China's rapid economic growth and the development of its domestic stock market have attracted considerable attention from foreign investors. China's economic financial expansion, however, has emerged from an environment of state planning and radical socialist ideology. With a view of providing investors with a better understanding of the risk and return relationship in the Chinese A-share market over the past decade, this thesis adapts several empirical models to the circumstances in China and conducts four empirical analyses. First, in order to rationalize foreign investors' entry into the A-share market, the thesis compares the diversification benefits in three China-related stock markets, namely the A-share, the B-share and the H-share markets in a mean-variance framework using daily, weekly and monthly data respectively. The results suggest that of the three stock markets, the B-share market generates the highest average annual returns while the A-share market has the most significant diversification benefits regardless of whether the analysis is undertaken implementing a traditional mean-variance framework or a downside risk framework. Next, an empirical analysis using the Fama and MacBeth two-pass procedure is undertaken to test the relationship between beta, firm factors and stock returns. Similar to the findings in other stock markets, the results of this analysis show that the static betas for individual stocks fail to capture variation in stock returns in the A-share market. In contrast, the effects of book-to-market and trading volume are significant in the sample period. However, the fact that none of these factors have a persistent role in explaining stock returns suggests a possible change in the investment philosophy of Chinese domestic investors over the past decade. In the third analysis, two global betas are incorporated into the cross-sectional regressions in a bid to examine the integration or segmentation of the A-share market with the world and Hong Kong stock markets. Specifically, both time-varying betas and static betas are used in the analysis. The results suggest that there is no beta effect and the A-share marke t is totally segmented from both the world and Hong Kong stock markets. Finally, when the segmentation and integration status of the A-share market is further examined using the Maximum Likelihood Estimation framework without beta estimation and the assumption of a linear relationship between beta and stock returns, the findings suggest that the A-share market is becoming increasing integrated with the B-share and the Hong Kong stock markets.

China's rapid economic growth and the development of its domestic stock market have attracted considerable attention from foreign investors. China's economic financial expansion, however, has emerged from an environment of state planning and radical socialist ideology. With a view of providing investors with a better understanding of the risk and return relationship in the Chinese A-share market over the past decade, this thesis adapts several empirical models to the circumstances in China and conducts four empirical analyses. First, in order to rationalize foreign investors' entry into the A-share market, the thesis compares the diversification benefits in three China-related stock markets, namely the A-share, the B-share and the H-share markets in a mean-variance framework using daily, weekly and monthly data respectively. The results suggest that of the three stock markets, the B-share market generates the highest average annual returns while the A-share market has the most significant diversification benefits regardless of whether the analysis is undertaken implementing a traditional mean-variance framework or a downside risk framework. Next, an empirical analysis using the Fama and MacBeth two-pass procedure is undertaken to test the relationship between beta, firm factors and stock returns. Similar to the findings in other stock markets, the results of this analysis show that the static betas for individual stocks fail to capture variation in stock returns in the A-share market. In contrast, the effects of book-to-market and trading volume are significant in the sample period. However, the fact that none of these factors have a persistent role in explaining stock returns suggests a possible change in the investment philosophy of Chinese domestic investors over the past decade. In the third analysis, two global betas are incorporated into the cross-sectional regressions in a bid to examine the integration or segmentation of the A-share market with the world and Hong Kong stock markets. Specifically, both time-varying betas and static betas are used in the analysis. The results suggest that there is no beta effect and the A-share marke t is totally segmented from both the world and Hong Kong stock markets. Finally, when the segmentation and integration status of the A-share market is further examined using the Maximum Likelihood Estimation framework without beta estimation and the assumption of a linear relationship between beta and stock returns, the findings suggest that the A-share market is becoming increasing integrated with the B-share and the Hong Kong stock markets.

In Chinese culture, certain digits are considered lucky and others unlucky. This thesis evaluates how numerical superstition affects financial decision-making in the Chinese A-share IPO market for the period between 2003-2015. Evidence has been found that suggests that numerical superstition influences the initial return on the issuing day of A-share IPOs on the Shanghai exchange. On this exchange newly listed firms with the unlucky number 4 and lucky numbers 6 and 8 in their ticker are initially traded at a discount. A superstition effect for the lucky numbers 6 and 8 dissipates after the first trading day but remains visible after the IPO for the unlucky number 4 and disappears within a month. The Shenzhen exchange showed no effects of numerical superstition on the initial return of the first trading date. The additional regression results indicate that after one month and onwards, having an unlucky number in a ticker has a negative influence on IPO underpricing . After the 3rd and 6th month the lucky number 6 is has a significant negative impact on stock return.

