International market issues in Shanghai financial price behaviour

Abstract

This thesis conducts the first-ever detailed examination of the impacts of the international stock markets on the Shanghai stock market. The main aim is to investigate whether information originated from other stock markets has adverse effects on the Shanghai stock market, and consequently, to derive some implications for policy agents, investors, and further research. This study is based on four relatively related research papers, which focus on the impacts of information from different perspectives. It has identified the significant decline of the Shanghai stock price volatility after 1^st July 1997. It has also analysed factors from the Hong Kong stock market that impact on Shanghai stock prices. To make this study more robust, the concept of co-persistence in variances is adopted to examine the validity of the methodologies used in the first paper. Moreover, functions of the futures market is also discussed in order to achieve a better understanding of how information coming from the derivative market improves its underlying spot market. This research study supports the main hypothesised notation that we place more emphasis on improving inter-market information linkages. As a by-product the financial portfolio frontier is discussed when the variance-covariance matrix in singular.

More information

Identifiers

Catalogue record

Export record

ASCII CitationAtomBibTeXData Cite XMLDublin CoreDublin CoreEP3 XMLEndNoteHTML CitationHTML CitationHTML ListJSONMETSMODSMPEG-21 DIDLOpenURL ContextObjectOpenURL ContextObject in SpanRDF+N-TriplesRDF+N3RDF+XMLRIOXX2 XMLReferReference ManagerSimple Metadata