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.1 === Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 === Chapter 2.1 --- Stock E...

Full description

Bibliographic Details
Other Authors: Kam, Ying Chuen.
Format: Others
Language:English
Chinese
Published: 2000
Subjects:
Online Access:http://library.cuhk.edu.hk/record=b5890390
http://repository.lib.cuhk.edu.hk/en/item/cuhk-323124
id ndltd-cuhk.edu.hk-oai-cuhk-dr-cuhk_323124
record_format oai_dc
spelling ndltd-cuhk.edu.hk-oai-cuhk-dr-cuhk_3231242019-02-26T03:33:35Z Extreme value analysis of Hong Kong's stock market. Stocks--Prices Stocks--Prices--China--Hong Kong Stock exchanges Stock exchanges--China--Hong Kong Rate of return Rate of return--China--Hong Kong Stocks--Prices--Mathematical models Stock exchanges--Mathematical models Rate of return--Mathematical models 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.1 Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3 Chapter 2.2 --- Hang Seng Index --- p.4 Chapter 2.3 --- Influences of the United States --- p.5 Chapter 2.4 --- Hong Kong Government's Intervention --- p.6 Chapter 3 --- Literature Review --- p.8 Chapter 3.1 --- Stable and Student t Distributions --- p.8 Chapter 3.2 --- Generalized Distribution --- p.10 Chapter 3.3 --- Socio-economic Model --- p.11 Chapter 3.4 --- Extreme Value Analysis --- p.11 Chapter 4 --- Methodology --- p.14 Chapter 4.1 --- Homogeneous Model --- p.15 Chapter 4.2 --- Inhomogeneous Model --- p.15 Chapter 4.3 --- Model Validity --- p.16 Chapter 4.3.1 --- Exceedance Rate --- p.17 Chapter 4.3.2 --- Distribution of Excesses --- p.17 Chapter 4.3.3 --- Independence --- p.18 Chapter 5 --- Data --- p.19 Chapter 5.1 --- Minute-by-minute Returns --- p.20 Chapter 5.2 --- Daily returns --- p.21 Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21 Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24 Chapter 6.1 --- Shape Parameter k --- p.24 Chapter 6.2 --- Location Parameter μ --- p.25 Chapter 6.3 --- Scale Parameter σ --- p.26 Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27 Chapter 6.5 --- Specification Test --- p.29 Chapter 7 --- Empirical Results: Daily Returns --- p.29 Chapter 7.1 --- Homogeneous Model --- p.30 Chapter 7.2 --- Inhomogeneous Model --- p.31 Chapter 7.2.1 --- Constant Term --- p.32 Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33 Chapter 7.2.3 --- Volatility Indicators --- p.34 Chapter 7.2.4 --- Monday Dummy --- p.35 Chapter 7.2.5 --- Time Trend --- p.36 Chapter 7.2.6 --- Duration Dummy --- p.37 Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38 Chapter 8 --- Conclusion --- p.39 Kam, Ying Chuen. Chinese University of Hong Kong Graduate School. Division of Economics. 2000 Text bibliography print x, 83 leaves : il l. ; 30 cm. cuhk:323124 http://library.cuhk.edu.hk/record=b5890390 eng chi China Hong Kong China Hong Kong China Hong Kong Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) http://repository.lib.cuhk.edu.hk/en/islandora/object/cuhk%3A323124/datastream/TN/view/Extreme%20value%20analysis%20of%20Hong%20Kong%27s%20stock%20market.jpghttp://repository.lib.cuhk.edu.hk/en/item/cuhk-323124
collection NDLTD
language English
Chinese
format Others
sources NDLTD
topic Stocks--Prices
Stocks--Prices--China--Hong Kong
Stock exchanges
Stock exchanges--China--Hong Kong
Rate of return
Rate of return--China--Hong Kong
Stocks--Prices--Mathematical models
Stock exchanges--Mathematical models
Rate of return--Mathematical models
spellingShingle Stocks--Prices
Stocks--Prices--China--Hong Kong
Stock exchanges
Stock exchanges--China--Hong Kong
Rate of return
Rate of return--China--Hong Kong
Stocks--Prices--Mathematical models
Stock exchanges--Mathematical models
Rate of return--Mathematical models
Extreme value analysis of Hong Kong's stock market.
description 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.1 === Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 === Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3 === Chapter 2.2 --- Hang Seng Index --- p.4 === Chapter 2.3 --- Influences of the United States --- p.5 === Chapter 2.4 --- Hong Kong Government's Intervention --- p.6 === Chapter 3 --- Literature Review --- p.8 === Chapter 3.1 --- Stable and Student t Distributions --- p.8 === Chapter 3.2 --- Generalized Distribution --- p.10 === Chapter 3.3 --- Socio-economic Model --- p.11 === Chapter 3.4 --- Extreme Value Analysis --- p.11 === Chapter 4 --- Methodology --- p.14 === Chapter 4.1 --- Homogeneous Model --- p.15 === Chapter 4.2 --- Inhomogeneous Model --- p.15 === Chapter 4.3 --- Model Validity --- p.16 === Chapter 4.3.1 --- Exceedance Rate --- p.17 === Chapter 4.3.2 --- Distribution of Excesses --- p.17 === Chapter 4.3.3 --- Independence --- p.18 === Chapter 5 --- Data --- p.19 === Chapter 5.1 --- Minute-by-minute Returns --- p.20 === Chapter 5.2 --- Daily returns --- p.21 === Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21 === Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24 === Chapter 6.1 --- Shape Parameter k --- p.24 === Chapter 6.2 --- Location Parameter μ --- p.25 === Chapter 6.3 --- Scale Parameter σ --- p.26 === Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27 === Chapter 6.5 --- Specification Test --- p.29 === Chapter 7 --- Empirical Results: Daily Returns --- p.29 === Chapter 7.1 --- Homogeneous Model --- p.30 === Chapter 7.2 --- Inhomogeneous Model --- p.31 === Chapter 7.2.1 --- Constant Term --- p.32 === Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33 === Chapter 7.2.3 --- Volatility Indicators --- p.34 === Chapter 7.2.4 --- Monday Dummy --- p.35 === Chapter 7.2.5 --- Time Trend --- p.36 === Chapter 7.2.6 --- Duration Dummy --- p.37 === Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38 === Chapter 8 --- Conclusion --- p.39
author2 Kam, Ying Chuen.
author_facet Kam, Ying Chuen.
title Extreme value analysis of Hong Kong's stock market.
title_short Extreme value analysis of Hong Kong's stock market.
title_full Extreme value analysis of Hong Kong's stock market.
title_fullStr Extreme value analysis of Hong Kong's stock market.
title_full_unstemmed Extreme value analysis of Hong Kong's stock market.
title_sort extreme value analysis of hong kong's stock market.
publishDate 2000
url http://library.cuhk.edu.hk/record=b5890390
http://repository.lib.cuhk.edu.hk/en/item/cuhk-323124
_version_ 1718982619701444608