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Studies of the behavior of Chinese s...

Su, Dongwei.

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Studies of the behavior of Chinese stock markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Studies of the behavior of Chinese stock markets./
作者:	Su, Dongwei.
面頁冊數:	128 p.
附註:	Source: Dissertation Abstracts International, Volume: 58-05, Section: A, page: 1843.
Contained By:	Dissertation Abstracts International58-05A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9731722
ISBN:	9780591413151

Studies of the behavior of Chinese stock markets.
Su, Dongwei.

Studies of the behavior of Chinese stock markets. - 128 p.

Source: Dissertation Abstracts International, Volume: 58-05, Section: A, page: 1843.

Thesis (Ph.D.)--The Ohio State University, 1997.

The rapid growth of the Chinese stock markets have been accompanied by some difficulties. Problems include high initial public offering (IPO) underpricing, market segmentation and high stock-market return volatility. My dissertation deals with these problems.

ISBN: 9780591413151Subjects--Topical Terms:

542899
Finance.

Studies of the behavior of Chinese stock markets.
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500 $a Source: Dissertation Abstracts International, Volume: 58-05, Section: A, page: 1843.
500 $a Adviser: Belton Fleisher.
502 $a Thesis (Ph.D.)--The Ohio State University, 1997.
520 $a The rapid growth of the Chinese stock markets have been accompanied by some difficulties. Problems include high initial public offering (IPO) underpricing, market segmentation and high stock-market return volatility. My dissertation deals with these problems.
520 $a In the first part of my dissertation, I test two conditions describing market efficiency for the Chinese case. The results show that the random walk hypothesis can be rejected for Chinese stock markets but not for more mature world equity markets. The null hypothesis of no cointegration is rejected for domestic A-share market but not for foreign B-share market. I also formulate and test an empirical model that captures the effect of local and global information variables on the conditional mean of stock-market returns and characterize the second order conditional moments using three error generation processes. I find that stock-market returns in China are time-varying, mildly persistent, leptokurtotic and influenced by exogenous government policy variables.
520 $a In the second part of my dissertation, I discuss an Intertemporal Capital Asset Pricing Model (ICAPM) to explain the difference in prices and the variation of expected returns between classes of shares that can be bought by Chinese citizens and foreign investors, respectively. I find that cross-sectional variability in the spread between the expected domestic and foreign share excess returns is related to the differences in individual shares' market betas in a manner consistent with the prediction of the ICAPM. After the betas are controlled for, idiosyncratic variance and firm size have no effect.
520 $a In the third part of my dissertation, I adapt and build on existing theoretical analysis to consider the peculiarities of the IPO process and to explain the extraordinary high IPO underpricing that characterizes Chinese stock markets. I find that cross-sectional differences in domestic A-share IPO underpricing are positively related to the size of subsequent seasoned equity offerings (SEOs), which is consistent with the signaling models in the literature. However, I reject the world bank hypothesis that lottery mechanism in allocating the oversubscribed share affects the IPO underpricing.
520 $a When I apply the analysis to foreign B-share IPOs, I find that traditional signaling models do not explain the cross-sectional differences in underpricing of these IPOs. Instead, past information about the issuers seems to have better explanatory power. The differences between the underpricing of A- and B-share IPOs can be explained by the differences in domestic and foreign investors' investment opportunity sets and investment sentiments.
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791 $a Ph.D.
792 $a 1997
793 $a English
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