Profitability of technical trading rules in Hong Kong stock market.

Kong Tze-shan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.Includes bibliographical references (leaves 60-62).Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.1Chapter 2 --- Literature Review --- p.5Chapter 2.1 --- Moving Average --- p.5Chapter 2.2 --- Other Trading Rules --- p.9Chapter 2.3 --- Share Repurchase --- p.12Chapter 2.3.1 --- Types of Share Repurchase --- p.12Chapter 2.3.2 --- Previous Studies on Relationship between Share Repurchase and Stock Price --- p.14Chapter 3 --- Regulations and Facts of Share Repurchase in Hong Kong --- p.19Chapter 4 --- Data Summary --- p.23Chapter 4.1 --- Description on Hong Kong Stock Market --- p.23Chapter 4.2 --- Description on Hang Seng Index --- p.24Chapter 4.3 --- Description on Stock Price Series --- p.25Chapter 4.4 --- Description on Repurchase Data --- p.26Chapter 5 --- Profitability of Technical Trading Rule --- p.30Chapter 5.1 --- Moving Average --- p.30Chapter 5.2 --- Result of Individual Stocks --- p.32Chapter 5.3 --- Overall Result for 25 Stocks Tested --- p.35Chapter 5.4 --- Using short moving averages rather than current stock price --- p.37Chapter 6 --- Profitability with transaction cost --- p.39Chapter 6.1 --- Result of Individual Stock --- p.39Chapter 6.2 --- Sharpe Ratio of 25 Stocks Tested --- p.40Chapter 7 --- Profitability with Share Repurchase Dates Removed --- p.42Chapter 7.1 --- Removing Share Repurchase Dates --- p.42Chapter 7.2 --- Result of Individual Stock --- p.43Chapter 7.3 --- Overall Results for 10 Stocks Tested --- p.44Chapter 7.4 --- Removing Repurchase Dates of 28 Non-HSI Constituent Stocks --- p.47Chapter 8 --- Further discussion --- p.51Chapter 8.1 --- Basic differences in market structure --- p.51Chapter 8.2 --- Difference between central bank intervention and share repurchase --- p.52Chapter 8.2.1 --- Motivation of central bank intervention --- p.53Chapter 8.2.2 --- Motivation of share repurchase --- p.53Chapter 9 --- Conclusion --- p.5