The purpose of this thesis is to test the extended industry shock hypothesis, which accounts for a macro-economic capital liquidity element, in determining the drivers of merger waves. Various theories have been extended by the literature and these are broadly classified under the neo-classical theory of merger waves and the behavioural theory of merger waves. Behavioural theories have explained merger waves by taking into account the psychology of stock markets and the occurrence of merger waves during a stock market boom. The industry shock hypothesis (a neo-classical theory) however, argues that merger waves are due to the clustering of industry shocks that affect an industry’s operating environment. Along with this shock, the mis-valuation caused by a stock market boom increases asset values, thereby lowering transaction costs and hence increasing capital liquidity in the economy. This capital liquidity factor causes merger waves to cluster even if industry shocks do not. The findings in this study show that industry level merger waves exist in Australia and they occur when there is sufficient capital liquidity in the economy. The industry shock variables are found to be insignificant; however they do improve the explanatory power of the explanatory variables used in predicting the start of a merger wave. The mis-valuation variables used in this study: market-to-book ratio, 3-year return and standard deviation of the 3-year return, are insignificant and do not have any explanatory powers in predicting the start of a merger wave. Merger and acquisition announcements made to acquire Australian firms listed on the Australian Stock Exchange (ASX), are collected and analysed for the period from 1996 to 2007. The methodology used in this study is adopted from Harford (2005), which uses legit models to predict the start of merger waves. The explanatory variables are also adopted from Harford’s (2005) study and include proxies for mis-valuation, industry shock and capital liquidity. Overall, the results obtained for the Australian merger and acquisition data are inconclusive as to whether industry shocks because industry merger waves as Harford (2005) documented for the US merger and acquisition data. However, industry level merger waves do exist, as there is clustering in time of firm-level mergers within industries. Moreover, sufficient capital liquidity must be present to accommodate the necessary transactions.

The purpose of this thesis is to test the extended industry shock hypothesis, which accounts for a macro-economic capital liquidity element, in determining the drivers of merger waves. Various theories have been extended by the literature and these are broadly classified under the neo-classical theory of merger waves and the behavioural theory of merger waves. Behavioural theories have explained merger waves by taking into account the psychology of stock markets and the occurrence of merger waves during a stock market boom. The industry shock hypothesis (a neo-classical theory) however, argues that merger waves are due to the clustering of industry shocks that affect an industry’s operating environment. Along with this shock, the mis-valuation caused by a stock market boom increases asset values, thereby lowering transaction costs and hence increasing capital liquidity in the economy. This capital liquidity factor causes merger waves to cluster even if industry shocks do not. The findings in this study show that industry level merger waves exist in Australia and they occur when there is sufficient capital liquidity in the economy. The industry shock variables are found to be insignificant; however they do improve the explanatory power of the explanatory variables used in predicting the start of a merger wave. The mis-valuation variables used in this study: market-to-book ratio, 3-year return and standard deviation of the 3-year return, are insignificant and do not have any explanatory powers in predicting the start of a merger wave. Merger and acquisition announcements made to acquire Australian firms listed on the Australian Stock Exchange (ASX), are collected and analysed for the period from 1996 to 2007. The methodology used in this study is adopted from Harford (2005), which uses legit models to predict the start of merger waves. The explanatory variables are also adopted from Harford’s (2005) study and include proxies for mis-valuation, industry shock and capital liquidity. Overall, the results obtained for the Australian merger and acquisition data are inconclusive as to whether industry shocks because industry merger waves as Harford (2005) documented for the US merger and acquisition data. However, industry level merger waves do exist, as there is clustering in time of firm-level mergers within industries. Moreover, sufficient capital liquidity must be present to accommodate the necessary transactions.

