Dissertations / Theses on the topic 'Stock markets'

This thesis uses liquidity to examine some stock market phenomena. It begins by researching the role of liquidity in explaining the “disappearing dividend puzzle” across several financial markets. Then, it examines the cash/stock dividend payouts and their determinants in China. Finally, this paper investigates the interplay among illiquidity, variance risk premium and stock market returns. The research studies the disappearing dividend puzzle with a large sample of firms representing eighteen countries over the sample period from 1989 to 2011. Our investigation finds that risk is an important determinant of firms’ dividend payout policy. For firms in the US, France, UK and other European markets, liquidity plays an additional role in explaining the changes in propensity to pay. Then we test the explanatory power of liquidity, risk and catering incentives in the “disappearing dividend puzzle”. The thesis finds support for catering theory among firms in common law countries but not those in civil law countries. The catering incentives persist even after adjusting the propensity to pay for liquidity. However, after controlling for risk, the significant explanatory power of catering incentives in the changes in propensity to pay disappears. Our results indicate that catering incentives capture the risk difference between dividend payers and non-dividend payers. Then, the research studies the payout patterns of both cash and stock dividend in China over the sample period 1999-2013. The Chinese stock market is a fast-growing market with some special characteristics, such as complicated corporate ownership structures. The specific characteristics of Chinese firms might affect the dividend payout policy in China. We first study the determinants of Chinese firms’ dividend payout policy. Our results indicate that lifecycle, risk and liquidity are important determinants of firms’ cash/stock dividend policy. We find that firms with larger board size and fewer annual board meetings are more likely to pay cash dividends and less likely to pay stock dividends. Also, the research notes that managerial stake is insignificant in explaining Chinese firms’ cash/stock dividend payouts. Then, we investigate the catering theory in China. Our findings show that catering incentives matter in explaining the unexpected percentage of dividend payers if we do not control for liquidity/risk. However, once we control for liquidity/risk, the catering incentives contribute little toward explaining the changes in propensity to pay cash/stock dividends. Our results imply that Chinese firms’ cash/stock dividend policy is influenced by the board, rather than managers or investors. Finally, this thesis investigates the interplay among illiquidity, variance risk premium and market returns. Previous studies that test whether liquidity is useful in forecasting market returns ignore the question of whether variance risk premium might also be useful for this purpose. As a result, these papers potentially overestimate the role of liquidity in predicting market returns. This thesis tests whether liquidity and variance risk premium are useful for return forecasting by comprehensively investigating the interplay among illiquidity, variance risk premium and market returns. We adopt monthly US data from January 1992 to December 2010. The results show that variance risk premium, reflecting investors’ risk aversion to volatility risk, causes variations in stock returns, and in turn causes market illiquidity, rather than vice versa. Furthermore, we find that variance risk premium has substantial forecasting power over future market returns, while liquidity measure does not. Additionally, our results indicate that variance risk premium impacts equity returns by acting on the risk factors, i.e. market risk premium, value factor and momentum factor.

Mestrado em Economia
Existem duas maneira possíveis de interpretar a aparente natureza estocástica dos mercados financeiros: a Hipótese do mercado eficiente (HME) e um conjunto de factos estilizados que conduzem o comportamento dos mercados. Apresentamos evidência para alguns dos factos estilizados como a existência de um fenómeno de memória na volatilidade dos preços a curto prazo, um comportamento em lei de potência e dependências não lineares nos retornos. Considerando isto, construímos um modelo do mercado através de cadeias de Markov. Em seguida, desenvolvemos um algoritmo que pode ser generalizado para qualquer alfabeto de N símbolos e cadeia de Markov de comprimento K. Com esta ferramenta, somos capazes de mostrar que é, pelo menos, sempre melhor que um modelo completamente aleatório como o Passeio Aleatório. O código está escrito em MATLAB e é mantido no GitHub.
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the stylized facts such as memory-like phenomena in price volatility in the short term, a power-law behavior and non-linear dependencies on the returns. Given this, we construct a model of the market using Markov chains. Then, we develop an algorithm that can be generalized for any N-symbol alphabet and K-length Markov chain. Using this tool, we are able to show that it's, at least, always better than a completely random model such as a Random Walk. The code is written in MATLAB and maintained in GitHub.
info:eu-repo/semantics/publishedVersion

 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group.
published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy

