RESULTS --- p.21
Chapter CHAPTER 5 --- CONCLUSION --- p.33
BIBLIOGRAPHY --- p.35
APPENDIX A - GRAPHICAL RESULTS --- p.38
APPENDIX B - ESTIMATED LYAPUNOV EXPONENTS --- p.45
APPENDIX C - SHUFFLED TESTS RESULTS --- p.47
APPENDIX D - DAILY HANG SENG INDEX --- p.50
43
"Event studies: stock price effect on the announcement of stock placement." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5887558.
Full textAbstract:
by Ng Tak-ming.Thesis (M.B.A.)--Chinese University of Hong Kong, 1993.
Includes bibliographical references (leaves 28-29).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iii
LIST OF TABLES --- p.iv
LIST OF FIGURES --- p.v
Chapter
Chapter I. --- INTRODUCTION AND LITERATURE REVIEW --- p.1
Chapter II. --- SAMPLE DESCRIPTION --- p.8
Chapter III. --- METHODOLOGY --- p.10
Chapter IV. --- RESULTS --- p.12
Chapter V. --- IMPLICATIONS --- p.19
Chapter VI. --- CONCLUSIONS --- p.21
REFERENCES --- p.28
44
Glushkov, Denys Vitalievich. "Two essays on market behavior." Thesis, 2006. http://hdl.handle.net/2152/2869.
Full text
45
Hsu, Hua-wen, and 許華文. "The Relationship between Price Indices and the Prices of Property Stocks." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/91578840428786762783.
Full textAbstract:
碩士國立中山大學
經濟學研究所
100
As the price level soars up, it become more important to study the dynamic relation between stock prices, price indices. In this paper we suspect that property stocks serve as tools of anti-inflation and examine whether there exists a positive correlation between the prices of property stocks and price indices, such as the Rent Index, CPI, and WPI. Our results confirm the positive correlation between the prices of property stocks and the price indices. More precisely, it is revealed by applying VAR and the impulse response analysis that the positive correlation between the prices of property stocks and CPI/WPI in the short run. Using the cointegration analysis, we detect the long-run relation between the prices of property stocks and the Rent Index.
46
Ohn, Jonathan Kong. "Dynamics of the return generating process and mean reversion of the US stock prices /." Diss., 1997. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:9814980.
Full text
47
"The Hong Kong stock market: characteristics and pricing of securities." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5887536.
Full textAbstract:
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
48
"Market efficiency research on Shanghai stock market." 2002. http://library.cuhk.edu.hk/record=b5890949.
Full textAbstract:
by Mi Jia, Wang Xueyu.Thesis (M.B.A.)--Chinese University of Hong Kong, 2002.
Includes bibliographical references (leaves 77-78).
ABSTRACT --- p.III
TABLE OF CONTENTS --- p.iv
LIST OF TABLES AND FIGURES --- p.vi
Chapters
INTRODUCTION --- p.1
DATA AND RESEARCH METHODOLOGY --- p.6
EFFICIENCY TESTS --- p.12
Time Serial Correlation Analysis --- p.12
Seasonal Fluctuation --- p.16
General Index's analysis and comparison --- p.17
Holiday Effect --- p.20
Test of Predictability in Stock Market Returns --- p.35
Larger Stock in June effect --- p.37
Passive Vs Active portfolio (with technical analysis) --- p.39
Technical analysis --- p.40
Filter Rules Approach Testing --- p.43
Returns over Short and Long Horizons --- p.49
Holding Period Return over Short and Long Horizons --- p.50
Accumulative Abnormal Return over Short and Long Horizons --- p.51
Mutual Fund Performance --- p.52
Mutual Fund vs. Index --- p.53
Relative Performance among Mutual Funds --- p.54
"B/M, Size, and P/E Effect" --- p.55
"Correlation among B/M, Assets, Market Value of A Share, P/E and Beta" --- p.56
B/M and Annual Return --- p.57
P/E and Annual Return --- p.59
Assets and annual return --- p.60
Market Value of A Share and Annual Return --- p.61
Beta and Annual Return --- p.53
Multiple Regressions --- p.64
CONCLUSION --- p.66
Limitation of Research --- p.66
Summary --- p.67
APPENDIX 1 --- p.69
APPENDIX 2 --- p.70
APPENDIX 3 --- p.71
APPENDIX 4 --- p.72
APPENDIX 5 --- p.73
BIBLIOGRAPHY --- p.77
49
"Determining the contributions to price discovery of China cross-listed stocks." 2005. http://library.cuhk.edu.hk/record=b5892498.
Full textAbstract:
Su Qian.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 66-70).
Abstracts in English and Chinese.
Abstract --- p."i,ii"
Acknowledgements --- p.iii
Table of Content --- p.iv
List of Tables and Figures --- p.v
List of Abbreviation --- p.vi
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Literature Review --- p.4
Chapter 2.1 --- Benefits of Cross-listing --- p.4
Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8
Chapter 2.3 --- Previous studies on Chinese cross-listed stocks --- p.2
Chapter Chapter 3. --- China Overseas Listing --- p.15
Chapter 3.1 --- The history of overseas listing --- p.15
Chapter 3.2 --- Methods of overseas listing --- p.17
Chapter 3.3 --- The motivation for Chinese firms to list overseas --- p.18
Chapter 3.4 --- The prospects of China Overseas listing --- p.21
Chapter Chapter 4. --- Price-discovery contributions to China-backed stocks cross-listed on SEHK and NYSE --- p.23
Chapter 4.1 --- Data --- p.23
Chapter 4.2 --- Methodology --- p.25
Chapter 4.3 --- Empirical Results and Interpretation --- p.31
Chapter 4.4 --- Cross-Sectional analysis of NYSE contributions to the price-discovery process --- p.40
Chapter Chapter 5. --- Price-discovery contributions to the cross-listed H share and A share --- p.45
Chapter 5.1 --- Data and Sample details --- p.46
Chapter 5.2 --- Methodology --- p.49
Chapter 5.3 --- Empirical results and interpretation --- p.54
Chapter 5.4 --- A brief analysis of cointegration determinants --- p.57
Chapter 5.5 --- The cointegration between H share and A share- Daily analysis --- p.61
Chapter Chapter 6. --- Conclusion --- p.64
Reference --- p.66
Tables --- p.71
50
"Pricing models for Hong Kong warrants." Chinese University of Hong Kong, 1990. http://library.cuhk.edu.hk/record=b5886348.
Full textAbstract:
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