Download or read book Three Essays on the Chinese and International Stock Markets written by Jasmine Jie Chen and published by . This book was released on 2005 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Efficiency of the Chinese Stock Market and the Real Economy written by Hongwei Cai and published by . This book was released on 2011 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Mainland China s Stock Market Performance written by Han Zhou and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Three Essays on Chinese Stock Market written by Yuemin Han and published by . This book was released on 2007 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing in Mainland China written by Ruipeng Di and published by . This book was released on 1997 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in International Trade and Investment written by Ting Gao and published by . This book was released on 1998 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in China s Financial Market written by Chang Zhang and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Chinese Equity Market written by and published by . This book was released on 2011 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Effect of Price Limits on the Chinese Equity Market written by 李勤 and published by . This book was released on 2018 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Global Stock Markets written by Mengmeng Dong (Professor of finance) and published by . This book was released on 2018 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Essays on Financial and International Economics written by Xiaojing Su and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three essays. Chapter II investigates the dynamic relationship between stock returns and volume. I develop a new framework in which investors maximize their expected utility by optimally placing limit orders in the market. Because these limit orders differ in prices and quantities, transactions may occur at different prices during each trading period, and the instantaneous demand may not equal the instantaneous supply. Multiple trading periods may be necessary for stocks to reach equilibrium. A Mini-Exchange platform has been developed to simulate the trading process of the model. One outcome from the simulation suggests that, during periods of price adjustment, relatively low trading volume predicts a large absolute value change in future price. Empirical estimation by Zou (2007) shows that relatively low past trading volume indicates a relatively large price movement in the future. Her finding is consistent with the prediction of the model. In Chapter III, I measure the out-of-sample stock return predictability based on past price information. In particular, I use several nonlinear models to address the possible nonlinearity-in-mean predictability; I also adopt economic criteria, in addition to commonly used statistical criteria, to evaluate the forecasting performance. For thirteen major international stock markets, growth stocks appear to be more predictable than the general stock markets and value stocks, especially when evaluated with economic criteria. This novel finding is robust to a number of robustness checks. Overall, my results suggest that stock prices do not follow a random walk. Chapter IV in this dissertation turns to the effect of an aging problem in China on the real exchange rate of China. China is undergoing significant demographic changes as its population is aging and will become the biggest country that ages before getting rich. In this chapter, I extend the small open economy model with demographics and life-cycle dynamics (Faruqee 2002) by including a non-tradable sector. The simulation results show that a real appreciation exists in the Chinese exchange rate in the future. Another important finding is that the GDP per capita and consumption per capita will be lower than the case without the aging problem.
Download or read book The World s First Stock Exchange written by Lodewijk Petram and published by Columbia University Press. This book was released on 2014-05-27 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: This account of the sophisticated financial hub that was 17th-century Amsterdam “does a fine job of bringing history to life” (Library Journal). The launch of the Dutch East India Company in 1602 initiated Amsterdam’s transformation from a regional market town into a dominant financial center. The Company introduced easily transferable shares, and within days buyers had begun to trade them. Soon the public was engaging in a variety of complex transactions, including forwards, futures, options, and bear raids, and by 1680 the techniques deployed in the Amsterdam market were as sophisticated as any we practice today. Lodewijk Petram’s award-winning history demystifies financial instruments by linking today’s products to yesterday’s innovations, tying the market’s operation to the behavior of individuals and the workings of the world around them. Traveling back in time, Petram visits the harbor and other places where merchants met to strike deals. He bears witness to the goings-on at a notary’s office and sits in on the consequential proceedings of a courtroom. He describes in detail the main players, investors, shady characters, speculators, and domestic servants and other ordinary folk, who all played a role in the development of the market and its crises. His history clarifies concerns that investors still struggle with today—such as fraud, the value of information, trust and the place of honor, managing diverging expectations, and balancing risk—and does so in a way that is vivid, relatable, and critical to understanding our contemporary world.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book The New Stock Market written by Merritt B. Fox and published by Columbia University Press. This book was released on 2019-01-08 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. stock market has been transformed over the last twenty-five years. Once a market in which human beings traded at human speeds, it is now an electronic market pervaded by algorithmic trading, conducted at speeds nearing that of light. High-frequency traders participate in a large portion of all transactions, and a significant minority of all trade occurs on alternative trading systems known as “dark pools.” These developments have been widely criticized, but there is no consensus on the best regulatory response to these dramatic changes. The New Stock Market offers a comprehensive new look at how these markets work, how they fail, and how they should be regulated. Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg describe stock markets’ institutions and regulatory architecture. They draw on the informational paradigm of microstructure economics to highlight the crucial role of information asymmetries and adverse selection in explaining market behavior, while examining a wide variety of developments in market practices and participants. The result is a compelling account of the stock market’s regulatory framework, fundamental institutions, and economic dynamics, combined with an assessment of its various controversies. The New Stock Market covers a wide range of issues including the practices of high-frequency traders, insider trading, manipulation, short selling, broker-dealer practices, and trading venue fees and rebates. The book illuminates both the existing regulatory structure of our equity trading markets and how we can improve it.
Download or read book Three Essays on China s Foreign Trade written by Shunli Yao and published by . This book was released on 2000 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book written by Frank Joseph Shulman and published by Hong Kong University Press. This book was released on 2001-01-01 with total page 878 pages. Available in PDF, EPUB and Kindle. Book excerpt: A descriptively annotated, multidisciplinary, cross-referenced and extensively indexed guide to 2,395 dissertations that are concerned either in whole or in part with Hong Kong and with Hong Kong Chinese students and emigres throughout the world.
Download or read book China s Influence and American Interests written by Larry Diamond and published by Hoover Press. This book was released on 2019-08-01 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: While Americans are generally aware of China's ambitions as a global economic and military superpower, few understand just how deeply and assertively that country has already sought to influence American society. As the authors of this volume write, it is time for a wake-up call. In documenting the extent of Beijing's expanding influence operations inside the United States, they aim to raise awareness of China's efforts to penetrate and sway a range of American institutions: state and local governments, academic institutions, think tanks, media, and businesses. And they highlight other aspects of the propagandistic “discourse war” waged by the Chinese government and Communist Party leaders that are less expected and more alarming, such as their view of Chinese Americans as members of a worldwide Chinese diaspora that owes undefined allegiance to the so-called Motherland.Featuring ideas and policy proposals from leading China specialists, China's Influence and American Interests argues that a successful future relationship requires a rebalancing toward greater transparency, reciprocity, and fairness. Throughout, the authors also strongly state the importance of avoiding casting aspersions on Chinese and on Chinese Americans, who constitute a vital portion of American society. But if the United States is to fare well in this increasingly adversarial relationship with China, Americans must have a far better sense of that country's ambitions and methods than they do now.