The studies in this thesis examine financial integration: its extent across regions and market cycles, how culture affects it and how the levels of market linkages impact the effectiveness of policy decisions during periods of market crisis. This investigation is undertaken in four separate but interrelated studies. The first study (Chapter 3) uses a novel approach, partial correlations within a complex network framework, to examine the degree of globalization and regionalization of stock market linkages and how these linkages vary across different economic or market cycles. The results show that geography influences network linkages differently across market cycles. During normal times, regional factors shape market linkages; however, during periods of turbulence, global rather than regional factors drive these linkages. Also, the network traffic increases during times of turmoil, but contrary to previous results, the results do not indicate a consistent or overwhelming increase in positive linkages between markets. Also, contrary to expectations, financial centers such as the US, China, Japan, and the UK command a greater regional rather than global influence. These findings have implications for portfolio management and policy decision-making. The second study (Chapter 4) examines linkages between stock markets across market cycles by combining network and cointegration analysis. The results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, no widespread common stochastic trends between markets are detected. Also, the major financial markets fail to influence long-run network linkages. The third study (Chapter 5) conducts a comprehensive study on the effect of culture on stock market linkages. A quantile regression model uses data from 25 national stock markets to estimate the determinants of market linkages. It controls for distance, economic and legal variables while using culture variables such as language, religion, and Hofstede’s culture dimensions. The study tests whether the effects of culture hold across regions, in markets with higher liquidity, and if changes occur during periods of market crisis. The main conclusion is that culture preferences shape investor choices, which affects the integration between stock markets. Equity markets with similar cultural characteristics tend to increase market linkages; however, differences are observed across regions. Furthermore, liquidity and economic uncertainty does not impact the significance of culture variables as determinants of market linkages. The fourth study (Chapter 6) tests the hypothesis that policy interventions during periods of stress are less effective when markets are globally integrated. The tests are conducted in the context of the Chinese and Russian stock markets, which depict varying levels of linkages with the US market and were subject to policy interventions during the Global Financial Crisis. Using an event study in combination with dynamic conditional correlation and Markov regime switching methodology, a negative relationship exists between the degree of market linkages and the effectiveness of market interventions. The findings indicate that the market response in the Chinese market, which was less financially integrated with the US (than with Russia), was more effective. Thus, the study lends support to the hypothesis that policy interventions in equity markets become less effective when markets are integrated. This study is the first to investigate the impact of international market linkages on the effectiveness of stock market interventions. The results from this research show that tighter market integration shapes the changing market networks due to structural changes and the forces of globalization. The dynamics of the market networks draw attention to the impact of contagion on market efficiencies, which has far-reaching negative consequences on policy decisions during periods of market crisis. Although these disruptive market crises are difficult to prevent, a deeper understanding of market networks can empower policy decision-makers in dealing with these fallouts. The financial networks can also have a far-reaching impact on arbitrage and portfolio risk management strategies. The findings of the research also highlight the role of behavioral variables such as culture, which affects not only the development of financial markets but also how the financial linkages are shaped.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
Full Text

In this study we examine the stock price response around interim reports and the differ-ence between companies with listed stock options and companies without is measured. The focus of the study is OMX Nordic large cap list during the years 2010 and 2011 which gave us a sample of 1096 interim reports. A conventional event study were per-formed where the abnormal return around the release of the interim report were meas-ured. The abnormal returns were not different from zero at the 95% confidence level for the pre and post-announcement period. Abnormal returns on the event day were differ-ent from zero at the 95% confidence level in all cases and companies with listed stock options had a significantly higher abnormal return. We found a difference around one percent in stock price response between the two types of companies. The size and the systematic risks of the companies had a significant correlation to abnormal returns but none of them fully explained the differences between the two types of firms. Either the option market causes this difference or an untested systematic difference does.

Thesis (Ph.D.)--University of Wollongong, 2006.
Typescript. "Middle East and North Africa (MENA) region, namely, Egypt, Turkey, Jordan and Morocco." -- Abstract. Includes bibliographical references: leaf 247-261.

