Three Essays On The Chinese And International Stock Markets
DOWNLOAD
Download Three Essays On The Chinese And International Stock Markets PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Three Essays On The Chinese And International Stock Markets book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Three Essays On The Chinese And International Stock Markets
DOWNLOAD
Author : Jasmine Jie Chen
language : en
Publisher:
Release Date : 2005
Three Essays On The Chinese And International Stock Markets written by Jasmine Jie Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business enterprises categories.
Three Essays On Mainland China S Stock Market Performance
DOWNLOAD
Author : Han Zhou
language : en
Publisher:
Release Date : 2018
Three Essays On Mainland China S Stock Market Performance written by Han Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
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.
Three Essays On The Efficiency Of The Chinese Stock Market And The Real Economy
DOWNLOAD
Author : Hongwei Cai
language : en
Publisher:
Release Date : 2011
Three Essays On The Efficiency Of The Chinese Stock Market And The Real Economy written by Hongwei Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Three Essays On Chinese Stock Market
DOWNLOAD
Author : Yuemin Han
language : en
Publisher:
Release Date : 2007
Three Essays On Chinese Stock Market written by Yuemin Han and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Asset Pricing In Mainland China
DOWNLOAD
Author : Ruipeng Di
language : en
Publisher:
Release Date : 1997
Asset Pricing In Mainland China written by Ruipeng Di and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Three Essays In International Trade And Investment
DOWNLOAD
Author : Ting Gao
language : en
Publisher:
Release Date : 1998
Three Essays In International Trade And Investment written by Ting Gao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Three Essays On Global Stock Markets
DOWNLOAD
Author : Mengmeng Dong (Professor of finance)
language : en
Publisher:
Release Date : 2018
Three Essays On Global Stock Markets written by Mengmeng Dong (Professor of finance) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with International finance categories.
My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. In the third chapter “The Impact of Price Limits on Stock Volatility and Price Delay: Evidence from China”, I focus on the Chinese stock market and study how market interventions affect price behaviors. To overcome challenge in identification, I first match firms by characteristics and use difference-in-difference methodology to establish causality. Exploring a Special Treatment policy in China, I show that 5-basis-point tightening in daily price limits (from ±10% to ±5%) significantly reduces annualized volatility by 6.5 basis points (t =5.00) yet increases price delay by 63% from the previous year (t =7.40). Trading activity and liquidity significantly decrease under new limits but return increases by an equal-weighted average of 27% (t = 3.22) in 12 months. Evidence suggests that in the long-run price limits are effective in reducing volatility and improving firm value yet causing delayed price discovery and lower liquidity.
Three Essays On The Chinese Equity Market
DOWNLOAD
Author : Jing Chen
language : en
Publisher:
Release Date : 2011
Three Essays On The Chinese Equity Market written by Jing Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Equity categories.
Three Essays On The Effect Of Price Limits On The Chinese Equity Market
DOWNLOAD
Author : 李勤
language : en
Publisher:
Release Date : 2018
Three Essays On The Effect Of Price Limits On The Chinese Equity Market written by 李勤 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Stocks categories.
Two Essays On China S Stock Markets
DOWNLOAD
Author : Zhiguo Wu
language : en
Publisher:
Release Date : 2017-01-26
Two Essays On China S Stock Markets written by Zhiguo Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.
This dissertation, "Two Essays on China's Stock Markets" by Zhiguo, Wu, 吴志国, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: China's stock markets have become the second largest in the world after that of the United States. Both the Chinese institutional setting and the behaviors of the populous Chinese investors and listed firms provide novel opportunities to explore the classical theories in the field of economics and finance. Using two natural experiments, this thesis attempts to shed new light on these theories. The local bias puzzle was originally proposed from the analysis of investors' investment portfolios. In the first essay, I test and confirm the hypothesis that local bias has already existed in investor attention subconsciously regardless of their investment. In contrast to literature which focuses on investment accounts, I examine local bias in investor attention by analyzing investor messages posted on China's Internet stock message boards. I find that individual investors pay more attention to the stocks of local companies. This finding is strong and robust to local-bias proxy variables. By examining factors that affect investor attention local bias, I find that local bias is particularly strong in underdeveloped regions, for SOEs, for small-investor base and low-turnover stocks, and for stocks with name indicating locality. Furthermore, distance plays a significant role: the marginal effect of local bias is much stronger for distances within 500 kilometers. All these results are consistent with my explanation that local bias is affected by factors which can attract investors' attention. Thus, investment local bias is the natural consequence of investor attention local bias, and I attribute the local bias puzzle to limited investor attention. Chinese stock market has plunged into an unlocking flood of non-tradable shares since June 2006. This radical transition provides a unique natural experimental setting to ascertain earnings management incentives. In the second essay, I explore whether earnings management behavior exists in listed Chinese firms during the unlocking process. I find that non-tradable shareholders opportunistically manipulate earnings upward to offset price pressures for subsequent selling. Firms have higher levels of accruals when unlocking incentive is higher. Furthermore, actual selling incentive is higher in firms which have higher levels of accruals. The results document a novel case that equity incentives give rise to the incidence of earnings management. DOI: 10.5353/th_b4807976 Subjects: Investments - China - Decision making Stock exchanges - China