This thesis comprises, firstly, a careful and detailed description of the institutional workings of the Chinese stock market; secondly, a literature review of the Chinese segmented markets and dual-listed shares price premium; and thirdly, three evidence-based contributions designed to cast new light on the Chinese A-shares premium puzzle. Publicly-listed firms in China, under certain criteria, can issue two different types of shares, namely A-shares and B-shares, to local and foreign investors respectively. These shares carry the same rights and obligations, but are however priced differently due to market segmentation. After a review of the literature on determinants of the premium, the first contribution offers a complementary explanation. I propose that the premium reflects the difference in valuation preferences between the local and foreign investors, i.e., local investors pay more attention to stock liquidity, while foreign investors pay more attention to firm’s intrinsic value, and so firms having more favorable fundamentals tend to have lower premia. The second contribution involves the examination of a controversial question that which investor group is better informed about local assets, by testing the direction of information flows between the A- and B-shares markets. Both time series methods, and panel data techniques which are used for the first time in this context, are employed, in order to get a distinct and more insightful picture against the current literature. The third contribution compares and contrasts institutional settings of China, Singapore and Thailand which have similar market segmentation and dual-listing systems; examines whether or not the premia in the three countries are caused by same factors; and tries to answer why foreign investors in China pay less, rather than more, as commonly observed in other segmented markets, for identical assets. It provides the first cross-country comparison evidence after 1999 with updated data.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Economics and Finance / Master / Master of Economics

This dissertation consists of four papers that examine various aspects of the temporal patterns in the volatility of asset returns. The first paper compares the predictive performance of various parametric ARCH models. We find that ARCH models are generally good descriptions of the timevarying volatility of UK stock returns. There appears to be asymmetry in the conditional volatility, although no single model outperforms the rest in all instances. In the second paper, we uncover evidence of asymmetric predictability in the conditional variance of firms of different size. Large firms shocks affect the future volatility of small firms, but not vice versa. We also find that trading period shocks have a significant impact on future volatility, but not nontrading period shocks. In the third paper, we document a contemporaneous volatility-volume relationship. We find that volatility is related to change in trading volume, and we propose a conditional volatility model that incorporate this contemporaneous volatility-volume relationship. In the final paper, we examine the various method of adjusting for nontrading effects in ARCH models, and we propose a new diagnostic test to detect the validity of such adjustments. We also uncover evidence that conditional volatility increases prior to market closure, but declines after market opening.

This study investigates the effects of employment on the status of Pakistani Immigrant women through the analysis of the division of labour In the family. women's access to family resources and their control over sexuality. Migration has brought many changes In the lives of Pakistani women in Britain. Both first and second generation migrant women are engaged in income-earning activities. It is hypothesised that Pakistani women's waged employment in Britain will affect their traditional roles within the family. This thesis examines the changes and continuities in women's status and attempts to see how this has been affected by their employment situation in Britain. The findings of this study suggest that despite women's engagement in waged work the their role in the family remains a subordinate one. Employment does not radically change their traditional roles nor does it liberate them economically or socially. However, waged women seem to be better able to negotiate greater space for themselves within the family.

This thesis provides an 'immanent' critique of the moral dimension of Hayek's political theory. The concept of morality that Hayek advances is epistemologically founded. That concept is concerned with the recognition and respect of the natural limits of human knowledge and is incompatible with the idea of objective value judgement. The moral dimension of Hayek's theory is based on the methodological implications of his epistemologically founded concept of morality. That dimension consists of the ideas of social spontaneity and cultural evolution and is incompatible with any concept of objective liberal values. The moral dimension of Hayek's theory excludes but also requires substantive politics. The moral exclusion of substantive politics' undermines freedom and equality in catallaxy while, at the same time, it relativises commutative justice and legitimates the minimal state only from the point of view of its legality. Substantive politics is morally required for preserving and promoting institutions such as catallaxy and commutative justice in terms of liberalism. It is argued that the moral exclusion of substantive politics is due to the epistemological premises of Hayek's theory. Those premises form the praxeological presuppositions of social spontaneity and cultural evolution. In terms of them, substantive politics cannot be morally explained. Substantive politics is grounded on a normative/evaluative conception of a social good. That conception depends on critical reason in terms of which objective liberal values can be "recognised and respected. The moral requirement of substantive politics is due to the fact that the process of social spontaneity and cultural evolution cannot by itself be safeguarded against coercion, inequality and injustice.