Four research projects have been carried out with the objective of providing insights into some of the popular Asian investment myths and beliefs. The studies also throw some light on the efficiency of one Asian stock market. At the same time, the results reported in these research papers provide pragmatic investment guidelines for Asian emerging stock market investors. These research efforts add depth and breath (sic) to the existing emerging stock market investment literature, especially on Asian emerging stock markets. The Four Research Papers were : Research Paper I : Stock Selection Criteria During the Bull Run in the Malaysian Stock Market; Research Paper II : How Important Were Political Factors for Asian Stock Market Investors Throughout the Recent Financial Crisis?; Research Paper III : Active Equity Management versus Passive Equity Management - The Case of Malaysia from the Perspective of Foreign Investors; Research Paper IV : Stock Selection Criteria during the Bear Phase of the Malaysian Stock Market. Four popular myths/beliefs (myliefs) were selected for in-depth study with the conviction that the findings from these four studies could provide an insight into the emerging Malaysia stock market. The selection of the myliefs is mainly based on the popularity of the mylief as well as the applicability of the research results in the view of a foreigner investor
Doctor of Business Administration

The degree of stock market integration has important implication for cross-border portfolio diversification, for which the Mainland China has become an attractive destination, particularly following the gradual open-up of its A-share market to foreign institutional investors. The first part of this thesis explores the various aspects of stock market integration taking place in Mainland China, in an attempt to resolve the ambiguity between extant empirical and anecdotal evidence on the issue. The evidence drawn from different statistical perspectives collectively establishes that the Mainland Chinese stock market is in a process of further integrating with a selection of world's developed stock markets. Nevertheless, such increased integration should not preclude foreign institutional investors from diversifying into the Chinese A-share market, as the current integration is far from being complete. Adopting appropriate risk monitoring technique for venturing into the volatile Chinese A- share market is another imperative issue faced by foreign institutional investors, whose risk practices and economic capital are largely regulated by the Basel Accord. The second leg of this thesis addresses this problem through an evaluation of various volatility forecasting models for Value-at-Risk (VaR) reporting. Our results highlight the importance of adopting heterogeneous risk monitoring models in different investment environments for the purpose of regulatory compliance and optimal economic capital allocation. Overall, the studies contained in this thesis should add knowledge to the burgeoning literature on international financial integration at large, while serving the interests of institutional investors, and financial regulatory authorities alike.

This study investigates stock market anomalies in the Kuala Lumpur Stock Exchange (KLSE), Malaysia, with some comparisons with three other Far-Eastern markets, namely the Stock Exchange of Singapore (SES), the Stock Exchange of Thailand (SET) and the Stock Exchange of Hong Kong (SEHK). The main anomaly investigated is overreaction in the KLSE. Seasonality and firm size effects, which are usually associated with the overreaction effect, are also examined individually, and in the context of the overreaction effect. The impact of time-varying risk on overreaction is also investigated. First, stock market seasonality across four markets - KLSE, SES, SET and SEHK- is examined. The evidence suggests the existence of December and January effects in Singapore and Hong Kong respectively. A Chinese New Year effect is observed in all countries except Thailand. Next, stock market overreaction in the KLSE is investigated. Two portfolios of extreme stocks (based on their past 3-year excess returns) are formed, and their performance is measured in the next three years for evidence of overreaction. The initial results are consistent with overreaction; winner (loser) portfolios, which outperform (underperform) the market in the prior period, underperform (outperform) the market in the next period. The reversal in performance is more dramatic for losers. Further analyses show that risk and size factors cannot explain fully the observed phenomenon. A seasonal pattern is revealed in the excess returns of winners and losers; there is a pronounced February effect in both. Moreover, the February effect is observed to be greater for smaller firms. Lastly, a post-script chapter is included whereby the effect of the recent Asian economic turmoil on the markets, and on KLSE overreaction, is looked at. It is found that several months into the crisis, both winners and losers underperform the market.

