This paper investigates the role of the global excess liquidity for macroeconomic variables, especially asset prices and external imbalance in China. We estimate structural VAR model and find evidence that the surge in global liquidity has limited effects on China's price level, output and asset prices. By inspecting the structural decomposition, we find that global output and inflation shocks affect domestic macroeconomic fluctuation. Using sign restrictions, we estimate the impacts of three structural shocks in driving the external imbalance and find that the global excess liquidity is a relevant factor while the shock to financial market may be a more important role in explaining the external imbalance than productivity shock. / Sun, Yun. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 57-63). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Chapter 1. --- Introduction --- p.1 / Chapter 1.1. --- Introduction --- p.2 / Chapter 1.2. --- Theoretical background --- p.6 / Chapter 2. --- Data and methodology --- p.14 / Chapter 2.1. --- Data description --- p.14 / Chapter 2.2. --- Methodology --- p.16 / Chapter 3. --- Results and Interpretation --- p.21 / Chapter 3.1. --- Domestic SVAR results --- p.21 / Chapter 3.2. --- A global SVAR analysis for China --- p.35 / Chapter 4. --- Three structural shocks and global imbalance --- p.47 / Chapter 4.1. --- Sign restrictions analysis --- p.47 / Chapter 4.2. --- Empirical Evidence --- p.50 / Chapter 5. --- Conclusion --- p.54 / Chapter A. --- Data --- p.64

by Tong Kwok Wang. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 68-71). / TABLE OF CONTENTS --- p.iv / ABSTRACT --- p.v / Chapter CHAPTER I: --- INTRODUCTION --- p.1 / Objectives of the Study --- p.2 / Chapter CHAPTER II --- BACKGROUND --- p.5 / Strategic Alliance and JVs for Automobile Industry --- p.5 / Automobile Industry in China --- p.7 / Study of Strategic Alliances of the Automobile Industry in China --- p.13 / Chapter CHAPTER III --- BEAMISH'S MODEL --- p.17 / Designing the Joint Venture --- p.17 / Managing the TV --- p.19 / JV Performance --- p.20 / Unique Characteristic of JVs in China --- p.22 / Chapter CHAPTER IV --- METHODOLOGY --- p.24 / Limitations of the Study --- p.25 / Chapter CHAPTER V --- JVS WITH INVESTMENTS FROM US AND EUROPE --- p.27 / Case Study 1: Beijing Jeep --- p.27 / Case Study 2: Shanghai Volkswagen --- p.31 / Case Study 3: Guangzhou Peugeot --- p.36 / Case Study 4: Shanghai General Motors --- p.41 / Other Western Investments --- p.44 / Chapter CHAPTER VI --- JVS WITH JAPANESE INVESTMENT --- p.47 / Case Study 5: Toyota and Charade --- p.47 / Case Study 6: Suzuki --- p.48 / Case Study 7: Honda --- p.49 / Other Japanese Investments --- p.50 / Chapter CHAPTER VII --- ANALYSIS --- p.53 / Designing the JV --- p.53 / Managing the JV --- p.58 / JV Performance --- p.59 / Chapter CHAPTER VIII --- CONCLUSION --- p.62 / BIBLIOGRAPHY --- p.68

University of Macau / Faculty of Law

University of Macau / Faculty of Law

University of Macau / Institute of Chinese Medical Sciences

This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis.

