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Three essays on Chinese stock market

Three essays on Chinese stock market
Three essays on Chinese stock market

The thesis first investigated the regional effect on companies listing choice between two stock exchanges in China since dual listing is not allowed.  Our major contribution is to find that one unique feature of China’s public listing is the regional effect, especially the location factor.  Our model indicates that companies located in most provinces around Shenzhen, especially Guangdong province prefer to listing on Shenzhen Stock Exchange (SZSE).  And the same situation applies to companies listed on Shanghai Stock Exchange (SHSE).

Secondly, we test the effectiveness of price limits in Chinese stock market.  The effectiveness of price limits as means to control excessive volatility has long been a controversial issue.  The unique situation in the Shanghai stock exchange where price limits have been imposed twice in 1990’s enables us to investigate the effectiveness of the mechanism.  In this paper, we investigate the effects of price limits on the A-share index of Shanghai Stock Exchange.  We have adopted a comprehensive approach which compares the excess kurtosis and the unconditional volatility in the three periods, in which the price limits is on in the first and third periods.  Our analysis is carried out in the framework of cointegration and EGARCH models.

Finally, we try to identify the long term trend and co-integrations between A and B shares’ system risk.  One of our main results shows that there exists causal relationship between A shares in SHSE and in SZSE.  However, although causal relationship also found in B-shares between two stock exchanges, the transmission direction is opposite to A-share’s.  The main reasons are the differences in market scale and sensitivity between A-share and B-share markets.  This also reflects the two markets are segmented.

University of Southampton
Han, Yuemin
d723a21c-9067-4081-b609-3a7068ebdb07
Han, Yuemin
d723a21c-9067-4081-b609-3a7068ebdb07

Han, Yuemin (2007) Three essays on Chinese stock market. University of Southampton, Doctoral Thesis.

Record type: Thesis (Doctoral)

Abstract

The thesis first investigated the regional effect on companies listing choice between two stock exchanges in China since dual listing is not allowed.  Our major contribution is to find that one unique feature of China’s public listing is the regional effect, especially the location factor.  Our model indicates that companies located in most provinces around Shenzhen, especially Guangdong province prefer to listing on Shenzhen Stock Exchange (SZSE).  And the same situation applies to companies listed on Shanghai Stock Exchange (SHSE).

Secondly, we test the effectiveness of price limits in Chinese stock market.  The effectiveness of price limits as means to control excessive volatility has long been a controversial issue.  The unique situation in the Shanghai stock exchange where price limits have been imposed twice in 1990’s enables us to investigate the effectiveness of the mechanism.  In this paper, we investigate the effects of price limits on the A-share index of Shanghai Stock Exchange.  We have adopted a comprehensive approach which compares the excess kurtosis and the unconditional volatility in the three periods, in which the price limits is on in the first and third periods.  Our analysis is carried out in the framework of cointegration and EGARCH models.

Finally, we try to identify the long term trend and co-integrations between A and B shares’ system risk.  One of our main results shows that there exists causal relationship between A shares in SHSE and in SZSE.  However, although causal relationship also found in B-shares between two stock exchanges, the transmission direction is opposite to A-share’s.  The main reasons are the differences in market scale and sensitivity between A-share and B-share markets.  This also reflects the two markets are segmented.

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Published date: 2007

Identifiers

Local EPrints ID: 466327
URI: http://eprints.soton.ac.uk/id/eprint/466327
PURE UUID: 35766c20-972e-4ffb-83fa-5508dcb51387

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Date deposited: 05 Jul 2022 05:10
Last modified: 16 Mar 2024 20:38

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Contributors

Author: Yuemin Han

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