專業考試證券期貨

HKSI 卷八證券題庫｜Paper 8 一次過合格

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1632 題 quizBank.difficulty.5 8/8/2026

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HKSI證券及期貨從業員資格考試卷八Paper 8「證券」題庫，免費線上練習，唔使再靠雞精。涵蓋證券市場運作、交易與結算、上市規則、市場參與者職能及相關監管條例，附計時模擬測驗及錯題重溫。適合報考SF…

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When trading derivative warrants (commonly known as warrants) on the Hong Kong Stock Exchange, investors face not only market price volatility but also a series of specific risks related to the product structure. Which of the following are risk factors that derivative warrant investors must carefully evaluate? (i) Risk of amplified losses due to the leverage effect (ii) Risk of accelerated time decay as the expiry date approaches (iii) Default risk arising from a downgrade in the issuer's credit rating (iv) Adjustment risk due to corporate actions (such as the payment of special dividends) on the underlying asset

僅 (i) 及 (ii) --- (i), (ii)

僅 (i)、(ii) 及 (iv) --- (i), (ii), (iv)

(i)、(ii)、(iii) 及 (iv) --- (i), (ii), (iii), (iv)

僅 (i)、(iii) 及 (iv) --- (i), (iii), (iv)

Assuming no changes in other variables, according to standard option pricing models (such as the Black-Scholes model), which of the following descriptions regarding the value of an option on an underlying asset are correct? (i) When the risk-free interest rate rises, the value of a call option generally increases due to the increased opportunity cost of holding the underlying asset. (ii) When the risk-free interest rate falls, the present value of the strike price for a put option increases, leading to an increase in the value of the put option. (iii) An increase in the expected volatility of the underlying asset will increase the value of both call and put options because it increases the probability of the option finishing in-the-money. (iv) As the expiry date approaches, even if the price of the underlying asset remains unchanged, the value of both call and put options will monotonically increase due to time decay.

僅 (i)、(ii) 及 (iii) --- (i), (ii), (iii)

僅 (i) 及 (iii) --- (i), (iii)

僅 (ii) 及 (iv) --- (ii), (iv)

僅 (i)、(iii) 及 (iv) --- (i), (iii), (iv)

Assuming all other factors remain constant, according to the pricing logic of the Black-Scholes Model, which of the following scenarios would most directly lead to an increase in the profit potential or a reduction in the risk faced by the seller (short position) of a European stock put option? (i) A significant rise in the market risk-free interest rate (ii) A substantial decrease in the implied volatility of the underlying stock (iii) The underlying stock announces the cancellation of a previously scheduled cash dividend during the option's validity period (iv) A strong upward movement in the spot price of the underlying stock

僅 (i)、(ii) 及 (iv) --- (i), (ii), (iv)

僅 (ii) 及 (iii) --- (ii), (iii)

僅 (i)、(iii) 及 (iv) --- (i), (iii), (iv)

(i)、(ii)、(iii) 及 (iv) 全是 --- (i), (ii), (iii), (iv)

Hengxin Enterprise is currently trading at $24.50 per share. The company's board of directors announced a fundraising plan to issue rights shares on a '3-for-7' basis at a subscription price of $18.00 per share. Assuming all eligible shareholders in the market fully exercise their rights to subscribe for new shares, and ignoring transaction taxes and commissions, which of the following values is closest to the Theoretical Ex-Rights Price (TERP) of the share on the ex-rights date?

21.25 元 --- $21.25

22.55 元 --- $22.55

23.10 元 --- $23.10

19.95 元 --- $19.95

The board of directors of Hengxin International Holdings Limited announced a proposed capitalization issue, distributing bonus shares to existing shareholders whose names appear on the register of members on the record date on the basis of 1 bonus share for every 10 existing shares held. Assuming the market is in a state of perfect efficiency and ignoring transaction costs, taxes, or the handling of fractional shares, which of the following statements regarding the impact of this bonus issue on the company's financial position and market performance is the least likely to be a direct consequence?

該公司的每股收益及每股帳面淨值將因股份總數增加而出現稀釋。 --- The company's earnings per share and net book value per share will be diluted due to the increase in the total number of shares.

該公司的法定股本及已發行股本總額將相應增加，導致股東權益總額上升。 --- The company's authorized share capital and total issued share capital will increase accordingly, leading to an increase in total shareholders' equity.