There is growing literature on search behavior and using search for prediction of market share or macroeconomic indicators. This research explores investors' stock search behaviors and investigates whether there are patterns in stock returns using those for return prediction. Stock search behaviors may reveal common interest among investors. In the first study, we use graph theory to find investment habitats (or search clusters) formed by users who search common set of stocks frequently. We study stock returns of stocks within the clusters and across the clusters to provide theoretical arguments that drive returns among search clusters. In the second study, we analyze return comovement and cross-predictability among economically related stocks searched frequently by investors. As search requires a considerable amount of cognitive resources of investors, they only search a few stocks and pay high attention to them. According to attention theory, the speed of information diffusion is associated with the level of attention. Quick information diffusion allows investors to receive relevant information immediately and take instantaneous trading action. This immediate action may lead to correlated return comovement. Slow information diffusion creates latency between the occurrence of an event and the action of investors. The slower response may lead to cross-predictability. Making use of the discrepancy in information diffusion, we implement a trading strategy to establish arbitrage opportunities among stocks due to difference in user attention. This research enriches the growing IS literature on information search by (1) identifying new investment habitats based on user search behaviors, (2) showing that varying degrees of co-attention and economic linkages may lead to different speed of information diffusion (3) developing a stock forecasting model based on real-time co-attention intensity of a group economically linked stocks and (4) embarking a new research area on search attention in stock market. The methods in handling complex search data may also contribute to big data research. / text

This dissertation contains two essays on the aggressive behavior of corporations in product market competition. In the first essay, I investigate how market structure can impact a firm's risk of facing predation by rivals, and hence, its financial policy decisions. Using a simple model, I demonstrate that a firm faces a greater predation threat when it meets the same competitor in many markets, as this competitor is able to internalize more of the benefit, degrading the firm's ability to compete in the future through aggressive actions today. I then test the predictions of the model using 2003-2011 panel data on store location across retail store chains in the US. I find that firms tend to expand more aggressively in markets shared with a competitor experiencing a substantial increase in leverage, or a decline in a credit rating, when they face that competitor in more of the other markets. The expansion relationship was found to be stronger in data from the 2008-2009 financial crisis, a period when difficulty in rolling over or obtaining new debt made it especially hard for weak firms to absorb losses. I also show that a firm facing the same competitors in many markets choose lower levels of leverage and that it decreases that leverage when a merger in the industry increases the amount of competitive overlap it has with other firms. These results suggest that firms are aware of the predation risk due to a competitive overlap and select financial policies to minimize this risk. In the second essay, I study the impact of internally generated funds on product market competition. More specifically, I investigate the idea that firms compete aggressively when their competitors face cash flow shortfalls. Testing this idea is challenging because competitor's cash flow changes are potentially endogenous with respect to firm's behavior. I address this problem in three ways. First, I investigate firm's reaction in a given market when its competitors face cash flow shortfalls outside of that market; this analysis is conducted using store location data on retail store chains. Second, I focus on the 2008-2009 financial crisis period in which retail store chains were hit by a negative demand shock which was hardly expected ex ante. Finally, I use a shock to local economic conditions which varies across markets and the different distributions of store locations across firms as instruments for the changes in competitors' cash flows. I find that a firm expands more in a given market in which it competes with rivals which face a more negative cash flow shortfall in the other markets. This relation is stronger when the competitors were highly leveraged before the crisis. Finally, I illustrate evidence that a firm responds more aggressively to competitor's cash flow shortfalls if it competes with that competitor in many of the same markets; this result is consistent with the prediction of the model in Chapter 1. These essays contribute to the literature by adding new evidence on the predatory behavior of corporations in product market competition. / text

This report discusses a multi-stage stochastic programming model that maximizes expected ending time profit assuming investors can forecast a bull or bear market trend. If an investor can always predict the market trend correctly and pick the optimal stochastic strategy that matches the real market trend, intuitively his return will beat the market performance. For investors with different levels of prediction accuracy, our analytical results support their decision of selecting the highest return strategy. Real stock prices of 154 stocks on 73 trading days are collected. The computational results verify that accurate prediction helps to exceed market return while portfolio profit drops if investors partially predict or forecast incorrectly part of the time. A sensitivity analysis shows how risk control requirements affect the investor's decision on selecting stochastic strategies under the same prediction accuracy. / text