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An empirical examination of price behavior on the Hong Kong stock market
This dissertation examines stock price behavior on the Hong Kong stock market in
terms of normality of returns and the efficiency of that market. The results reveal that
the Hong Kong stock market is efficient, although the degree of efficiency is somewhat
different from what has been found for securities traded in the U.S. market. Moreover,
it was found that as a small but active stock market, the Hong Kong market is sensitive
and highly vulnerable to international events.
The study also analyzes the relationship among different national equity markets, i.e.,
the U.S., the U.K., Japan, and Hong Kong. The results show that a substantial amount
of multi-lateral interaction is present among national equity markets. In addition, some
common seasonal patterns of stock price movements appear across the different national
markets, and innovation transmissions from market to market are significant and efficient.
The study provides added support to the hypothesis of an integrated world financial