This thesis presents three essays on the Chinese equity market. Specifically I focus on the long run common trends and microstructure of the market after a set of regulatory events that surrounded a trading reform in 2001. The major goal of the thesis is to establish the interaction between the composition and medium of the transaction environment and the overall observed trends within the market at the aggregate level. In Chapter 2, I present a model of common trends amongst the Chinese equity market segments and implement a robust test for cointegrating relations. In Chapter 3, I derive a multivariate linear rational expectations model in the presence of heteroscedasticity and information asymmetry. In Chapter 4, I implement this theoretical model for A and B share cross listed stocks on the Shanghai stock exchange and impute the model parameters. Whilst these chapters concentrate on China, the methodology and economic rationale are of practical relevance to all countries and most types of traded securities.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:540479 |
| Date | January 2011 |
| Creators | Chen, Jing |
| Publisher | University of Aberdeen |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=165867 |
Page generated in 0.0082 seconds