This article uses linear and nonlinear Granger causality tests to study Granger causal relations among the stock markets of Greater China. In sharp contrast to the results disclosed by its linear counterpart, a nonlinear causality test provides evidence of isolated bi-directional causal...

The objective of this article is to investigate the risk premiums of the four-factor model in the Hong Kong stock market. We find that the magnitudes of the market, size and momentum premiums are similar, and that the pattern of the book-to-market premium is similar to the pattern of the size...

The purpose of this study is to explore the effect of tax convexity on firms’ market risk, where tax convexity measures the progressivity of firms’ tax function. We examine the relation between equity beta and tax convexity based on a standard contingent-claims model, in which firms face...

Published results of empirical tests over the past two decades indicate that the risk-return relation in the Hong Kong stock market is negative. Such findings refute the positive risk-returnrelation stipulatedinthe traditional CAPM. However, traditional CAPM invokes expected or ex-ante returns...

This paper investigates the stochastic properties of the beta distribution in Hong Kong for the period 1980-93. We test the distribution of beta for one-year and two-year nonoverlapping betas, and for the cumulative overlapping betas within our sample. We find similar results for both the...

This study investigates the impact of market integration on the profitability of two simple and popular technical trading rules, the Simple Moving Average (SMA) and the Trading Range Break (TRB) in Hong Kong. Using data from 1972 to 2006, we find that the SMA (1, 50) consistently outperforms the...