Two Essays On China S Stock Markets
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Two Essays On China S Stock Markets
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Author : 吴志国
language : en
Publisher:
Release Date : 2012
Two Essays On China S Stock Markets written by 吴志国 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Investments categories.
Two Essays On China S Stock Markets
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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
Two Essays On China S Stock Markets
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Author : Zhiguo Wu (Ph. D.)
language : en
Publisher:
Release Date : 2012
Two Essays On China S Stock Markets written by Zhiguo Wu (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Investments categories.
Three Essays On Mainland China S Stock Market Performance
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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.
Two Essays On Chinese Stock Market
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Author : Kam Hong Kwok
language : en
Publisher:
Release Date : 2003
Two Essays On Chinese Stock Market written by Kam Hong Kwok and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Market segmentation categories.
Two Essays On Lead Lag Patterns Between Trading Volume And Stock Return In China Stock Markets
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Author : Xiaotian Zhu
language : en
Publisher:
Release Date : 2007
Two Essays On Lead Lag Patterns Between Trading Volume And Stock Return In China Stock Markets written by Xiaotian Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Stock exchanges categories.
Chinese Companies And The Hong Kong Stock Market
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Author : Flora Xiao Huang
language : en
Publisher: Routledge
Release Date : 2013-10-30
Chinese Companies And The Hong Kong Stock Market written by Flora Xiao Huang and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-30 with Social Science categories.
Listing by companies from one country on the stock market of another country is a device often used both to raise capital in, and to increase bonding with, the target country. This book examines the listing by Chinese companies on the Hong Kong stock market. It discusses the extent of the phenomenon, compares the two different regulatory regimes, and explores the motivations for the cross-listing. It argues that a key factor, in addition to raising capital and bonding with the Hong Kong market, is Chinese companies’ desire to encourage legal and regulatory reforms along Hong Kong lines in mainland China, in order to develop and open up China’s domestic capital markets.
China Stock Market Handbook
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Author : jshop.javvin.com
language : en
Publisher: Javvin Technologies Inc.
Release Date : 2008
China Stock Market Handbook written by jshop.javvin.com and has been published by Javvin Technologies Inc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business categories.
This handbook is designed to help investors and financial professionals understand how China's stock market operates, and to harness their power to win more. It includes fundamental information of both the mainland China and Hong Kong markets.
The Chinese Capital Markets
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Author : Chris Adcock
language : en
Publisher: Routledge
Release Date : 2020-12-18
The Chinese Capital Markets written by Chris Adcock and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-18 with Business & Economics categories.
In the past China’s capital market featured prevalent state ownership and a weak legal environment. It has, however, achieved very substantial development in the past two decades. China has surpassed Japan as the world’s second-largest stock market and has also emerged as a leading player in green bonds and Fintech markets. The chapters in this book provide insights on Chinese listed firms and advance the understanding of China’s unique institutions. Some important questions are covered including the governance role of foreign investors in partially privatized firms, the financial implications of political connections, the "Chinese model" of commercial banks and regulatory reforms that promote the marketization of the stock markets, among others. These studies have important implications for other emerging economies, on the recent China-US trade conflicts and about the Trump administration's complaints about the role of the Chinese government in capital markets. This book selectively includes the most influential articles from two special issues of The European Journal of Finance, which were based on selections of papers presented at a series of conferences on the Chinese Capital Markets.
Three Essays On China S Foreign Exchange Markets
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Author : Yi David Wang
language : en
Publisher: Stanford University
Release Date : 2011
Three Essays On China S Foreign Exchange Markets written by Yi David Wang and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This dissertation is a compilation of three essays I wrote during my investigation of China's foreign exchange markets. I list the abstract of each in the following paragraphs. Essay 1: Anomaly in China's Dollar--RMB Forward Market Newly-established data on onshore deliverable US dollar--RMB forwards and the Shanghai Interbank Offered Rate from October 2006 to April 2009 reveal significant violations of covered interest rate parity. This paper hypothesizes that these violations are caused by an increase in US dollar-to-RMB conversion restrictions. Given that Chinese monetary authorities want to prevent market participants from taking advantage of the predictable appreciation of the RMB, China's State Administration of Foreign Exchange has to tighten up the control on US dollar-to-RMB conversions. Under the tightened conversion restrictions, similar deviations will resurface in the forward market whenever hot money inflow increases. One way to avoid covered interest rate parity violations in the forward market is to decrease hot money inflow into China by maintaining a stable and credible exchange rate policy. Essay 2: Convertibility Restriction in China's Foreign Exchange Market and its Impact on Forward Pricing Different from the well established markets such as the dollar-Euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than changes in credit risk and/or liquidity constraint. This paper proposes a theoretical framework under which the Chinese authorities impose conversion restrictions in the spot market in an attempt to achieve capital flow balance, but face the tradeoff between achieving such balance and disturbing current account transactions. Consequently, the level of conversion restriction should increase with the amount of capital account transactions and decrease with the amount of current account transactions. Such conversion restriction in turn places a binding constraint on forward traders' ability to cover their forward positions, resulting in the observed CIP deviation. More particularly, the model predicts that onshore forward rate is equal to a weighted average of CIP-implied forward rate and the market's expectation of future spot rate, with the weight determined by the level of conversion restriction. As a secondary result, the model also implies that offshore non-deliverable forwards reflect the market's expectation of future spot rate. Empirical results are consistent with these predictions. Essay 3: The Global Credit Crisis and China's Exchange Rate The case for stabilizing China's exchange rate against the dollar is strong. Before 2005 when the yuan/dollar rate was credibly fixed, it helped anchor China's domestic price level. But gradual RMB appreciation from July 2005 to July 2008 created a "one-way-bet" that disordered China's financial markets in two respects: (1) no private capital outflows to finance China's huge trade surplus leading to an undue build up of official exchange reserves and erosion of monetary control, and (2) a breakdown of the forward exchange market in 2007-08 so that exporters could no longer get trade credit—probably worsening the severe slump in Chinese exports. But after July 2008, the credit crunch induced an unexpected unwinding of the dollar carry trade leading to a sharp appreciation in the dollar's effective exchange rate. The People's Bank of China (PBC) then stopped RMB appreciation against the dollar. China's forward exchange market was restored and monetary control regained. Now the PBC can better support the fiscal stimulus by promoting a parallel expansion of bank credit. But, since March 2009, the fall in the dollar (with the RMB tied to it) again threatens to undermine the yuan/dollar rate and China's monetary stability.