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The thesis examines the commonality in liquidity on the Chinese stock market from three different aspects. Using a proprietary set of data from China, I confirm that commonality in liquidity is present in China and seems more significant and pervasive than that of similar markets. Its existence is robust to the influences of the size, industry, and up and down markets effects. In parallel to a market-wide component, I find in the commonality construct an industrial component. Liquidity of large firms' stocks is found to be more likely to move with market liquidity. I also find that Chinese investors exhibit herding behaviour in their liquidity management. In the face of shocks to market liquidity, Chinese market participants tend to adjust both the spread and the depth. In a down market, market liquidity moves more widely and commonality in liquidity becomes more significant. Sources of commonality in liquidity in China are multitude. Using the number of trades as an indicator of informed trading, results suggest a common component in asymmetric information at the market and industry levels. Following the market conditions approach, I find that commonality in liquidity is determined by common factors in market volatility and market liquidity. But common factors in interest rate and market return are insignificant. In addition, market return, volatility, and share turnover can significantly influence liquidity. Thus, market liquidity is found to be resilient to both market-level and economy-v-;ide shocks. Inflation and monetary policy are particularly important in explaining liquidity'S variation. Existence of commonality in liquidity has found implications for asset pricing. The impacts of commonality in liquidity showed the cross-section of average returns in China derived from a priced liquidity risk factor. In a dynamic asset pricing model, aggregate liquidity is found to be a priced risk factor and a significant liquidity risk premium is present on the Chinese stock market when dispersing average returns in the portfolios and adopting relevant measure of market-wide illiquidity.

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The purpose of this thesis is to analyse the effect of corporate governance on firm performance and information leakage in the Chinese securities market. As one of the major emerging markets in the world, the results of this thesis are valuable not only to the Chinese market, but also to other emerging markets. To achieve this purpose, data is collected from most of the non-financial listed companies in the two Chinese stock exchanges, which are the Shanghai Stock Exchange and the Shenzhen Stock exchange. The data sample covers the period from 2004 to 2008, since there was a series of new reforms in the Chinese stock market at that time. These reforms include new legislation and the reduction of non-tradable shares. Then this thesis employs the panel technique and the pooled OLS to estimate the effect of corporate governance on firm performance and information leakage in Chinese listed companies. Firstly the relationship between corporate governance and firm performance in Chinese companies is empirically evaluated. The empirical results of this thesis find that the ownership structure of Chinese companies will affect their firm performance. In this thesis, proxies of ownership structure include the proportion of institutional ownership, the proportion of the state ownership, the proportion of shareholdings of the largest shareholder, and the proportion of tradable shares in Chinese companies. A greater proportion of institutional ownership has positive effects on firm performance in Chinese companies. Board subcommittees also help Chinese companies to increase firm performance. The market reforms of 2006 also help Chinese companies to increase their firm performance. However, the board of directors and board of supervisors do not affect firm performance in Chinese companies. Secondly, information leakage in the Chinese Stock Market is empirically assessed. If investors receive corporate material information before the public disclosure, this phenomenon is known as information leakage. The thesis finds that information leakage in the Chinese market is widespread. Finally, the thesis empirically examines the effects of corporate governance on information leakage in Chinese companies. Board subcommittees have negative effects on information leakage in Chinese companies. Other variables of corporate governance do not affect information leakage in Chinese companies. Additionally, the thesis finds that market reform promotes more information leakage in Chinese market. On the basis of the empirical results, the thesis provides the following recommendations. First, the Chinese Stock Market needs to reform the relevant legislation. Second, Chinese companies need to reform their ownership structure. These suggestions may strengthen the internal governance of Chinese listed companies, thereby, increasing firm performance and decrease information leakage.

From this study, we find that the momentum premia are universally positive and statistically significant across 16 different momentum trading strategies in the Chinese Class A share market. By defining the time periods following UP and DOWN market states according to prior 12 or 24-month average Chinese Class A share market returns, we show that the momentum premia of different momentum strategies over time periods following UP market state eclipse those found over time periods following DOWN market state in the Chinese Class A share market for the whole sample period from January 1996 to December 2008. Furthermore, by employing 7 different factors—firm size, firm age, analysts’ coverage, return volatility, dispersion in analysts’ earnings forecast, trading volume, the quality/strength of corporate governance (free float ratio)—to gauge the degree of firm-level information uncertainty, we evidence that the information uncertainty has an amplifying effect over the momentum premium, and the amplifying effect is more pronounced over time periods following DOWN market state. The results from the sub-period analysis revolving the inception of two Chinese financial market regulatory reforms—1) July 1st, 1999 the implementation of the new P.R.C. security law; 2) July 3rd, 2003 the opening of the Chinese Class A share market to qualified foreign institutional investors (QFII) dismiss the doubt that our findings could be sample time periodspecific. Compared with the tradition FF3F model, the Wang & Xu (2004)’s version of the FF3F model, with the value effect factor of the traditional FF3F model supplanted by residual free float ratio (proxy for the quality/strength of firm-specific corporate governance), exhibits more explanatory power over the momentum premia yet still fails to fully rationalize the momentum premia found in this study. This research fills the gap in the literature and expands the understanding of the momentum premium by offering empirical evidence of the dynamics of the momentum premia amid market swings, the impact of information uncertainty over momentum premia as well as the impact of information uncertainty over momentum premia amid market swings in the context of the Chinese stock market. The results from this study can potentially provide an important reference point for international and domestic investors in adjusting investment strategies and portfolio positions, or fishing for investment diversification opportunities in a financial market with volatile market condition such as the Chinese stock market.