Three Essays on Chinese Stock Market
Author | : Yuemin Han |
Publisher | : |
Total Pages | : 117 |
Release | : 2007 |
Genre | : |
ISBN | : |
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Author | : Yuemin Han |
Publisher | : |
Total Pages | : 117 |
Release | : 2007 |
Genre | : |
ISBN | : |
Author | : Hongwei Cai |
Publisher | : |
Total Pages | : 320 |
Release | : 2011 |
Genre | : |
ISBN | : |
Author | : Jasmine Jie Chen |
Publisher | : |
Total Pages | : 248 |
Release | : 2005 |
Genre | : Business enterprises |
ISBN | : |
Author | : Han Zhou |
Publisher | : |
Total Pages | : 0 |
Release | : 2018 |
Genre | : |
ISBN | : |
The thesis consists of three essays that examine empirical factors important for explaining the performance of the mainland China stock market. The first chapter discusses whether other stock market performances could explain the mainland China stock market performance within the framework of greater China. This chapter provides empirical evidence of the non-existence of stable cointegrating relationships among the mainland China, Hong Kong and Taiwan stock markets. The empirical results of short-run spillover effects on both first and second moments indicate that mainland China stock markets serve as an information generator, the Taiwan stock market serves as an information receptor and the Hong Kong stock market functions as both an information generator and receptor. The second chapter empirically studies the linkages between mainland China monetary policies and stock market performance by employing event study and SVAR methods. The empirical results indicate that first, monetary policy announcements concerning benchmark interest rates and required reserve ratio adjustments have effects on stock market volatility; second, a positive monetary policy shock in mainland China could decrease stock prices in the short run, and the effect of the policy trends slightly towards 0; third, a positive stock price shock could have a positive effect on interbank rates; and fourth, this effect has an increasing trend followed by a decreasing trend. The third chapter provides empirical evidence that an increase in institutional ownership can increase stock return volatility. The chapter first confirms that an increase in institutional ownership of one listed firm increases that firm's stock return volatility. Second, the chapter provides evidence that the marginal effect of institutional ownership on the volatility of one firm-level stock return decreases with an increase in institutional ownership and that this effect becomes negative when institutional ownership exceeds a certain threshold of approximately 28%. Additionally, we observe that an increase in institutional ownership can decrease stock return synchronicity.
Author | : Ruipeng Di |
Publisher | : |
Total Pages | : 266 |
Release | : 1997 |
Genre | : |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 490 |
Release | : 2011 |
Genre | : Equity |
ISBN | : |
Author | : 李勤 |
Publisher | : |
Total Pages | : 144 |
Release | : 2018 |
Genre | : Stocks |
ISBN | : |
Author | : Shiguang Ma |
Publisher | : Routledge |
Total Pages | : 304 |
Release | : 2017-11-30 |
Genre | : Business & Economics |
ISBN | : 1351146904 |
By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.
Author | : Kam Hong Kwok |
Publisher | : |
Total Pages | : 238 |
Release | : 2003 |
Genre | : Market segmentation |
ISBN | : |
Author | : Yun Pu (Ph. D. in agricultural economics) |
Publisher | : |
Total Pages | : 129 |
Release | : 2018 |
Genre | : Stock exchanges |
ISBN | : |
In college admissions in China, the Boston mechanism (BM) was replaced by the deferred acceptance mechanism (DA). In the first chapter, I compare the empirical performance of these two mechanisms in the Chinese context. To do so, I develop an empirical model and apply it to college admissions in the provinces of Guangxi, Hebei, and Sichuan. Then, I conduct counterfactuals to empirically compare BM and DA in these three provinces for given years. I find that not only is BM superior to DA in terms of total welfare, but also that most students receive lower utility after the switch from BM to DA. Regarding college admissions in China, each college has a quota for each province. Under this province-specific quota system, students in different provinces do not compete with each other and are not differentiated after admission. As opposed to the pooling quota system, where each college has a quota for multiple provinces, the province-specific quota system may introduce unfairness and inefficiency. In the second chapter, I develop a model based on Pu (2018) to empirically compare the two systems in Guangxi, Hebei, and Sichuan in 2006 and 2007. I find that pooling quotas improve students' welfare and so does combining quotas for more provinces. However, students in some provinces have lower utility after pooling the quotas. Since students are treated equally after pooling, the results indicate the unfairness of the province-specific quota system. All results indicate the government should abandon the province-specific quota system. In the third chapter, I construct a model to disaggregate traders into categories based on their strategic approach (fundamental versus technical) and perception of future price trends. Testing the model with data from the Shanghai Stock Exchange (SSE), it finds a minimal presence of fundamental traders. However, the model estimation reveals that the SSE is weak-form efficient as technical traders apparently do not earn abnormal profits.