Extreme value analysis of Hong Kong's stock market.

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.1Chapter 2 --- Overview of Hong Kong Stock Market --- p.3Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3Chapter 2.2 --- Hang Seng Index --- p.4Chapter 2.3 --- Influences of the United States --- p.5Chapter 2.4 --- Hong Kong Government's Intervention --- p.6Chapter 3 --- Literature Review --- p.8Chapter 3.1 --- Stable and Student t Distributions --- p.8Chapter 3.2 --- Generalized Distribution --- p.10Chapter 3.3 --- Socio-economic Model --- p.11Chapter 3.4 --- Extreme Value Analysis --- p.11Chapter 4 --- Methodology --- p.14Chapter 4.1 --- Homogeneous Model --- p.15Chapter 4.2 --- Inhomogeneous Model --- p.15Chapter 4.3 --- Model Validity --- p.16Chapter 4.3.1 --- Exceedance Rate --- p.17Chapter 4.3.2 --- Distribution of Excesses --- p.17Chapter 4.3.3 --- Independence --- p.18Chapter 5 --- Data --- p.19Chapter 5.1 --- Minute-by-minute Returns --- p.20Chapter 5.2 --- Daily returns --- p.21Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24Chapter 6.1 --- Shape Parameter k --- p.24Chapter 6.2 --- Location Parameter μ --- p.25Chapter 6.3 --- Scale Parameter σ --- p.26Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27Chapter 6.5 --- Specification Test --- p.29Chapter 7 --- Empirical Results: Daily Returns --- p.29Chapter 7.1 --- Homogeneous Model --- p.30Chapter 7.2 --- Inhomogeneous Model --- p.31Chapter 7.2.1 --- Constant Term --- p.32Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33Chapter 7.2.3 --- Volatility Indicators --- p.34Chapter 7.2.4 --- Monday Dummy --- p.35Chapter 7.2.5 --- Time Trend --- p.36Chapter 7.2.6 --- Duration Dummy --- p.37Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38Chapter 8 --- Conclusion --- p.3