該公司的市場價值在除權日後理論上應保持不變，但每股股價將按比例下調。 --- The company's market value should theoretically remain unchanged after the ex-rights date, but the share price will be adjusted downward proportionally.

該項行動僅涉及會計帳項間的轉移，公司的現金水平及營運資金狀況不會受到實質影響。 --- This action only involves transfers between accounting entries, and the company's cash level and working capital position will not be substantially affected.

In the fixed income market, if an inverted yield curve is observed for benchmark government bonds, where long-term interest rates are significantly lower than short-term interest rates, which collective expectation of market participants regarding the future economic environment does this best reflect?

市場預期未來經濟增長將加速，導致風險資產溢價上升 --- The market expects future economic growth to accelerate, leading to an increase in risk asset premiums.

投資者預期長期通脹壓力將持續擴張，要求更高的期限補償 --- Investors expect long-term inflationary pressure to continue expanding, demanding higher term compensation.

市場預期未來經濟活動將放緩或進入衰退，導致名義利率在遠期下跌 --- The market expects future economic activity to slow down or enter a recession, leading to a decline in nominal interest rates in the forward period.

投資者預期短期內流動性過剩，導致短期債券價格相對於長期債券上揚 --- Investors expect excess liquidity in the short term, leading to a rise in short-term bond prices relative to long-term bonds.

Against the backdrop of structural shifts in the macroeconomic environment, Li Zhiming, a fixed income fund manager at the asset management firm 'Hengxin Investment', observes a sharp rise in market implied volatility. If Li Zhiming decides to rapidly convert a significant portion of his portfolio's long-term government bond holdings into money market instruments (such as Treasury bills or commercial paper), what is the most likely core investment logic based on his assessment of future market interest rate trends?

預期市場利率將進入上升週期，旨在透過縮短組合的久期以規避債券價格下跌的資本損失風險 --- Expecting market interest rates to enter an upward cycle, aiming to avoid capital loss risks from falling bond prices by shortening the portfolio's duration.

預期市場利率將大幅下調，試圖利用貨幣市場工具的高流動性來鎖定當前的名義收益率 --- Expecting market interest rates to be cut significantly, attempting to utilize the high liquidity of money market instruments to lock in current nominal yields.

預期收益率曲線將出現「牛市平坦化」，透過持有短期工具以獲取長期債券價格上漲帶來的資本利得 --- Expecting the yield curve to undergo a 'bull flattening', aiming to capture capital gains from rising long-term bond prices by holding short-term instruments.

預期通脹壓力已完全消退，轉向貨幣市場工具是為了在實際利率為負的環境下最大化購買力 --- Expecting inflationary pressure to have completely dissipated, shifting to money market instruments to maximize purchasing power in a negative real interest rate environment.

According to the Securities and Futures Ordinance and market practices in Hong Kong, which of the following statements regarding securities brokers operating in Hong Kong is the least correct?

儘管佣金是傳統的核心收入，但現代經紀行的收入來源已趨向多元化，包括保證金貸款利息及資產管理費。 --- Although commissions are the traditional core revenue, the revenue sources of modern brokerage firms have become diversified, including margin loan interest and asset management fees.

任何實體若欲在香港從事證券交易業務，必須向證券及期貨事務監察委員會申領第 1 類受規管活動牌照，除非獲得豁免。 --- Any entity wishing to engage in securities trading business in Hong Kong must apply for a Type 1 regulated activity license from the Securities and Futures Commission, unless exempted.

若要在香港聯合交易所有限公司的自動對盤及成交系統直接執行交易，該經紀必須同時具備交易所參與者資格及擁有交易權。 --- To directly execute trades on the Automatic Order Matching and Execution System of The Stock Exchange of Hong Kong Limited, the broker must possess both Exchange Participant status and trading rights.

經紀在所有情況下均受限於客戶的具體逐筆交易指令，嚴禁在未獲得客戶即時確認的情況下代其作出投資決策。 --- Brokers are restricted to specific transaction-by-transaction instructions from clients in all circumstances and are strictly prohibited from making investment decisions on behalf of clients without obtaining their immediate confirmation.

