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postgraduate thesis: In search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications
Title | In search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications |
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Authors | |
Issue Date | 2013 |
Publisher | The University of Hong Kong (Pokfulam, Hong Kong) |
Citation | To, K. [涂國彬]. (2013). In search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5091003 |
Abstract | This paper explores a new data set of the profit alerts from electronic disclosure in the Hong Kong Stock Exchange website from 25th June 2007 to 30th June 2013 in view of the potential day-of-the-week effects in terms of Cumulative Abnormal Returns (CAR) anomalies in Fridays and Mondays due to behavioral biases such as limited attention, under-reaction and over-reaction.
A novel approach of hypothesis testing that combines a hypothetical portfolio for a representative informed trader of the CAR anomalies and a trading strategy back-tested with past data with special reference to the limits of arbitrage by incorporating institutional factors such as short sales constraints imposed by stock exchange refutes the conjecture that there are such tradable anomalies with measurable economic significance without relying on unstable parameters in traditional hypothesis testing and arbitrary interpretation of statistical significance.
In the absence of reliable frame of reference by the problem nature, the study investigates the methodological issues of anomalies, expectations, information, externalities, efficiency, and so on, in economics and finance with new perspectives and insights from other disciplines including physics, biology, psychology and philosophy.
Keywords: profit alerts, day-of-the-week effects, Friday, Monday, anomalies, behavioral biases, attention, inattention, under-reaction, over-reaction, methodology, limits of arbitrage, short sales constraints, frame of reference, expectations, Rational Expectations, Efficient Market Hypothesis Least Action Principle, evolutionary, Adaptive Markets Hypothesis, market ecology, ever-changing cycles, corporate governance, information, externalities, efficiency, beliefs, knowledge, decision-making, uncertainty, equilibrium, disequilibrium. |
Degree | Master of Economics |
Subject | Stock exchanges - China - Hong Kong |
Dept/Program | Economics and Finance |
Persistent Identifier | http://hdl.handle.net/10722/192980 |
HKU Library Item ID | b5091003 |
DC Field | Value | Language |
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dc.contributor.author | To, Kwok-pun | - |
dc.contributor.author | 涂國彬 | - |
dc.date.accessioned | 2013-12-14T06:23:24Z | - |
dc.date.available | 2013-12-14T06:23:24Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | To, K. [涂國彬]. (2013). In search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b5091003 | - |
dc.identifier.uri | http://hdl.handle.net/10722/192980 | - |
dc.description.abstract | This paper explores a new data set of the profit alerts from electronic disclosure in the Hong Kong Stock Exchange website from 25th June 2007 to 30th June 2013 in view of the potential day-of-the-week effects in terms of Cumulative Abnormal Returns (CAR) anomalies in Fridays and Mondays due to behavioral biases such as limited attention, under-reaction and over-reaction. A novel approach of hypothesis testing that combines a hypothetical portfolio for a representative informed trader of the CAR anomalies and a trading strategy back-tested with past data with special reference to the limits of arbitrage by incorporating institutional factors such as short sales constraints imposed by stock exchange refutes the conjecture that there are such tradable anomalies with measurable economic significance without relying on unstable parameters in traditional hypothesis testing and arbitrary interpretation of statistical significance. In the absence of reliable frame of reference by the problem nature, the study investigates the methodological issues of anomalies, expectations, information, externalities, efficiency, and so on, in economics and finance with new perspectives and insights from other disciplines including physics, biology, psychology and philosophy. Keywords: profit alerts, day-of-the-week effects, Friday, Monday, anomalies, behavioral biases, attention, inattention, under-reaction, over-reaction, methodology, limits of arbitrage, short sales constraints, frame of reference, expectations, Rational Expectations, Efficient Market Hypothesis Least Action Principle, evolutionary, Adaptive Markets Hypothesis, market ecology, ever-changing cycles, corporate governance, information, externalities, efficiency, beliefs, knowledge, decision-making, uncertainty, equilibrium, disequilibrium. | - |
dc.language | eng | - |
dc.publisher | The University of Hong Kong (Pokfulam, Hong Kong) | - |
dc.relation.ispartof | HKU Theses Online (HKUTO) | - |
dc.rights | The author retains all proprietary rights, (such as patent rights) and the right to use in future works. | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject.lcsh | Stock exchanges - China - Hong Kong | - |
dc.title | In search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications | - |
dc.type | PG_Thesis | - |
dc.identifier.hkul | b5091003 | - |
dc.description.thesisname | Master of Economics | - |
dc.description.thesislevel | Master | - |
dc.description.thesisdiscipline | Economics and Finance | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.5353/th_b5091003 | - |
dc.date.hkucongregation | 2013 | - |
dc.identifier.mmsid | 991035829919703414 | - |