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Dissertations / Theses on the topic 'Chinese A-share Market'

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Published: 4 June 2021

Last updated: 3 February 2022

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1

Deng, Xiaoyu. "Piotroski's F-Score in the Chinese A-Share market." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/24520.

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This study examines whether Piotroski's (2000) F-Score strategy can successfully be applied to the Chinese A-Share market. The empirical evidence shows that in the Chinese A-Share market, the high F-Score portfolio significantly outperforms the low F-Score portfolio. Especially within a low BM firm sample, buying high F-Score firms and shorting low F-Score firms consistently, on average, generate 1.28% market adjusted profit per month. The results are robust for size partition. However, the benefits of Piotroski's F-Score strategy are concentrated in low liquidity and analyst following sample.

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2

Wang, Yue Nan, and wangyn14@hotmail com. "The diversification benefits and the risk and return relationships in the Chinese A-share market." RMIT University. Economics, Finance and Marketing, 2006. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20061205.103325.

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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

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3

Wang, Yuenan, and yangyn14@hotmail com. "The diversification benefits and the risk and return relationships in the Chinese A-share market." RMIT University. Economics, Finance and Marketing, 2006. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20080103.093949.

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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

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4

Geng, Haoming, and Cheng Wang. "The Performance of Technical Analysis : A case study in Chinese domestic A share." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-35658.

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<p>In this thesis, we conduct a case study by applying simple technical trading rules on Chinese stock market. The technical trading rules we tested are moving average rules and trading range breakout rules. The stock indices we tested are SSE A (Shanghai A) and SZSE (Shenzhen A) share, these shares are limited to the Chinese domestic traders. Our main trading rule frameworks are mainly from Brock, Lakonishok& Lebaron (1992), which including the most basic technical trading rules and covered various length of period, however we add the 25 days moving average to our frame work. We obtained our

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5

Liu, Yaoguang. "An empirical cross-section analysis of stock returns on the Chinese A-Share Stock Market." Diss., Lincoln University, 2009. http://hdl.handle.net/10182/1127.

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This research attempts to test the performance of the Fama-French three-factor model (1993) in explaining the stock portfolio returns on the China A-share Stock Market from 1996 to 2005. We will follows Drew, Naughton and Veeraraghavan (2003) method, who adopted the Fama and French's (1993) method to test small sample stock markets. We find the positive relation between book-to-market ratio and stock excess returns, and the negative relationship between size and stock excess returns. And our result demonstrated that the three-factor model is more accurate in predicting stock excess returns tha

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6

Gong, Rong. "The impact of the 2007 reforms on the information environment in the Chinese A-share market." Thesis, University of Auckland, 2012. http://hdl.handle.net/2292/19519.

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This thesis examines the impact of China's 2007 reforms on the information environment in the Chinese A-share market. The 2007 reforms introduced profound changes in the information disclosure regulations and accounting standards in the Chinese stock market. The reforms were expected to improve the information environment in the Chinese stock market by requiring continuous disclosure, prohibiting "selective disclosure" of private information, and converging Chinese accounting standards with IFRS. The influence of the 2007 reforms is examined from four aspects over the pre- and post-reform per

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7

Jiao, Wenting. "Exploring Risk Factors on Chinese A Share Stock Market - in the Frame of Fama - French Factor Model." Thesis, Rennes 1, 2017. http://www.theses.fr/2017REN1G013/document.

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Notre thèse explore les facteurs de risque et les modèles des facteurs sur le marché boursier chinois A-share. Notre étude est basée sur le contexte du modèle facteur de Fama-French (FF). Tout d'abord, au chapitre 1, nous réexaminons l'applicabilité du Modèle Fama-French à Trois Facteurs (FF3F) et du dernier Modèle Fama-French à Cinq Facteurs (FF5F), compte tenu de plusieurs caractéristiques spéciales du marché boursier chinois. Les résultats empiriques montrent que le Modèle FF3F peut expliquer la majorité des variations de séries chronologiques des rentabilités des actions chinoises A-share.

