Classical risk estimator vs implicit volatility superiority in the prediction of risk: an experience from Hong Kong.

• Other Authors: Wong, Yuet Fung.
• Format: Others
• Language: English
• Published: Chinese University of Hong Kong 1990
• Subjects: Stock exchanges > Management; Stock exchanges > China > Hong Kong > Management; Risk assessment; Risk assessment > China > Hong Kong
• Online Access: http://library.cuhk.edu.hk/record=b5886861; http://repository.lib.cuhk.edu.hk/en/item/cuhk-318805

by Wong Yuet Fung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 1990. === Bibliography: leaves 280-283. === ACKNOWLEDGMENTS --- p.1 === ABSTRACT --- p.2 === Chapter I. --- INTRODUCTION --- p.9 === Chapter A. --- Objective of the Study === Chapter II. --- RISK OF STOCK --- p.13 === Chapter A. --- Role of Risk in Finance === Chapter B. --- Assumption on the Risk Structure === Chapter C. --- Preliminary Description of the Data === Chapter D. --- Classical Risk Estimator === Chapter 1. --- Theoretical Background === Chapter 2. --- Empirical Results in U.S.A === Chapter 3. --- Empirical Studies in Hong Kong === Chapter E. --- Implicit Volatility from the Black & Scholes Model === Chapter 1. --- Theoretical Background === Chapter a. --- Algorithm for the Searching of the ISD === Chapter b. --- Concurrent ISDs of a Stock === Chapter c. --- Weighting Scheme and Selection Procedure === Chapter d. --- Comparison of AISD an LISD === Chapter 2. --- Empirical Results in U.S.A === Chapter a. --- Computation for the ISD === Chapter b. --- Patterns Display by the Concurrent ISDs === Chapter c. --- Choice of the Weighting Scheme === Chapter d. --- Significant Test on the Different between AISD an LISD === Chapter 3. --- Empirical Studies in Hong Kong === Chapter a. --- Computation of the ISD === Chapter b. --- Patterns Display by the Concurrent ISDs === Chapter c. --- Choice of the Weighting Scheme === Chapter d. --- Significant Test on the Different between AISD an LISD === Chapter III. --- COMPARISON ON THE TWO PREDICTORS --- p.59 === Chapter A. --- Preliminary Comparison of the Risk Estimators under Different Categorization === Chapter B. --- Structural Change on Risk after the June Fourth Event === Chapter C. --- Stability of the Implied Standard Deviation === Chapter 1. --- Empirical Results in U.S.A === Chapter 2. --- Empirical Studies in Hong Kong === Chapter D. --- Predictability on Future Risk === Chapter 1. --- Empirical Results in U.S.A === Chapter 2. --- Empirical Results in Hong Kong === Chapter IV. --- CONCLUSION --- p.78 === Chapter A. --- Comments and Compare the Empirical Results === Chapter 1. --- Degree of Market Efficient === Chapter a. --- U.S.A === Chapter b. --- Hong Kong === Chapter 2. --- Applicability of Option Pricing Model === Chapter a. --- U.S.A === Chapter b. --- Hong Kong === Chapter B. --- Suggested Modifications === Chapter 1. --- Data Selection === Chapter a. --- Period of Study === Chapter b. --- Selection of Warrants === Chapter 2. --- Modifications of the Option Pricing Model === Chapter a. --- Adjustment for Dividend === Chapter b. --- Correction for Dilution Effect === LIST OF TABLES --- p.103 === Chapter A. --- Preliminary Description of Data === Chapter 1 === Chapter a. --- Names of Warrant-issuing Stocks and the Expiry Year of the Warrants === Chapter b. --- Summary of the Number of Warrants Issued === Chapter 2. --- Categorization of Warrant-issuing Companies by: === Chapter a. --- Sector === Chapter i. --- Name of the Company in Different Sector === Chapter ii. --- Summary of the Number of Company Classified by Sector === Chapter b. --- Constituent Stocks of the Hang Seng Index === Chapter c. --- 20 Leading Companies in Market Capitalization === Chapter d. --- 20 Most Actively Traded Stocks in Shares === Chapter e. --- 20 Most Actively Traded Stocks in Dollars === Chapter B. --- Classical Risk Estimator === Chapter 1. --- Amount and Term of Dividend and the Exdividend Date === Chapter C. --- Implicit Volatility === Chapter 1. --- Terms of Warrant Contract === Chapter 2. --- Prime Rate and its Period of Effectiveness === Chapter 3. --- Newton-Raphson Iteration Process === Chapter a. --- Computation of the Positive ISDs === Chapter b. --- Computation of the zero ISDs === Chapter 4. --- Time Series on the Concurrent ISDs of a Stock === Chapter 5. --- Selection of the Weighting Scheme: Correlation Matrix of the Performance Test === Chapter a. --- WISD === Chapter b. --- UWISD === Chapter c. --- EISD === Chapter d. --- UEISD === Chapter e. --- WMISD === Chapter f. --- EMISD === Chapter 6. --- Selection Criteria === Chapter a. --- Position of the Correlation Coefficient in the Matrix of Different Weighting Scheme === Chapter b. --- Relationships Revealed by the Correlation Coefficients === Chapter c. --- Matrix of the Correlation Coefficients from Various Weighting Scheme === Chapter