Essays on the Chinese financial markets
Essays on the Chinese financial markets
This thesis examines the stability of the Chinese stock market from three different aspects. In the market microstructure literature, the topic of the price-volume relation has been discussed for long time because it is potentially important in understanding how information is transmitted to the market as well as embedded in stock prices. However, the results in Chinese stock market are not consistent with the theoretical prediction since nonlinear Granger causality between price and volumes can not be detected. Then, we show that non-tradable shares matter on the stock market and affect the price-volume relation. Our findings indicate that the existence of liquidity constraint affects information flow, and in turn, result in different casual patterns of price-volume relation. Secondly, we use the aggregate level data to investigate the impact of fund investors' behaviour on market prices since recently the Chinese government implemented the policy to launch a number of mutual funds. In the literature the evidence of the impact of institutional trading on the stock prices is not conclusive. Our empirical findings do not support the hypothesis that investment fund trading destabilizes the prices at the market level. Finally, we explore the impact of warrant listing on the underlying stock prices. Through study of the links between stock market and derivative market, we argue whether the change in volatility of the underlying asset might arise from other factors rather than warrant listing across periods. The empirical results show that the introduction of equity warrant does not significantly affect the underlying asset market and the change in the volatility of the underlying stock resulted from the market-wide and industry-wide influences.
University of Southampton
Zhu, Yun
0003e7c5-4db8-4e3c-b9f7-5f74056d1828
2008
Zhu, Yun
0003e7c5-4db8-4e3c-b9f7-5f74056d1828
Zhu, Yun
(2008)
Essays on the Chinese financial markets.
University of Southampton, Doctoral Thesis.
Record type:
Thesis
(Doctoral)
Abstract
This thesis examines the stability of the Chinese stock market from three different aspects. In the market microstructure literature, the topic of the price-volume relation has been discussed for long time because it is potentially important in understanding how information is transmitted to the market as well as embedded in stock prices. However, the results in Chinese stock market are not consistent with the theoretical prediction since nonlinear Granger causality between price and volumes can not be detected. Then, we show that non-tradable shares matter on the stock market and affect the price-volume relation. Our findings indicate that the existence of liquidity constraint affects information flow, and in turn, result in different casual patterns of price-volume relation. Secondly, we use the aggregate level data to investigate the impact of fund investors' behaviour on market prices since recently the Chinese government implemented the policy to launch a number of mutual funds. In the literature the evidence of the impact of institutional trading on the stock prices is not conclusive. Our empirical findings do not support the hypothesis that investment fund trading destabilizes the prices at the market level. Finally, we explore the impact of warrant listing on the underlying stock prices. Through study of the links between stock market and derivative market, we argue whether the change in volatility of the underlying asset might arise from other factors rather than warrant listing across periods. The empirical results show that the introduction of equity warrant does not significantly affect the underlying asset market and the change in the volatility of the underlying stock resulted from the market-wide and industry-wide influences.
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Published date: 2008
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Local EPrints ID: 466508
URI: http://eprints.soton.ac.uk/id/eprint/466508
PURE UUID: 5f188c0d-54ae-48b5-b2a4-0d9ade30d706
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Date deposited: 05 Jul 2022 05:29
Last modified: 16 Mar 2024 20:44
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Author:
Yun Zhu
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