Thesis (PhD (Business Management))--University of Stellenbosch, 2006.
ENGLISH ABSTRACT: This study investigates whether any exploitable pauems exist in a sample of ten African stock markets that could lead to abnonnal gains. Southern Africa is represented by Botswana, Namibia. Mauritius and Zimbabwe, East Africa by Kenya, West Africa by Ghana and the BRVM, and North Africa by Egypt, Morocco and Tunisia. Such evidence, if it exists, provides ground for refutation of the weak form of the efficient market hypothesis (EM H) as defined by Farna (1965. 1970). The thesis is predominantly empirical, but also provides an overview of African stock markets, the theoretical framework on which the study is based and the impact of the advancement in information technology on market efficiency. The results show that the distribution of stock returns on African stock markets is not normal, and that the deviation from normality is significantly pronounced with almost all the stocks rejecting nonnality using the Kolmogorov-Smimov test at the I % level of significance. The stock price behaviour of the abovementioned stock markets is investigated by testing the random walk hypothesis using the simple serial correlation and runs tests. The investigation is done using returns calculated on a trade-to-trade basis and adjusted for interval variability by weighting each trade-to-trade return by the number of days between trades. While the first part of this analysis only includes the markets on which dividend information could be obtained, the second part includes all the ten markets with returns referring to capital gains. However, it is shown that dividend information does not have a serious impact on the results. While the majority of stocks, especially those for Mauritius and Ghana, reject the random walk hypothesis, only Namibia, Kenya and Zimbabwe, can be said to be weak form efficient. While thin trading is known to cause econometric and statistical problems in empirical tests, thin trading has been taken as given in most studies. In this thesis, the seriousness of thin trading on African stock markets and its implications for efficiency testing is empirically investigated. A comparison of the random walk test results when returns are calculated normally and when the trade-to-trade approach and its variant, the adjusted trade-la-trade approach, are used is carried out. It is found that thin trading is indeed a severe problem on African markets and that there are some differences in the random walk results due to the different methods used to calculate returns. Investigating in-sample predictability using linear models appears to be the norm in most tests of the EMH. This thesis argues that the return-generating process may not be linear and if that is the case, the nonlinear models may outperform the linear models in out-of-sample forecasting. The random walk is considered a true description of stock price behaviour only if it is not outperformed by any of the alternative models in forecasting stock prices out-of-sample. This is empirically tested using the indices data of the African stock markets in the sample. It is found that alternative models, in most instances, outperform the random walk model in out-of-sample forecasting. The random walk results are substantiated by the results on seasonal patterns and other anomalies to the efficient market hypothesis such as the finn size and price earnings (PIE) effects. Size and PIE ratios have been identified as significant predictors of stock returns in other markets. In particular, it has been suggested that small-size firm portfolios outperform large-size finn portfolios and that low PIE firm portfolios outperform high PIE firm portfolios. The size and PIE effects found in this thesis are mostly exactly the opposite of those hypothesised in the literature. The existence of seasonal patterns contradicts the statement that stock prices behave in a random manner. This phenomenon is investigated on African stock markets using indices returns. The study benchmarks the findings with those of South Africa's Johannesburg Stock Exchange (JSE) Securities Exchange; other emerging markets, namely Brazil, Malaysia, Poland, Slovenia and Finland; and developed markets, such as the United States of America (U.S.), Australia and New Zealand. Seasonal effects are observed on some, but not all African stock markets and in most cases the patterns observed are different from those observed on stock markets elsewhere.