by Leung Chui-wa. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 72-75). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / ACKNOWLEDGEMENT --- p.vii / Chapters / Chapter I. --- introduction --- p.1 / Purpose of the project --- p.2 / Scope of the project --- p.2 / Methodology and literature review --- p.2 / Chapter II. --- BACKGROUND OF OFFSHORE LISTING OF CHINA ENTERPRISES --- p.5 / Reform of China state-owned enterprise --- p.5 / Development of China securities market --- p.8 / Capital needs of China --- p.11 / China's participation in global economy --- p.12 / China's resumption of Hong Kong's sovereignty --- p.13 / Chapter III --- OVERVIEW OF OFFSHORE LISTING OF CHINA ENTERPRISES.…… --- p.15 / China policies over offshore listings of China enterprises --- p.15 / Overall policy --- p.16 / Selection of State-owned enterprises for offshore listings --- p.17 / Selection of listing venue --- p.19 / Competition among stock exchanges worldwide --- p.20 / Australia --- p.21 / Canada --- p.22 / London --- p.22 / Singapore --- p.23 / Tokyo --- p.24 / Chapter IV. --- listings of china enterprises in hong kong and the united states --- p.26 / Current situation in Hong Kong and New York --- p.26 / China enterprises listed in Hong Kong and New York --- p.28 / Hong Kong --- p.28 / New York --- p.30 / Important issues for consideration --- p.32 / Regulatory regime --- p.32 / Offering mechanism --- p.35 / Market characteristics --- p.38 / Advantages and disadvantages of listing in Hong Kong and the US --- p.39 / Chapter V. --- trading performance of h shares and h/n share adrs … --- p.41 / Scope and methodology of the analysis --- p.41 / Findings --- p.42 / Discussion --- p.45 / Chapter VI. --- discussion and conclusion --- p.47 / Implications on SOEs and China economy --- p.47 / Implications on the Hong Kong stock market --- p.50 / appendix --- p.54 / bibliography --- p.72

by Cheung Sau Hing, Vandy, Yuen Suk Chun, Sylvia. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1988. / Bibliography: leaves 82-83.

李嘉. / 論文(博士)--香港中文大學, 1999. / 參考文獻 (p. 200-224) / 中英文摘要. / Available also through the Internet via Dissertations & theses @ Chinese University of Hong Kong. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Mode of access: World Wide Web. / Li Jia. / Lun wen (Bo shi)--Xianggang Zhong wen da xue, 1999. / Can kao wen xian (p. 200-224) / Zhong Ying wen zhai yao.

by Liu Shiang Ling. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 48). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / CHAPTER / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- CHINA'S RENMINBI SYSTEM --- p.3 / Overview and Historical Development --- p.3 / 1953-1972 --- p.3 / 1973-1978 --- p.4 / 1979-1993 --- p.4 / 1994-1996 --- p.6 / The Exchange Rate Determination --- p.7 / Demand & Supply --- p.7 / The Balance of Payments --- p.8 / Inflation --- p.10 / Interest Rate --- p.10 / The Condition of Economic Development --- p.11 / Expectation --- p.11 / The Fiscal Policy --- p.12 / Forecasting Exchange Rate --- p.12 / Fundamental Analysis --- p.14 / Chapter III. --- CHINA'S PROPERTY MARKET --- p.15 / The History of China's Property Market --- p.15 / Pre-1949 --- p.15 / 1949-1979 --- p.15 / 1979-1991 --- p.16 / 1992-1996 --- p.18 / China's Real Estate Market Overview --- p.20 / Shanghai's Property Market --- p.21 / Risk Analysis --- p.22 / Return --- p.22 / Risks --- p.23 / Chapter IV. --- THEORETICAL ANALYSIS --- p.25 / Currency Conversion and Exchange Rate Risks --- p.25 / Hypothesis --- p.26 / The Short Run --- p.26 / The Long Run --- p.27 / Chapter V. --- RESEARCH METHODOLOGY AND FINDINGS --- p.29 / Targets of Study --- p.29 / Questionnaire --- p.29 / Chapter VI. --- ANALYSIS AND CONCLUSIONS --- p.30 / Primary Source Data --- p.30 / Secondary Source Data --- p.32 / Analysis --- p.34 / The Short Run --- p.34 / The Long Run --- p.35 / Political Conditions --- p.35 / Economic Conditions --- p.36 / Social Conditions --- p.37 / Market Conditions --- p.37 / Land Investment --- p.38 / Conclusion --- p.39 / Chapter VII. --- RECOMMENDATIONS AND ADVICE TO DEVELOPERS --- p.40 / The Depreciation of Renminbi --- p.40 / The Appreciation of Renminbi --- p.41 / The Chinese Government Policy --- p.42 / Long-Term Consideration --- p.43 / APPENDIX --- p.45