The Hong Kong stock market: characteristics and pricing of securities

Abstract

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 --- ...