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8

Lämhed, Emelie, and Ida Sjöstrand. "Is it a good idea to share ideas? : A qualitative study about how Open Innovation is used between Chinese and Swedish entrepreneurs in an international market." Thesis, Linnéuniversitetet, Institutionen för marknadsföring (MF), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-85958.

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In order for corporations to develop their business, they could apply an approach of exchanging ideas and knowledge with other corporations could contribute to new significant innovations. The international approach is called Open Innovation and could be implemented both externally and internally within firms. The purpose of this thesis was to examine how Open Innovation is used by Swedish and Chinese entrepreneurs in an international market context. By implementing a qualitative research method, the researchers obtained a deeper understanding of how networks and trust affect Open Innovation w

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9

Cao, Chen. "An Empirical Study on Market Segmentation and Information Diffusion in Chinese Stock Markets." Thesis, Uppsala University, Department of Statistics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-126659.

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<p>The efficacy and accuracy of information is very important for making decision in stock markets. In this paper, we study on the effect of information diffusion in Chinese stock market before and after the owership release in February 19, 2001, by testing the stationary of A share premium and cointegration between A and B share prices. The panel unit root tests we propose on A share premium are Augmented Dickey-Fullar (ADF) tests for individual firm and Fisher tests for the panel, based on combining pvalues from each individual cross-section. The panel cointegration tests on A and B shares w

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10

Liang, Jing. "Market segmentation and dual-listed stock price premium - an empirical investigation of the Chinese stock market." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/894.

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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

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11

Hua, Jian. "La découverte du prix sur les marchés boursiers chinois." Thesis, Aix-Marseille, 2014. http://www.theses.fr/2014AIXM2014.

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Cette thèse se compose de trois essais autonomes sur le marché boursier chinois. Le premier essai examine le processus de la découverte du prix des actions A et H pour des sociétés chinoises double cotées à la fois sur les bourses de Shanghai/Shenzhen et de Hong Kong durant les sessions d'échange communes. Nous mettons en évidence une relation de long terme entre les prix des actions A et H. En appliquant la méthode de l'information partagée de Hasbrouck (1995), il apparaît, quand la Chine adoptait un régime de change fixe, le marché domestique contribuait plus d'information à la découverte du

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12

"Investment Style and Performance Attribution Analysis on Chinese A Share Market." Doctoral diss., 2016. http://hdl.handle.net/2286/R.I.38472.

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abstract: With the fast development of Chinese capital market, an increasing number of institutions and retail investors invest through professional managers. The key to evaluating investment manager’s skill and performance persistence largely lies in portfolio style research and attribution analysis. The current dissertation takes advantage of a unique dataset, uncover hidden investment style and trading behavior, understanding their source of excess returns, and establishing a more comprehensive methodology for evaluating portfolio performance and manager skills. The dissertation focus

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13

"Activist Investors and Firm Performance Empirical Evidence From Chinese A Share Market." Doctoral diss., 2017. http://hdl.handle.net/2286/R.I.44091.

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abstract: Shareholder Activism is a mechanism by which investors who hold a significant but non-majority percentage of a company’s stock, exercise their voting rights, participate in corporate governance and influence operational decisions of target companies. The purpose is improve corporate governance, increase firm performance and boost share -holders’ returns. Existing studies of shareholder activism, based largely in mature capital markets like the US, come to different conclusions regarding its impact on firm performance. In this paper, I collect data on shareholder activism event

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14

Chen, Ching-chih, and 陳靜芝. "An Empirical Analysis of IPO Underpricing inthe Chinese A-Share Market: 2006-2007." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/20955726880225089132.

