%PDF-1.5 % 1 0 obj << /S /GoTo /D (chapter.1) >> endobj 4 0 obj (1 Introduction) endobj 5 0 obj << /S /GoTo /D (section.1.1) >> endobj 8 0 obj (1.1 Overview) endobj 9 0 obj << /S /GoTo /D (section.1.2) >> endobj 12 0 obj (1.2 Institutional Background) endobj 13 0 obj << /S /GoTo /D (subsection.1.2.1) >> endobj 16 0 obj (1.2.1 Short Sales in Hong Kong) endobj 17 0 obj << /S /GoTo /D (subsection.1.2.2) >> endobj 20 0 obj (1.2.2 Simultaneous Entry to the Hang Seng Index) endobj 21 0 obj << /S /GoTo /D (section.1.3) >> endobj 24 0 obj (1.3 Motivations, Research Questions and Summary) endobj 25 0 obj << /S /GoTo /D (section.1.4) >> endobj 28 0 obj (1.4 Structure of the Thesis) endobj 29 0 obj << /S /GoTo /D (chapter.2) >> endobj 32 0 obj (2 Tests of Hypothesis for Short Sales and Price Discovery using the VAR Model) endobj 33 0 obj << /S /GoTo /D (section.2.1) >> endobj 36 0 obj (2.1 Introduction) endobj 37 0 obj << /S /GoTo /D (section.2.2) >> endobj 40 0 obj (2.2 Literature Review) endobj 41 0 obj << /S /GoTo /D (section.2.3) >> endobj 44 0 obj (2.3 The Model and Hypothesis Tests) endobj 45 0 obj << /S /GoTo /D (subsection.2.3.1) >> endobj 48 0 obj (2.3.1 The VAR Model) endobj 49 0 obj << /S /GoTo /D (subsection.2.3.2) >> endobj 52 0 obj (2.3.2 A Model Consistency Check) endobj 53 0 obj << /S /GoTo /D (subsection.2.3.3) >> endobj 56 0 obj (2.3.3 Hypothesis Tests) endobj 57 0 obj << /S /GoTo /D (section.2.4) >> endobj 60 0 obj (2.4 Data Description) endobj 61 0 obj << /S /GoTo /D (section.2.5) >> endobj 64 0 obj (2.5 Results) endobj 65 0 obj << /S /GoTo /D (subsection.2.5.1) >> endobj 68 0 obj (2.5.1 Statistics Summary) endobj 69 0 obj << /S /GoTo /D (subsection.2.5.2) >> endobj 72 0 obj (2.5.2 Model Validation) endobj 73 0 obj << /S /GoTo /D (subsection.2.5.3) >> endobj 76 0 obj (2.5.3 Changes in Model Parameters) endobj 77 0 obj << /S /GoTo /D (subsection.2.5.4) >> endobj 80 0 obj (2.5.4 Parameter Dynamics) endobj 81 0 obj << /S /GoTo /D (subsection.2.5.5) >> endobj 84 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Checking) endobj 121 0 obj << /S /GoTo /D (subsection.3.2.1) >> endobj 124 0 obj (3.2.1 The Univariate GARCH Model) endobj 125 0 obj << /S /GoTo /D (subsection.3.2.2) >> endobj 128 0 obj (3.2.2 The BEKK Model) endobj 129 0 obj << /S /GoTo /D (subsection.3.2.3) >> endobj 132 0 obj (3.2.3 Diagnostic Checking) endobj 133 0 obj << /S /GoTo /D (section.3.3) >> endobj 136 0 obj (3.3 Data Description) endobj 137 0 obj << /S /GoTo /D (section.3.4) >> endobj 140 0 obj (3.4 Results) endobj 141 0 obj << /S /GoTo /D (subsection.3.4.1) >> endobj 144 0 obj (3.4.1 Diagnostic Tests for ARCH Effects) endobj 145 0 obj << /S /GoTo /D (subsection.3.4.2) >> endobj 148 0 obj (3.4.2 Selection Criteria for Different GARCH Models) endobj 149 0 obj << /S /GoTo /D (subsection.3.4.3) >> endobj 152 0 obj (3.4.3 Model Validation) endobj 153 0 obj << /S /GoTo /D (subsection.3.4.4) >> endobj 156 0 obj (3.4.4 Changes in Model Parameters) endobj 157 0 obj << /S /GoTo /D (subsection.3.4.5) >> endobj 160 0 obj (3.4.5 Parameter Dynamics) endobj 161 0 obj << /S /GoTo /D (subsection.3.4.6) >> endobj 164 0 obj (3.4.6 Z Scores for Tests of Difference in Model Parameters) endobj 165 0 obj << /S /GoTo /D (section.3.5) >> endobj 168 0 obj (3.5 Conclusions) endobj 169 0 obj << /S /GoTo /D (Appendix.2.E) >> endobj 172 0 obj (Appendix E Other Tables) endobj 173 0 obj << /S /GoTo /D (chapter.4) >> endobj 176 0 obj (4 The Effect of Market Returns, Crises, Market Capitalisation, Trading Volume and Short Sales.) endobj 177 0 obj << /S /GoTo /D (section.4.1) >> endobj 180 0 obj (4.1 Introduction) endobj 181 0 obj << /S /GoTo /D (section.4.2) >> endobj 184 0 obj (4.2 Literature Review) endobj 185 0 obj << /S /GoTo /D (section.4.3) >> endobj 188 0 obj (4.3 Model for the Effect of Market Conditions) endobj 189 0 obj << /S /GoTo /D (section.4.4) >> endobj 192 0 obj (4.4 Data Description) endobj 193 0 obj << /S /GoTo /D (section.4.5) >> endobj 196 0 obj (4.5 Results) endobj 197 0 obj << /S /GoTo /D (subsection.4.5.1) >> endobj 200 0 obj (4.5.1 Market Conditions) endobj 201 0 obj << /S /GoTo /D (subsubsection.4.5.1.1) >> endobj 204 0 obj (4.5.1.1 Dummy Variable of Current and One-day Lagged Market Return) endobj 205 0 obj << /S /GoTo /D (subsubsection.4.5.1.2) >> endobj 208 0 obj (4.5.1.2 Crisis Period) endobj 209 0 obj << /S /GoTo /D (subsubsection.4.5.1.3) >> endobj 212 0 obj (4.5.1.3 Up and Down Markets) endobj 213 0 obj << /S /GoTo /D (subsection.4.5.2) >> endobj 216 0 obj (4.5.2 Market Capitalisation) endobj 217 0 obj << /S /GoTo /D (subsection.4.5.3) >> endobj 220 0 obj (4.5.3 Trading Volume) endobj 221 0 obj << /S /GoTo /D (subsection.4.5.4) >> endobj 224 0 obj (4.5.4 Shorting Activity) endobj 225 0 obj << /S /GoTo /D (subsubsection.4.5.4.1) >> endobj 228 0 obj (4.5.4.1 Short Interest) endobj 229 0 obj << /S /GoTo /D (subsubsection.4.5.4.2) >> endobj 232 0 obj (4.5.4.2 Shorting Flow) endobj 233 0 obj << /S /GoTo /D (section.4.6) >> endobj 236 0 obj (4.6 Conclusions) endobj 237 0 obj << /S /GoTo /D (Appendix.3.F) >> endobj 240 0 obj (Appendix F Other Table) endobj 241 0 obj << /S /GoTo /D (chapter.5) >> endobj 244 0 obj (5 Conclusions) endobj 245 0 obj << /S /GoTo /D (section.5.1) >> endobj 248 0 obj (5.1 Summary of Findings) endobj 249 0 obj << /S /GoTo /D (section.5.2) >> endobj 252 0 obj (5.2 Areas for Future Research) endobj 253 0 obj << /S /GoTo /D (section*.115) >> endobj 256 0 obj (References) endobj 257 0 obj << /S /GoTo /D [258 0 R /Fit] >> endobj 265 0 obj << /Length 462 /Filter /FlateDecode >> stream xڅKo0 /aǾ~4CQ+] ʀSHUf!F"pC@RN=`2h.%)j=nTʃ,:ln\"xxL~I +ERhU`vC81nhtR١qOaΞ+"0 hM2DBFrRѯ L,;KpRrCu}dج_nO^Yz +L\ ""MLaJW;צ!)(T]9퐀}@ǻOZw I?a^<ĎS7{qh_-Zqmst)h`oWcͳïO{6'S4 ;B\^{j^pxv7HrEd%EWWyT endstream endobj 258 0 obj << /Type /Page /Contents 265 0 R /Resources 264 0 R /MediaBox [0 0 595.276 841.89] /Parent 272 0 R /Group 260 0 R /Annots [ 261 0 R 262 0 R 263 0 R ] >> endobj 259 0 obj << /Type /XObject /Subtype /Image /Width 468 /Height 557 /BitsPerComponent 8 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