This paper studies factors that influence the stock return on the Shanghai Stock Exchange (SSE) market. To achieve this goal, a stock-fixed effects model is estimated using a panel data sample comprising 100 companies listed on the SSE market during the 72-month period from January 2002 to December 2007. I find that number of trades and book-to-market value in both up and down markets have a significant and positive impact on stock returns during the studied period, whereas stock returns were negatively affected by systematic risk in both up and down markets although less so in up markets. Price to earnings ratio did not show any significant effect on stock returns on the SSE. My overall results indicate that SSE did not satisfy the efficient market hypothesis 1 during the studied period from January 2002 to December 2007.

This thesis examines which factors that affect the number of trades in exchange-traded products (ETPs) on Nordic Derivatives Exchange. Multiple linear regression is used to model the relationship between the number of trades and 65 initially chosen predictor variables. The predictor variables include various indices, commodities, stocks, and volatility measures. Two models are presented, one of which includes a lagged dependent variable. These models explain 89% and 92% of the variance within the data. Foremost, the results confirm previous research advocating the volatility to play a significant role on the number of trades, but now also shown for ETPs. Currency exchange rates, equity indices and palladium are also shown to be statistically significant. In addition, interpretations of the results are given and suggestions for further research. / Den här uppsatsen undersöker vilka faktorer som påverkar antalet avslut i börshandlade produkter (ETP:er) på Nordic Derivatives Exchange. Multipel linjär regression används för att undersöka relationen mellan antalet avslut och 65 på förhand valda regressionsvariabler som vi anser intressanta att undersöka. Dessa regressionsvariabler består av bland annat olika index, råvaror, aktier samt volatilitetsmått. Två modeller presenteras, varav en inkluderar en laggad beroende variabel. Dessa två modeller förklarar 89 % respektive 92% av variationen i datan. Resultatet visar att volatiliteten har en signifikant påverkan med avseende på antal avslut vilket bekräftar tidigare forskning, men visas nu gälla även för ETPer. Valutakurser, aktieindex och palladium visas vara signifikanta. Vidare ges tolkning av resultatet och förslag på framtida forskning.