Title page for ETD etd-10132005-152510

Type of Document Dissertation
Author Guo, Enyang
URN etd-10132005-152510
Title An empirical examination of price behavior on the Hong Kong stock market
Degree PhD
Department Accounting and Information Systems
Advisory Committee
Advisor Name Title
Keown, Arthur J. Committee Chair
Bonomo, Vittorio A. Committee Member
Hansen, Robert S. Committee Member
Kumar, Raman Committee Member
Morgan, George I. Committee Member
Shome, Dilip K. Committee Member
  • Stocks Prices China Hong Kong
  • Stock exchanges China Hong Kongd
Date of Defense 1990-07-18
Availability restricted

This dissertation examines stock price behavior on the Hong Kong stock market in terms of normality of returns and the efficiency of that market. The results reveal that the Hong Kong stock market is efficient, although the degree of efficiency is somewhat different from what has been found for securities traded in the U.S. market. Moreover, it was found that as a small but active stock market, the Hong Kong market is sensitive and highly vulnerable to international events.

The study also analyzes the relationship among different national equity markets, i.e., the U.S., the U.K., Japan, and Hong Kong. The results show that a substantial amount of multi-lateral interaction is present among national equity markets. In addition, some common seasonal patterns of stock price movements appear across the different national markets, and innovation transmissions from market to market are significant and efficient. The study provides added support to the hypothesis of an integrated world financial market.

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