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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

TitleIn search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications
Authors
Issue Date2013
PublisherThe 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
AbstractThis 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.
DegreeMaster of Economics
SubjectStock exchanges - China - Hong Kong
Dept/ProgramEconomics and Finance
Persistent Identifierhttp://hdl.handle.net/10722/192980

 

DC FieldValueLanguage
dc.contributor.authorTo, Kwok-pun-
dc.contributor.author涂國彬-
dc.date.accessioned2013-12-14T06:23:24Z-
dc.date.available2013-12-14T06:23:24Z-
dc.date.issued2013-
dc.identifier.citationTo, 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.urihttp://hdl.handle.net/10722/192980-
dc.description.abstractThis 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.languageeng-
dc.publisherThe University of Hong Kong (Pokfulam, Hong Kong)-
dc.relation.ispartofHKU Theses Online (HKUTO)-
dc.rightsThe author retains all proprietary rights, (such as patent rights) and the right to use in future works.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subject.lcshStock exchanges - China - Hong Kong-
dc.titleIn search of lost anomalies : a journey of cheerful mondays and gloomy fridays in Hong Kong, observations and implications-
dc.typePG_Thesis-
dc.identifier.hkulb5091003-
dc.description.thesisnameMaster of Economics-
dc.description.thesislevelMaster-
dc.description.thesisdisciplineEconomics and Finance-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.5353/th_b5091003-
dc.date.hkucongregation2013-

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