- Title
- The overreaction phenomenon in Hong Kong index futures market
- Creator
- Lai, Yuk Pui
- Resource Type
- thesis
- Date
- 2017
- Description
- Professional Doctorate - Doctor of Business Administration (DBA)
- Description
- After the pioneer works regarding the overreaction phenomenon conducted by De Bondt & Thaler (1985), it has aroused the profound interest of researchers all over the world in this new arena in contrast to the traditional efficient market hypothesis (EMH). The empirical results obtained for the US market are quite mixed and no definitive conclusion can be drawn (Bremer & Sweeney, 1991; Brown & Harlow, 1988; Cox & Peterson, 1994; Dahlquist & Broussard, 2000). In the case of Hong Kong, some researchers render supporting evidences to the existence of the overreaction phenomenon in the index futures markets for the period before 2003 (Fung & Lam, 2004; Fung, Lam, & Lam, 2010). This leads to my study to investigate the futures market in Hong Kong for the period after 2003. I find the two major testing hypotheses under overreaction hypothesis exhibit an overall weakening of the overreaction phenomenon observed in the Hong Kong futures market from 2004 onwards. This is contrary to the prior studies in relation to Hong Kong but consistent with the mixed results reported for the US market. Although the overreaction phenomenon is found to be diminishing, it still exhibits that the US stock market was more influential to Hong Kong before the financial crisis in 2008. Moreover, the Shanghai and Shenzhen stock market performances are also found which can explain part of the magnitude effect after the financial crisis. This is consistent with the rise of economic significance of China which in turn creates impacts onto Hong Kong financial markets. The weakening of the overreaction may possibly due to the factor of market maturity. As the market is getting more mature over time, it may become more efficient. Hence, any pricing error and anomaly are anticipated to be diminished in due course. This may possibly be subject to the evolutionary forces of market.
- Subject
- over-reaction; Hong Kong; index futures market
- Identifier
- http://hdl.handle.net/1959.13/1335679
- Identifier
- uon:27473
- Rights
- Copyright 2017 Yuk Pui Lai
- Language
- eng
- Full Text
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