Hengxin Financial Group plans to purchase a discount commercial paper issued by Chengyi Trading Company with a face value of HK$500,000. It is known that the paper has 146 days remaining until maturity, and the current bond equivalent yield for similar risk-rated paper in the money market is 4.5%. If the calculation basis is 365 days per year, which of the following values is closest to the reasonable market value (i.e., discounted price) of this commercial paper?

488,997.55 港元 --- HK$488,997.55

491,159.14 港元 --- HK$491,159.14

491,000.00 港元 --- HK$491,000.00

495,632.88 港元 --- HK$495,632.88

In the macroeconomic cycle, when the market observes that large multinational institutions like Hengxin Enterprise have begun to implement structural, large-scale layoffs, accompanied by the following chain reactions, which specific stage of the economy is best reflected? (i) Enterprises generally adopt deleveraging strategies and significantly cut capital expenditure (ii) Inventory levels are forced to accumulate due to shrinking demand, leading to a sharp drop in capacity utilization (iii) The consumer confidence index hits a historical low, and deflationary pressure strengthens significantly (iv) The labor market shows obvious lagging characteristics, with the unemployment rate continuing to climb toward its peak

由擴張轉向收縮的拐點階段 --- The inflection point phase from expansion to contraction

由萎縮邁向低谷的衰退深化階段 --- The recession-deepening phase from contraction toward the trough

由低谷轉向復甦的初期擴張階段 --- The early expansion phase from the trough toward recovery

由復甦邁向繁榮的過熱增長階段 --- The overheating growth phase from recovery toward prosperity

Under the Securities and Futures (Contract Notes, Statements of Account and Receipts) Rules, a licensed corporation must provide clients with specific documents and information within statutory time limits after executing securities transactions. Which of the following items are mandatorily required to be provided under these Rules? (i) Identity information of the counterparty (e.g., counterparty broker ID) (ii) Contract notes containing transaction details (iii) Daily statements showing account balances and changes in holdings (iv) Monthly statements summarizing all activities and financial position for the month

僅 (i) 及 (ii) --- (i), (ii)

僅 (ii) 及 (iv) --- (ii), (iv)

僅 (ii)、(iii) 及 (iv) --- (ii), (iii), (iv)

(i)、(ii)、(iii) 及 (iv) 全部分項 --- (i), (ii), (iii), (iv)

Analyst Li Zhiming at Hengxin Asset Management is evaluating a one-year fixed-income bond investment. According to the latest data released by the Census and Statistics Department, the nominal interest rate for the coming year is expected to remain at 7.1%, while the expected inflation rate for the same period has been adjusted from 1.8% to 2.1%. If Li Zhiming wishes to calculate the most accurate expected real interest rate for this investment using the Fisher equation, which of the following values is the result closest to?

0.0467 0.0467

0.0490 0.0490

0.0500 0.0500

0.0935 0.0935

Against the macroeconomic backdrop of a plateauing high-interest rate environment and expected gradual decline in inflation, a financially sound, investment-grade blue-chip company listed on the Hong Kong Stock Exchange plans to issue a 10-year senior unsecured corporate bond with a fixed coupon rate and semi-annual interest payments. Assuming sufficient market liquidity, which type of investor would be most inclined to include this bond as a core holding when constructing their investment portfolio? (i) A 32-year-old professional in the career-growth phase, aiming for long-term capital appreciation through high-leverage investments. (ii) A 45-year-old high-net-worth entrepreneur whose main assets are equity in private companies, seeking asset class diversification to hedge operational risks. (iii) A 68-year-old retiree relying on MPF balances and personal savings for living expenses, with extremely high requirements for principal safety and stable cash flow. (iv) A 24-year-old entry-level civil servant saving for a home down payment in 5 years, seeking high-risk assets that can outperform long-term inflation.

(i) 及 (ii) --- (i), (ii)

僅 (ii) --- (ii)

僅 (iii) --- (iii)

(iii) 及 (iv) --- (iii), (iv)

Professional investor Mr. Lam observed significant volatility in a Hang Seng Index constituent stock before the market close and instructed his licensed broker to submit a buy order during the Closing Auction Session (CAS) of The Stock Exchange of Hong Kong Limited: to purchase 20,000 shares of the stock at a price not higher than HK$105.50 per share. According to current Exchange trading rules, how should this order, which carries a specific price limit and is restricted to the Closing Auction Session, be classified?

