Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.558143
Title: Empirical investigations into stock market integration and risk monitoring of the emerging Chinese stock markets
Author: Chen, Xing
Awarding Body: University of St Andrews
Current Institution: University of St Andrews
Date of Award: 2012
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Abstract:
The degree of stock market integration has important implication for cross-border portfolio diversification, for which the Mainland China has become an attractive destination, particularly following the gradual open-up of its A-share market to foreign institutional investors. The first part of this thesis explores the various aspects of stock market integration taking place in Mainland China, in an attempt to resolve the ambiguity between extant empirical and anecdotal evidence on the issue. The evidence drawn from different statistical perspectives collectively establishes that the Mainland Chinese stock market is in a process of further integrating with a selection of world's developed stock markets. Nevertheless, such increased integration should not preclude foreign institutional investors from diversifying into the Chinese A-share market, as the current integration is far from being complete. Adopting appropriate risk monitoring technique for venturing into the volatile Chinese A- share market is another imperative issue faced by foreign institutional investors, whose risk practices and economic capital are largely regulated by the Basel Accord. The second leg of this thesis addresses this problem through an evaluation of various volatility forecasting models for Value-at-Risk (VaR) reporting. Our results highlight the importance of adopting heterogeneous risk monitoring models in different investment environments for the purpose of regulatory compliance and optimal economic capital allocation. Overall, the studies contained in this thesis should add knowledge to the burgeoning literature on international financial integration at large, while serving the interests of institutional investors, and financial regulatory authorities alike.
Supervisor: McMillan, David G.; Tavakoli, Manouche Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.558143  DOI: Not available
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