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An analysis of the Hong Kong stock m...

Gao, Sheldon Chaosheng.

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An analysis of the Hong Kong stock market.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	An analysis of the Hong Kong stock market./
作者:	Gao, Sheldon Chaosheng.
面頁冊數:	337 p.
附註:	Source: Dissertation Abstracts International, Volume: 53-09, Section: A, page: 3314.
Contained By:	Dissertation Abstracts International53-09A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9236031

An analysis of the Hong Kong stock market.
Gao, Sheldon Chaosheng.

An analysis of the Hong Kong stock market. - 337 p.

Source: Dissertation Abstracts International, Volume: 53-09, Section: A, page: 3314.

Thesis (Ph.D.)--Cornell University, 1992.

This paper briefly reviews the history of the Hong Kong stock market, analyzes its features, examines the influence of the China's political and economic situation, and investigates its relationship with the U.S. and Japanese markets. It also empirically tests the return characteristics in the Hong Kong stock market, such as Monday effect, the January seasonals, Holiday effect, turn of the month effect, and firm size effect, and analyzes the impact of outliers and slump periods on these return anomalies.Subjects--Topical Terms:

626650
Economics, Finance.

An analysis of the Hong Kong stock market.
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100 1 $a Gao, Sheldon Chaosheng. $3 1900683
245 1 3 $a An analysis of the Hong Kong stock market.
300 $a 337 p.
500 $a Source: Dissertation Abstracts International, Volume: 53-09, Section: A, page: 3314.
502 $a Thesis (Ph.D.)--Cornell University, 1992.
520 $a This paper briefly reviews the history of the Hong Kong stock market, analyzes its features, examines the influence of the China's political and economic situation, and investigates its relationship with the U.S. and Japanese markets. It also empirically tests the return characteristics in the Hong Kong stock market, such as Monday effect, the January seasonals, Holiday effect, turn of the month effect, and firm size effect, and analyzes the impact of outliers and slump periods on these return anomalies.
520 $a The Hong Kong stock market is just one hundred years old. Seven special characteristics of the Hong Kong market include family controlled companies, top heavy market, high weight on real estate sector and low weight on manufacturing industry, large numbers of dormant shares, large participation by foreign investors, very volatile market, and its unique relationship with China.
520 $a A strong Monday effect is observed on the Hang Seng Index returns. Deletion of outliers would reduce the Monday effect and cause the lowest return to occur on Tuesday. Exclusion of outliers and slump periods would eliminate the weekly seasonals. A January seasonal is found on the Hang Seng Index returns. Elimination of outliers would reinforce the January effect, and exclusion of outliers and slump period data would not impact the monthly seasonals significantly. Furthermore, the interaction of the Monday effect and January seasonals is significant.
520 $a A pre-holiday effect exists in the Hong Kong market. This preholiday effect would be reinforced by deleting outliers. However, nothing unusual happens for the days after holidays. The Hang Seng Index returns also exhibits a turn of the month effect, which would totally disappear with the deletion of outliers and slump period data. No firm size-related effect and turn of the year effect is observed for the 98 sample stocks in four year data in the Hong Kong stock market.
520 $a The Hang Seng Index returns exhibit an obvious trend to follow the stock return patterns in the U.S. market. No time zone effect is found in the Hong Kong stock market. The U.S. holidays have significant impact on both pre-holiday and post-holiday Hang Seng Index returns. The most striking discovery is the low and negative Hang Seng Index returns after U.S. holidays.
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650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, History. $3 1017418
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792 $a 1992
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9236031