Thesis (MBA)--University of Stellenbosch, 2007. / ENGLISH ABSTRACT: This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris Brooks (1998). The volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activity. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than from volume to volatility. The out-of-sample forecasting performance of various linear and non-linear models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to fairly small improvements in forecasting performance. The report also shows that the Johannesburg Stock Exchange is vulnerable to financial turmoil in other major markets. / AFRIKAANSE OPSOMMING: Hierdie navorsingsverslag verken 'n aantal statistiese modelle vir die vooruitskatting van die daaglikse onbestendigheid in aandeleopbrengste van die totaal van alle aandele wat op die Johannesburgse Aandelebeurs (JSE) verhandel word. Hierdie studie is grotendeels geinspireer deur die werk van Chris Brooks (1998). Die volume aandele wat verhandel word, kan net so belangrik wees soos die verandering in 'n markindeks omdat beduidende prysverhogings en -verlagings dikwels met swaar verhandelingsaktiwiteite gepaard gaan. 'n Toepassing van liniere en nie-liniere Grangeroorsaaklikheidstoetse lewer bewys van tweerigting-oorsaaklikheid, hoewel daar 'n sterker verband van onbestendigheid na volume is, as van volume na onbestendigheid. Die buite-steekproef vooruitskattingsprestasie van verskeie liniere en nie-liniere modelle van onbestendigheid word geevalueer en vergelyk. Die modelle word aangevul deur die byvoeging van gesloerde volumes om meer algemene vooruitskattingsmodelle te vorm. Die resultate dui daarop dat aangevulde modelle van onbestendigheid met sloerings in volume slegs tot betreklik klein verbeteringe in vooruitskattingsprestasie lei. Die resultate dui daarop dat die Johannesburgse Aandelebeurs kwesbaar is vir finansiele turbulensie in ander belangrike markte.

Desde 2004, noticia-se na imprensa especializada um grande dinamismo do mercado de capitais brasileiro. Em 2005, foram realizadas nove ofertas pÃblicas iniciais â IPO, que movimentaram cerca de R$ 5 bilhÃes. Em 2006, foram 26 novas emissÃes, quando as empresas estreantes captaram cerca de R$ 15 bilhÃes. Em 2007, o nÃmero de IPOs foi recorde, chegando a 64 novas empresas (captaÃÃo de mais de R$ 55 bilhÃes), considerado um marco na histÃria do mercado de capitais brasileiro. Nesse contexto, este estudo analisou o comportamento das aÃÃes relativas Ãs ofertas pÃblicas iniciais de aÃÃes ocorridas no Brasil no perÃodo de 01.01.05 a 31.07.07, com o objetivo de apurar indÃcios de ocorrÃncia das seguintes anomalias relacionadas aos IPOs: subprecificaÃÃo (underpricing), alta volatilidade das aÃÃes, baixa performance das emissÃes no longo prazo e performance vinculada ao desempenho geral do setor de atividade das empresas emissoras. O estudo obteve os seguintes resultados: considerando o retorno mÃdio das aÃÃes no primeiro dia de negociaÃÃo (12,34%), ante a variaÃÃo do CDI e do Ibovespa de apenas 0,07% e 0,46%, respectivamente, conclui-se que existem evidÃncias de underpricing nas emissÃes analisadas; 83% das aÃÃes apresentaram volatilidade superior à do Ibovespa, o que poderia explicar os retornos elevados no primeiro dia de negociaÃÃo, ou seja, o retorno inicial elevado à uma recompensa ao risco aceito pelos investidores; a maioria das aÃÃes seguiu a mesma tendÃncia de desempenho do setor, sugerindo que as empresas abrem o capital em momentos de auge no desempenho do setor ao qual pertencem; as aÃÃes apresentaram baixa performance no longo prazo, indicando que os emissores tendem a aproveitar os perÃodos de grande volume de emissÃes, quando as aÃÃes estÃo sobrevalorizadas. Dessa forma, os retornos iniciais sÃo elevados e no longo prazo hà um movimento de mercado no sentido de posicionar os papÃis no seu real valor. / Since 2004, it has been noticed through the specialized media a great excitement in the Brazilian stock market. Nine (greatest amount since 1986) Initial Public Offers (IPO) were carried out along 2005 generating about R$ 5 billion. In 2006, 26 new offers were carried out and the beginning companies made around R$ 15 billion. In 2007, the number of IPOâs achieved a record of 64 new companies (more than R$ 55 billion), a landmark in the history of the Brazilian stock market. The enthusiasm of investors towards the initial offers reached a level where the stock markets decided to sell their own stocks. Natural people forgot their fear of the risk for a while trying to increase their income considering the decline of ordinary funds. BM&Fâs IPO, for instance, had 275 thousand natural people among the investors. Concerning all this excitement and some notorious cases of success and others of low performance of beginning companies in the stock market, the following work analyses the return of investments made in initial public offers of stocks in Brazil carried out between 2005/01/01 and 2007/07/31. Besides a comparative study of the return of the stocks with the CDI tax variation and the Ibovespa, it was a done an analyses of the behavior of investments according to the market section and a study of the profitability of long term funds. Among 81 companies, only 30 had positive results, which demonstrate a low performance considering the initial enthusiasm and the excessive increase of values. The profitability of stocks was only superior to the CDI and Ibovespa variation in a shot term frame and the papers seemed to be more volatile than the market average. It was also noticed that the return of investments is attached to the performance of each market section and the profitability of funds was not superior in a long term frame.

