Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.540479
Title: Three essays on the Chinese equity market
Author: Chen, Jing
Awarding Body: University of Aberdeen
Current Institution: University of Aberdeen
Date of Award: 2011
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Abstract:
This thesis presents three essays on the Chinese equity market. Specifically I focus on the long run common trends and microstructure of the market after a set of regulatory events that surrounded a trading reform in 2001. The major goal of the thesis is to establish the interaction between the composition and medium of the transaction environment and the overall observed trends within the market at the aggregate level. In Chapter 2, I present a model of common trends amongst the Chinese equity market segments and implement a robust test for cointegrating relations.  In Chapter 3, I derive a multivariate linear rational expectations model in the presence of heteroscedasticity and information asymmetry.  In Chapter 4, I implement this theoretical model for A and B share cross listed stocks on the Shanghai stock exchange and impute the model parameters.  Whilst these chapters concentrate on China, the methodology and economic rationale are of practical relevance to all countries and most types of traded securities.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.540479  DOI: Not available
Keywords: Equity ; Investment analysis ; Securities ; Stock exchanges ; Portfolio management
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