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碩士<br>國立成功大學<br>企業管理學系碩博士班<br>97<br>For a long time, the underpricing phenomenon of initial public offerings (IPOs)has been a hot issue in the academic fields. Among all the countries that have their own IPO markets, it is China that enjoys the highest degree of IPO underpricing. In spite of all the previous literature discussing how the Chinese institutional features influence the first day initial returns in China, this study tries to shed more light on how the Chinese IPO market has been transformed during the past few years and how the transformation influences the degree of the Chinese IP

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15

Chang, Ching-Min, and 張靖敏. "The Stock Performance of Fundamental Analysis on Chinese SSE A-Share Market from 2000 to 2013." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/6xj727.

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碩士<br>東吳大學<br>國際經營與貿易學系<br>102<br>This research explores 12 security fundamentals to test the performance in explaining the stock portfolio returns on Chinese SSE A-share market from 2000 to 2013, followed Fama and French（1992）method. In annual changing stock strategy, an equal-weighted portfolio, which is constructed by earning-price ratio, book-to-market ratio, dividend yield, and size effect, can explain stock excess returns. In three times a year changing stock strategy, an equal-weighted portfolio, which is constructed by earning-price ratio, size effect, return on equity, return on aeest

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16

"The effects of price limits and stock characteristics on Chinese A-share market during financial crises." 2013. http://library.cuhk.edu.hk/record=b5549325.

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漲跌停制度是一種意圖控制股市價格大幅波動的強制性政策。雖然漲跌停制度被很多國家都採用，但是關於該制度的效果的結論一直都是具有很大爭議性。除此之外，之前的一些研究還表明在不同國家的股票市場中，漲跌停制度的效果也是不一樣的。然而，作為一個獨特且年輕的股票市場，中國A股市場也擁有漲跌停制度，但是關於它的效果的研究卻很稀缺。其中，關於在特殊經濟狀況下，例如金融危機，漲跌停的效用基本上沒被研究過。這是一個很重要的研究課題，因為金融危機這種特殊經濟時期會引起股市的大幅波動，這正是漲跌停制度發揮作用也是我們研究其效果的最佳時機。因為以上原因，這篇論文的主題就是挖掘中國A股的漲跌停制度在金融危機時期的效果，我們希望檢驗是否金融危機引起的特殊市場氛圍會使漲跌停的效果與平常不同。我們將一種改進的關於漲跌停效果的經典方法應用於金融危機期間的股票交易數據上，來對三個假設（波動性溢出, 延遲價格發現和妨礙交易）進行檢驗。相比與之前的方法，我們進行了改進，主要是採用了以漲跌停價格收市和包含了連續漲跌停的數據。<br>此外，爲了更好滴瞭解漲跌停制度的效果，我們還對那些在金融危機期間容易漲跌停的股票研究其主要特點。在本論文中，我們除了引進每個股票的基本面指標，還引進了具有中國特色的因子，包括國有股份和行業等因子，通過廣義（GMM）的方法來進行分析。這些股票特徵希望能夠為於證監會將來制定漲跌停制度和投資者在金融危機

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17

Junxiao, Ding. "An empirical study on the Chinese A-share: value stocks vs. growth stocks." Master's thesis, 2018. http://hdl.handle.net/10362/37043.

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This paper compares the performance of value and growth strategy in the Chinese A-share markets in the post-reform period. The cumulative performance of annually rebalanced value and growth portfolio sorted by book-to-value ratio indicate that value strategy outperforms growth strategy over the time frame from January 2007 to October 2017. One can also observe a weak average value premium of 0.44% to 0.45% per month. However, the rolling window analysis indicates that the value premium in the A-share market is not robust over different time frames and investment horizons. As the time frame and

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18

Chen, Mei-Chun, and 陳美君. "The Effect of Introduction of QFII on Equity Return Correlation between A and B share Market: the Case of Chinese Stock Market." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/96104556316193124852.

