| Summary: | 碩士 === 義守大學 === 財務金融學系 === 102 === Most of investors in Hong Kong are oversea investors, so how do the investors select an optimal portfolio for risk diversification to earn profits is always a popular topic in literature. Therefore, this study utilizes H shares and red chips as samples to investigate the monthly effect and size effect in Hong Kong stock market.
This study use Stochastic Dominance with Risk-free Asset to analysis the portfolio of month investment and size investment. The empirical results reveal that Hong Kong stock market does have a monthly effect, especially on February and December, because in H shares, there are February effect and December effect; in red chips, there is a February effect; in Hang Seng Index, there are July effect and December effect. Therefore, we consider there are abnormal returns on February, July and December. Also, this study investigates whether size effect will influence the return rate in Hong Kong stock market, and the empirical results is proved.In addition, this study provides an optimal asset allocation of risk and risk free assets for investors to earn profits in Hong Kong stock market.
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