Now showing 1 - 2 of 2
  • Publication
    Empirical Analysis of Asset Pricing Models, Prospect Theory and Covid-19 Pandemic: Evidence from Hong Kong Stock Market
    (University College Dublin. School of Business, 2022)
    Covid-19 causes hundreds of deaths globally meanwhile it brings higher volatility on Hong Kong Stock Market which is the financial center of Asia. It attracts to investigate whether Asset Pricing Models, Prospect Theory and Covid-19 Pandemic can clearly illustrate variations in stocks returns on the market via a set of regression analysis. The empirical findings demonstrate that Hong Kong Stock Market experiences large fluctuations during the pandemic; Hang Seng Index positively relates to constructed portfolios; Government interventions such as Lockdown and Traveling Restrictions bring higher returns on the index; Crude Oil is another factor that affects the stock market negatively; Stocks with the highest previous monthly returns tend to have higher returns in the current month; Asset Pricing Models can provide assistance on assessing whether market efficiency exists in Hong Kong Stock Market.
  • Publication
    Research on the Corporate Bond Risk Factors
    (BCP, 2023-04-27)
    The global bond market is greater than the global equity market meanwhile it grows gradually in recent years. Issuing corporate bonds is an ideal channel for enterprises to raise funds in the course of COVID-19 and also provides resilience in the market. Moody's, Standard & Poor's and Fitch are well-known global credit rating agencies and suggest investors purchasing investment-grade bonds for reasonable risks and returns. But local credit rating agencies have limited capacities to appraise local bonds. In the COVID-19 crisis, widen yield spreads represent likelihood of default which can be a measure of credit risk. Besides, government interventions (i.e., Quantitative Easing Program) can effectively eliminate credit risks and Confucian culture is a factor in assessing credit risks of corporate bonds. As for liquidity risk, Chinese bond market is less liquid than the US bond market and financial bonds are the most liquid in the Chinese market. The liquidity risk is caused by inaccurate information and market risk tolerance whereas market risk tolerance integrates credit and liquidity, the main measurement of liquidity risk is transaction cost which means that higher transaction cost can impede liquidity in the bond market. Finally, market risk comprises of COVID-19 pandemic, market design and biodiversity risk. The epidemic tightens the financial condition of developing countries and depreciates the currency of the bond market which raises term structure of interest rate up. A well-designed financial market system can help stabilize fluctuations during financial crisis. Besides, biodiversity risk is relevant to the operation apartment of companies.