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碩士<br>國立臺北大學<br>國際企業研究所<br>101<br>Under strict foreign exchange controls and protecting A share market from affected by foreign capital, A and B share market were completely segmented before Feb. 19, 2001. On one hand, the severe regulation had led to some problems in the B share market. On the other hand, after participating in World Trade Organization, China authorities honored their commitments to opening the financial markets. China Securities Regulatory Commission announced opening B share market to the domestic citizens On Feb. 19, 2001. Further, State Administration of Foreign Exchange

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19

"Value-relevance of the aging disclosure of accounts receivable: evidence from Chinese A-share listed firms." 2001. http://library.cuhk.edu.hk/record=b5890769.

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20

Xue, Xiao, and 肖雪. "The Relevance between Stock Ownership Incentive Compensation and Enterprise Value: Taking Chinese A-Share Market Firms as an Example." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/b725fg.

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碩士<br>國立中央大學<br>會計研究所<br>103<br>This research investigates the relationships between equity-based incentive compensation and firm value in China. Since split-share structure reform, the equity-based incentive compensation system of China has developed rapidly. According to the market mechanisms and policies of China, the differences exist between restricted stock and stock option in grant price as well as other aspects like rights and obligations. For example, restricted stock could be granted to the employees at some a half of its market price. Incentive effects of restricted stock are relati

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21

HSIEH, YI-FEN, and 謝宜芬. "Study on the Impacts of Female Director and Corporate Governance on Accounting Conservatism: Taking Chinese A-Share Market Firms as an Example." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/2b92s9.

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碩士<br>東吳大學<br>會計學系<br>106<br>With the development of society, Chinese traditional values such as“Three Obediences and Four Virtues”and “Man is Superior to Woman”have been no longer entrenched. Female directors are gradually occupying important positions in commercial society. In recent years, there exists an impression that some identity characteristics of women make them different from men in the fields of risk appetite and management manner. These characteristics will affect some significant decisions of an enterprise and cause a great impact of the quality of accounting information. 　Accou

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22

Elshandidy, Tamer. "Value relevance of accounting information: Evidence from an emerging market." 2014. http://hdl.handle.net/10454/12863.

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no<br>Without making any distinction of the applicable accounting standards, this paper investigates, firstly, the value relevance of accounting information from 1999 to 2012 in different segments of the Chinese stock market. This investigation includes A-shares, prepared under Chinese Accounting Standards (CAS) for domestic firms; B-shares, prepared under either the International Accounting Standards (IAS) or International Financial Reporting Standards (IFRS) for both domestic and overseas firms; and H-shares prepared under either the IAS or Hong Kong GAAP for Hong Kong and overseas firms. Th

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23

Chen, Wei-Chun, and 陳韋均. "The Effects of Market Segmentation Stock Return─Evidence from Chinese A、B Shares and Hong Kong H Shares." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/30798025018054076573.

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碩士<br>輔仁大學<br>應用統計學研究所<br>88<br>Abstract The Chinese listing companies have issued A shares to domestic investors and issued B shares and H shares to foreign investors. The government of the Mainland China separate A shares and B shares, A shares and H shares into different trading markets, which forms market segmentation. It is the main purpose of this thesis that we use adjusted event study to discuss whether market segmentation is the cause to abnormal return in the way of Merton’s Investor Recognition Hypothesis and Amihudand Merdelson’s Liquidity Hypothesis.

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24

LUO, JHIH-WEI, and 駱志威. "Correlation and Price Discount between A Shares and H Shares in Chinese and Hong Kong Stock Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/81996786691609376478.

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碩士<br>國立臺北大學<br>企業管理學系<br>98<br>In the early period of China’s stock market, transactions of A shares in China were limited to Chinese citizens, while transactions of H shares in Hong Kong were limited to HK citizens, or foreigners from other countries. However, these restrictions have been gradually lifted in recent years, progressively shifting China’s stock market. Thus study adopts the Johansen co-integration test, the Granger causality test, and the panel data model to analyze the collected data from 2005 to 2009, discuss the long- term trends of A and H shares, the interaction between th

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25

Schive, Yun-Chy, and 薛韻琪. "An Investigation of Market Cointergration and Price Transmission among Chinese A, B and H Shares." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/51526769298657767955.

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