d. --- Ranking in the Correlation Coefficients for Various Weighting Scheme === Chapter e. --- Type of Relations Displayed in the Boxes of the Correlation Coefficient Matrix === Chapter 7. --- Comparison of AISD and LISD === Chapter D. --- Preliminary Comparison of the Two Risk Estimators under Different Categorization of the Warrant-issued Stocks === Chapter 1. --- Cross-Sectional Series === Chapter a. --- Sector === Chapter b. --- Constituent Stock of Hang Seng Index === Chapter c. --- 20 Leading Companies in Market Capitalization === Chapter d. --- 20 Most Actively Traded Stock in Shares === Chapter e. --- 20 Most Actively Traded Stock in Dollars === Chapter 2. --- Summary Statistics === Chapter a. --- Sector === Chapter b. --- Constituent Stock of Hang Seng Index === Chapter c. --- 20 Leading Companies in Market Capitalization === Chapter d. --- 20 Most Actively Traded Stock in Shares === Chapter e. --- 20 Most Actively Traded Stock in Dollars === Chapter E. --- Structural Change in Risk === Chapter 1 --- Test of Structural Change in HISTSD === Chapter 2 --- Test of Structural Change in ISD === Chapter a. --- CISD === Chapter b. --- CAISD === Chapter c. --- AVGCISD === Chapter F. --- Stability of ISD === Chapter 1 --- Time Series of the CISD === Chapter 2 --- Mean and Standard Deviation of CISD of: === Chapter a. --- Whole Year === Chapter b. --- Before June 6 === Chapter c. --- After June 6 === Chapter 3 --- Test of Stability of ISD as against CISD: === Chapter a. --- Whole Year === Chapter b. --- Before June 6 === Chapter c. --- After June 6 === Chapter G. --- Predictability on Future Risk === Chapter 1 --- Performance Test: Correlation Matrix and Cross Sectional Series Average Risk Level: === Chapter a. --- Whole Year === Chapter b. --- Before May 22 === Chapter c. --- After May 23 === Chapter d. --- Before June 5 === Chapter e. --- After June 6 === Chapter 2 --- Half Year Performance Test: Correlation Matrix and Cross Sectional Series Average Risk Level with Division Dates at: === Chapter a. --- April 4 and 6 === Chapter b. --- May 22 and 23 === Chapter c. --- June 5 and 6 === Chapter 3 --- Cross-sectional Average of HISTSD and ISD from: === Chapter a. --- Performance Test === Chapter b. --- Half Year Performance Test === Chapter 4 --- Predictability and Contemporary Relationship of Cross-sectional HISTSD and ISD from: === Chapter a. --- Performance Test === Chapter b. --- Half Year Performance Test === Chapter H. --- Validity of the Black and Scholes Model in the Pricing of Warrant in Hong Kong === Chapter 1. --- Test of the Validity of the Black and Scholes Model in the Pricing of Warrant in Hong Kong === Chapter 2. --- Summary of the Validity of the Black and Scholes Model in the Pricing of the Warrant for the Company that issued 2/3 Warrants === Chapter 3. --- Comparison on the Validity Test of the Constituent Stocks of the Hang Seng Index and all Other Stocks === LISTS OP COMPUTER PROGRAMS --- p.200 === Chapter A. --- Classical Risk Estimator: === Chapter 1 --- HISTSD1 and HISTSD2 === Chapter 2 --- HISTSD(90) === Chapter B. --- Implicit Volatility === Chapter 1 --- Algorithm for the Newton-Raphson Iteration Process === Chapter 2 --- Different Weighting Schemes === Chapter 3 --- Comparison of AISD and LISD === Chapter C. --- Significant Tests for Structural Change in Risk === Chapter 1 --- HISTSD === Chapter 2 --- CISD and CAISD === Chapter 3 --- AVGCISD === Chapter D. --- Stability Test === Chapter E. --- Predictability Tests === Chapter 1 --- Performance Test === Chapter 2 --- Half Year Performance Test === Chapter F. --- Validity of the Black & Scholes Model === APPENDIX --- p.223 === Chapter A. --- Glossary of Notations === Chapter B. --- Other Risk Estimator === Chapter C. --- Option === Chapter 1. --- Concept of Option === Chapter 2. --- Terminology of Option === Chapter 3. --- Determination of Option Value === Chapter 4. --- Trading Strategy of Option === Chapter 5. --- Features of Option as a Financial Instrument === Chapter 6. --- Special Attributes of Warrant === Chapter D. --- Historical Evaluation Methods === Chapter 1. --- Non-evaluation Approach === Chapter a. --- Rules and Formulas === Chapter b. --- Graphic Appraisal === Chapter 2. --- Fair Value Approach === Chapter a. --- Econometric Models === Chapter b. --- Probability Models === Chapter E. --- Black & Scholes Option Pricing Model === Chapter 1. --- Arbitrage Relations of Option Pricing === Chapter 2. --- Black and Scholes Model === Chapter a. --- Assumptions === Chapter b. --- Model Framework === Chapter F. --- Option Market === Chapter 1. --- Option Market in U.S.A === Chapter a. --- Historical Development === Chapter b. --- Present Trading Mechanic === Chapter 2. --- Option Market in Hong Kong === Chapter a. --- Present Trading Mechanic === Chapter b. --- Feasibility of an Option Market in Hong Kong === BIBLIOGRAPHY --- p.280