Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.540480
Title: The Chinese stock market : an emperical analysis of market segmentation, inter-relationships and theoretical versus actual stock prices
Author: Chen, Gang
Awarding Body: University of Aberdeen
Current Institution: University of Aberdeen
Date of Award: 2011
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Abstract:
This thesis contributes to our knowledge of the behaviour of the Chinese stock market by offering an empirical investigation into issues such as market segmentation, inter‐relationships between Chinese stock markets and inter‐relationships with foreign stock markets. Basic questions which have been typically analysed for developed stock markets are considered in this thesis. These include an analysis of core concepts such as volatility; causal links with economic variables and the reasons why the theoretical stock price may be different from the actual stock price. Methodological methods include; cointegration, generalised autoregressive heteroscedastic modelling (GARCH), vector autoregressive framework modelling (VAR) and panel data analysis. Both daily and monthly observations are used over a time period from 1996 to 2006. The results indicate that there is a rich set of reasons why we may observe phenomena such as a discount on B shares and a relationship between A shares and B shares. The findings also suggest that China is not isolated from the rest of the world and that there is evidence of inter‐relationships with foreign stock markets and that Chinese stock market prices are close to their fundamental value. This is not generally the finding for developed stock markets. Overall, it appears that the methodological approaches usually associated with developed stock markets can serve us well as useful tools in creating a deeper understanding of the underlying fundamentals describing the Chinese stock market.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.540480  DOI: Not available
Keywords: Stock market ; Stocks
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