Overreaction in the Hong Kong stock market

Overreaction reported in the equity markets of the United States, Spain, and Brazil is also observed in the Hong Kong stock market. The “loser” portfolios of the 33 stocks in the Hang Seng Index (HSI), on average, outperform the “winner” portfolios by 9.9% 1 year after the formation periods. Besides its emphasis on the importance of the Hong Kong market in international investment, this paper is unique in some special features related to the overreaction study. Hong Kong has markets for index futures and stock futures. Only three stocks are used in the portfolios. All the stocks in the HSI have large market capitalization and liquidity and can be shorted with no up-tick rule. Unlike other studies in international stock markets, the “arbitrage” portfolio of buying the loser portfolio and shorting the winner portfolio can actually be formed with minimum cost and easy execution, which makes the overreaction phenomena in this study very powerful.     

2011年香港离岸人民币市场建设取得进展

一、境内外人民币资金循环流通渠道进一步拓宽 2011年1月4日,人民银行发布“境外直接投资人民币结算试点管理办法》,规范银行业金融机构和境内机构开展境外直接投资人民币结算业务。     

Information effects of dividends: Evidence from the Hong Kong market

The literature has suggested that earnings and earnings forecasts provide stronger signals than dividends about future performance of a firm. We test the information effects of simultaneous announcement of earnings and dividends in the Hong Kong market, distinguished by three interesting features (concentrated family-shareholdings, low corporate transparency, and no tax on dividends). Our results show significant share price reactions to unexpected earnings and dividend changes, but dividends appear to play a dominant role over earnings in pricing, a result contrary to findings in the literature. The signaling hypothesis works primarily for firms with earning increases, while the maturity hypothesis works mainly for firms with earnings declines.

Liquidity and asset pricing: Evidence from the Hong Kong stock market

This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding portfolio residuals and higher moment factor in the factor models. The results are also robust to seasonality, and conditional-market tests. We also compare alternative factor models and find that the liquidity four-factor model (market excess return, size, book-to-market ratio, and liquidity) is the best model to explain stock returns in the Hong Kong stock market, while the momentum factor is not found to be priced.     

Loss sensitive investors and positively biased analysts in Hong Kong stock market

Review of Quantitative Finance and Accounting - The Hong Kong stock market is known to be highly volatile. Professional investors have a strong demand for timely information because of the...     

民营企业香港上市风雨路

“香港证券市场是中国企业通往世界的国际列车。”随着众多的大型国有企业到香港上市,香港证券市场对于内地的重要性不言而喻,而对于内地的民营企业上市来说,香港证券市场会产生什么影响呢?     

The determinants of short selling: evidence from the Hong Kong equity market

While most financial regulators agree that short sellers have an important role to play in ensuring an efficiently functioning market, it is interesting to note that many did not hesitate to ban short selling during the recent financial crisis. This apparent contradiction most likely stems from a lack of understanding about what motivates short trading. In this paper, we focus on the determinants of short selling during ‘normal’ trading in the Hong Kong stock market. We find that dividend payments, company fundamentals, risk, option trading, the interest rate spread and past returns and short selling are all significant determinants of short selling.     

Product market advertising and new equity issues

We analyze the interaction between a firm's product market advertising and its corporate financing decisions. We consider a firm that faces asymmetric information in both the product and financial markets and that needs to raise external financing to fund its growth opportunity (new project). Any product market advertising undertaken by the firm is visible to the financial market as well. In equilibrium, the firm uses a combination of product market advertising, equity underpricing, and underfinancing (raising a smaller amount of external capital than the full information optimum) to convey its true product quality and the intrinsic value of its projects to consumers and investors. The following two predictions arise from our theoretical analysis for the relation between product market advertising and equity underpricing around new equity issues. First, firms choose a higher level of product market advertising when they are planning to issue new equity, compared with situations in which they have no immediate plans to do so. Second, product market advertising and equity underpricing are substitutes for a firm issuing new equity. We empirically test the above two predictions and find supporting evidence in the context of firms making initial public offerings and seasoned equity offerings.     