競價盤 --- At-auction order

增強限價盤 --- Enhanced limit order

特別限價盤 --- Special limit order

競價限價盤 --- At-auction limit order

Mr. Li Zhiming trades on margin through his brokerage firm, "Hengxin Securities." He purchased 5,000 shares of "Excellence Energy" at $40 per share. The brokerage firm requires an initial margin ratio of 45% and a minimum maintenance margin ratio of 30%. If Mr. Li did not trigger a margin call during his holding period and subsequently sold all shares when the price rose to $52 per share, what is the actual Return on Equity (ROE) of this margin trade, excluding borrowing interest, transaction commissions, and stamp duty?

30% 30%

45% 45%

66.67% 66.67%

54.55% 54.55%

According to the Code of Conduct issued by the Securities and Futures Commission (SFC) and relevant regulatory requirements, which of the following statements is most accurate when a licensee or registrant handles client orders?

只有 (i) 及 (iii) --- (i), (iii)

只有 (ii) 及 (iv) --- (ii), (iv)

只有 (ii)、(iii) 及 (iv) --- (ii), (iii), (iv)

(i)、(ii)、(iii) 及 (iv) 全部分 --- (i), (ii), (iii), (iv)

During an internal audit, Hengxin Asset Management Limited discovered that its Senior Investment Manager, Li Zhiming, held system access rights to both execute trading orders and perform post-trade reconciliation. Under the regulatory framework of the Securities and Futures Commission, how is the possibility of loss resulting from such internal control failure, personnel misconduct, or procedural defects (e.g., failure to effectively implement segregation of duties) primarily classified?

法律風險：指因合約無法執行或訴訟導致的損失 --- Legal risk: risk of loss resulting from the inability to enforce contracts or litigation

營運風險：指因內部程序、人員及系統失當或外部事件導致的損失 --- Operational risk: risk of loss resulting from inadequate or failed internal processes, people and systems or from external events

市場風險：指因市場價格波動導致持倉價值變動的風險 --- Market risk: risk of change in the value of holdings due to market price fluctuations

流動資金風險：指無法以合理成本及時履行支付義務的風險 --- Liquidity risk: risk of being unable to meet payment obligations in a timely manner at a reasonable cost

Senior investor Mr. Li Zhiming purchased a batch of ordinary shares of Wanxiang International through Hengxin Securities on the Stock Exchange of Hong Kong Limited on Thursday, 28 March 20X4. According to the current operating rules of Hong Kong Securities Clearing Company , assuming the following dates are non-trading days for the relevant period: (i) 29 March 20X4 : Good Friday (ii) 30 March 20X4 : Public Holiday (iii) 31 March 20X4 : Public Holiday (iv) 1 April 20X4 : Easter Monday Against this background, which of the following days should be the final settlement day for this securities transaction?

20X4 年 4 月 1 日 --- 1 April 20X4

20X4 年 4 月 2 日 --- 2 April 20X4

20X4 年 4 月 3 日 --- 3 April 20X4

20X4 年 4 月 4 日 --- 4 April 20X4

Assuming other pricing factors (such as underlying asset price, implied volatility, and time to maturity) remain constant, which of the following statements is most incorrect regarding the factors affecting the theoretical value of European equity call warrants?

相關證券價格的預期波幅增加，會導致認購權證的時間價值上升，進而推高權證價格。 --- An increase in the expected volatility of the underlying security will lead to an increase in the time value of the call warrant, thereby pushing up the warrant price.

當市場無風險利率水平上升時，由於持有相關證券的機會成本增加，認購權證的理論價格通常會隨之下降。 --- When the market risk-free interest rate rises, the theoretical price of a call warrant usually falls because the opportunity cost of holding the underlying security increases.

若相關證券預期在權證有效期內派發更高額的現金股息，該認購權證的當前理論價值將會受壓。 --- If the underlying security is expected to pay higher cash dividends during the warrant's validity period, the current theoretical value of the call warrant will be under pressure.

隨著權證愈接近到期日，其時間耗損的速度通常會加快，這對價外權證的價格影響尤為顯著。 --- As the warrant approaches its expiration date, the speed of time decay usually accelerates, which has a particularly significant impact on the price of out-of-the-money warrants.