Made available in DSpace on 2016-04-25T16:44:50Z (GMT). No. of bitstreams: 1 ADM - Fabio Araujo Domingues.pdf: 1609578 bytes, checksum: 7f2f8443054deaa066eca633b9ed262c (MD5) Previous issue date: 2006-10-10 / Along with the evolution of markets, mainly since globalization, investors began to claim more detailed information on investment and financing qualities given by companies and banks, where the transparency and stability of information become then, essential elements for the efficient appliance for corporative and administrating practices. This present dissertation had, as main objective, to study the company s shares, negotiated at BOVESPA, compromised with corporative administration, and to check if this differential had been positive to its shares. For this reason, this work studied and presented results on the following aspects: the first was a study of the twenty-two companies which nowadays form the New Market, checking the evolutional behavior of each one s shares; the second, a comparative analysis between the IGC index of the companies compromised with corporative administration and the IBOV index composed of traditional market companies not compromised with these practices; and third and last, an analysis between the two compromised companies with corporative administration against two companies of the same productive or economic sectors, without an implemented corporative administration, checking if an appreciable divergence occurred because of this positioning. While presenting the results obtained, we could notice that, we can only confirm that the difference is limited to segment the environment in which the company is positioned, or elsewhere, situating them in the New market or the Traditional Market, as also specifying the organizational structure implanted in their managing, because, due to the variable diversity reaching the sector, as well as by the heterogeneous behavior presented by the companies being studied, we cannot certify that this differential is translated to a direct valorization of its shares after its adherence to this segment / Com a evolução dos mercados, principalmente a partir da globalização, os investidores passaram a demandar informações mais detalhadas sobre a qualidade dos investimentos e financiamentos realizados pelas empresas e bancos, onde a transparência e solidez das informações tornam-se então, elementos essenciais para que, as práticas de governança corporativa sejam aplicadas de maneira eficaz. A presente dissertação teve por objetivo efetuar um estudo das ações de empresas negociadas na BOVESPA comprometidas com a governança corporativa, e verificar se este diferencial tornou-se positivo para suas ações. Para tanto este trabalho estudou e apresentou resultados sobre os seguintes aspectos: o primeiro, um estudo das vinte e duas empresas que hoje compõem o Novo Mercado, verificando o desempenho evolutivo das ações de cada uma delas; o segundo, uma análise comparativa entre o índice IGC das empresas comprometidas com governança corporativa e o índice IBOV que é composto por empresas tradicionais de mercado sem comprometimento com tais práticas; e em terceiro e último, uma análise entre as duas empresas comprometidas com governança corporativa versus duas empresas de mesmo setor produtivo e ou econômico que não possuem governança corporativa implementada, verificando se houve uma divergência sensível nas suas evoluções em razão deste posicionamento. Através dos resultados obtidos podemos afirmar somente que a diferenciação limita-se à segmentar o ambiente em que a empresa se posiciona, ou seja, situando-as dentro do Novo Mercado ou no Mercado Tradicional, e também especificando a estrutura organizacional implantada em sua administração, pois devido a diversidade de variáveis que atingem o setor adicionadas ao desempenho heterogêneo apresentado pelas empresas estudadas, não pode-se afirmar que este diferencial se traduz em valorização direta de suas ações após a adesão a este segmento