香港居民投资大陆市场的产品方案研究

扩展香港居民投资大陆市场的渠道是深化深港金融合作的重要内容。由于我国目前实行资本项目管制,香港居民不能直接投资大陆市场。目前,香港发行的A股ETF基金是香港居民投资大陆市场的主要渠道。本文考察了香港发行的A股ETF产品的发展现状、产品设计原理以及QFII制度对香港居民投资大陆产品发展的影响。在目前的QFII制度背景下,本文提出了人民币定价的A股ETF、香港和大陆基金互换、QHII制度等一系列循序渐进的产品和方案。     

Short sales and speed of price adjustment: Evidence from the Hong Kong stock market

We present empirical evidence that short sales contribute to market efficiency by increasing the speed of price adjustment to not only private/public firm-specific information but also market-wide information. Shortable stocks are characterized by weaker trade continuity and stronger quote reversals. They adjust faster to new information than non-shortable counterparts. These findings remain robust even in an “up” market condition in which short sales are not binding. The amount of information incorporated in each trade is also significantly higher for shortable than non-shortable stocks in both “up” and “down” market conditions. After controlling for firm size, trading volume, liquidity, price and option trading, short sales stand out as one of the significant factors that speed up the price adjustment.     

香港印象

香港位于珠江口东侧海边,被英国人租占百余年。香港回归,我有机会来到＂东方之珠＂,亲眼目睹香港高高低低坚硬的石山,弯弯曲曲的海岸线,起伏如波的丘地,大大小小的岛屿。     

"港股直通车"的意义、风险与前景

2007年8月20日."港股直通车"政策正式开通,它的开通将会面临什么样的风险,前景如何,以及对中国宏观经济.资本市场和香港股市产生的影响.本文将为您作一解答。     

香港银行新产品

香港渣打银行推出“汇利存款”新业务 香港渣打银行近日在内地推出一种全新的投资理财方式——“汇利存款”业务。“汇利存款”是一种与汇率挂钩的定期存款,这是一种全新的投资理财方式,只需客户出让给银行一个选择权(期权),银行     

立足香江六年耕耘——记中国工商银行香港外汇资金交易中心

香港外汇资金交易中心（以下简称“交易中心”）是中国工商银行重要的离岸外汇资金交易和投资机构。交易中心成立6年来，在全行的大力支持下，全体员工锐意进取，勤恳耕耘，充分利用地处香港这一国际金融中心的地缘优势，积极而富有创造性地开展各类自营外汇资金业务，业已成为总行境外资金业务的重要窗口和鲜明亮点。为了更全面了解交易中心成长沿革历程与发展规划，本刊特约记者利用在香港实习的机会，对交易中心进行了深入了解和采访，现将有关情况梳理总结如下，以飨读者。[编者按]     

速达上市香港始末

“速达——中小企业融资的典范”,专注——维护世界第一中小企业管理品牌、跟踪业界一流信息技术、传播经营管理理念。     

Market closure effects on return, volatility, and turnover patterns in the Hong Kong index futures market

This paper examines the market closure effect of the Stock Exchange of Hong Kong (SEHK) on the intraday behaviour of the index futures contract which continues to trade for 5–15 min after the close of the SEHK. The behaviour of the index futures market in Hong Kong is consistent with the contagion model of King and Wadhwani (1990) in that the close of the SEHK leads to an immediate downturn in the return, volatility, and turnover in the index futures market. The long period of nontrading before the morning also leads to a higher morning volatility and turnover.     

Insider Trading in the Hong Kong Stock Market

Many previous studies on insider trading are based ondata in the U.S. capital market and conclude thatinsiders can earn abnormal profits. This paperexamines abnormal price performance associated withinsider trading in the Hong Kong stock market. We findthat abnormal profits associated with insider tradingare all concentrated on small firms. Trading volumedoes matter in determining the magnitude of thoseabnormal profits. Our results show that insiders ofmedium-sized and large firms do not earn abnormalprofits. Finally, it is found that outsiders who mimicthe information of insider trades associated withmedium-sized and large firms cannot earn abnormalprofits.     

人民币卡在港"全流通"

至截稿日,中国人民银行以及中国银联的代表已经赴港,就人民币卡在港提现以及香港人民币清算行申请获批等问题与香港金融管理局进行沟通。 随后从香港金融管理局传出消息,中银香港成为香港人民币业务清算行,任期三年。 按照央行规定,香港银行试办人民币业务为2004年初。业界对此普遍持乐观态度,此次人民币卡在港率先实现“全流通”可谓开门大吉。     

What makes the stock market jump? An analysis of political risk on Hong Kong stock returns

This paper employs a components-jump volatility filter to investigate the possible market impact of political risk. The filter operates by identifying jump return dates, which are then associated with political events, allowing us to measure the market return and volatility effects of political announcements. Our empirical results show that political developments in Hong Kong have a significant impact on its market volatility and return. The results have some interesting implications for option pricing and political risk management.