AFRIKAANSE OPSOMMING: Hierdie studie delf na of daar enige ontginbare patrone in 'n proefstuk van tien Afrika aandelemarkte bestaan, wat tot abnormale winste kan lei. Suider-Afrika word deur Botswana, Namibie, Mauritius en Zimbabwe verteenwoordig; Oos-Afrika deur Kenia, Wes-Afrika deur Ghana en die BRVM, en Noord-Afrika deur Egipte, Marokko en Tunisie. Indien sodanige bewyse bestaan, sou dit as grondslag dien vir weerlegging van die prestasie van die doeltreffende mark-hipotese (EMH) soos deur Fama (1965, 1970) gedefinieer. Die tesis is oorwegend empiries, maar bied ook 'n oorsig oor Afrika-aandelemarkte, die teoretiese raamwerk waarop die studie gebaseer is en die impak van die vordering in inligtingstegnologie op markdoeltreffendheid. Dit probeer vasstel of die verspreiding van winste op aandele met die van normaliteit konformeer. Die resultate toon dat die verspreiding van winste op aandele op aandelemarkte in Afrika nie normaal is nie en dat die afwyking van normaliteit aansienlik skerp is met byna al die aandelemarkte wat normaliteit verwerp wanneer die Kolmogorov-Smirnov-toets (teen die 1 %-vlak van beduidendheid) toegepas word. Die gedrag van aandelepryse van bovermelde aandelemarkte is ondersoek deur die ewekansige steekproef-hipotese te toets deur die eenvoudige reeks korrelasie en aanvraag-toetse toe te pas. Die ondersoek is gedoen deur opbrengste te gebruik wat op 'n handel-tot-handel-grondslag bereken is en vir interval wisseling aangepas is deur iedere handel-tot-handel-opbrengs teenoor die aantal dae tussen transaksies op te weeg. Terwyl die eerste deel van die ontleding net die markte insluit waarop inligting oor dividende verkry kon word, het die tweede deel al tien markte ingesluit met opbrengste wat na kapitale winste verwys. Daar word egter bewys dat inligting oor dividende nie 'n ernstige en waardige impak op die resultate het nie. Terwyl die meerderheid aandele, veral die vir Mauritius en Ghana, die ewekansige steekproef hipotese verwerp, kan daar aanvaar word dat net die in Namibie, Kenia en Zimbabwe swak-prestasie doelmatig is. Terwyl dit bekend is dat swak handel statistiese en ekonometriese probleme in empiriese toetse meebring, is swak handel as 'n gegewe in die meeste studies aangedui. In die tesis word die erns van swak handel op aandelemarkte in Afrika en die implikasies daarvan vir doeltreffende toetsing empiries ondersoek. 'n Vergelyking van die resultate vir (ewekansige steekproewe) word getref wanneer winste normaal bereken word en wanneer die handel-tot-handel-benadering en sy variant, die aangepaste handel-tot-handelsbenadering, toegepas word. Daar is bevind dat swak handel inderdaad 'n ernstige probleem op Afrika-markte is en dat daar sommige verskille in die ewekansige steekproef-resultate is as gevolg van die verskillende metodes wat ingespan word om die winste te bereken. Die gebruik van liniere modelle om ondersoek in te stel na die voorspelbaarheid van proefstukke blyk die norm in die meeste toetse van die doeltreffende mark-hipotesis te wees. Die tesis voer aan dat die wins-genererende proses nie noodwendig linier is nie, en indien dit die geval is, kan die nie-liniere modelle die liniere modelle in die proefstuk-voorspelling oortref. Die steekproef word as 'n betroubare beskrywing van die gedrag van aandelepryse beskou, maar net indien dit nie deur enige van die alternatiewe modelle in die voorspelling van aandelepryse in die proefstuk oortref word nie. Dit is empiries getoets deur die toepassing van die indeks-data van die Afrika-aandelemarkte in die proefstuk. Die ewekansige steekproef-resultate word deur die resultate van seisoenale patrone en ander afwykings van die doeltreffende mark- hipotesis gestaaf, soos die grootte van die onderneming en die invloede van prys inkomste. Grootte en prysinkomsteverhoudings is as betekenisvolle voorspellers van aandele-winste op ander markte geidentifiseer. Daar is spesifiek aangedui dat die portfolios van klein maatskappye die van groter maatskappye oortref en dat die portfolios van lae prys inkomstemaatskappye die van hoe prysinkomste oortref. Die grootte en invloede van prysinkomste wat in die tesis bepaal is, is hoofsaaklik presies die teenoorgestelde van die waaroor in die literatuur 'n hipotese oor opgestel is. Die bestaan van seisoenale patrone weerspreek die stelling dat aandelepryse hulle op 'n lukrake wyse voordoen. Die verskynsel is op Afrika-aandelemarkte ondersoek deur indeks-opbrengste te gebruik. Hierdie studie meet die bevindinge aan die hand van Suid-Afrika se Effekte Wisselkoerse op die Johannesburgse Aandelebeurs, ander opkomende markte soos Brasilie, Maleisie, Pole, Slovenie en Finland, en ontwikkelde markte soos die van die VSA, Australie en Nieu-Seeland. Seisoenale invloede word op sommige waargeneem, maar nie op alle aandelemarkte in Afrika nie - in die meeste gevalle verskil die patrone wat waargeneem is van die op aandelemarkte elders.

The paper explores the effects of stock markets on business investment. Next to the direct finance effect several indirect channels are identified and discussed. These are the allocation of investment, the effects through balance sheets on the stability of the financial systems, the wealth effect on consumption and corporate governance effects. Among these the intuitively appealing direct effect and the indirect corporate governance effect are discussed most extensively. The empirical evidence regarding the financing effect is clear, if surprising. Stock markets play little role in financing investment and investment reacts little, if at all, to changes in share prices. Changes in corporate governance have gotten prominent recently. The paper proposes a post-Keynesian model thereof and presents evidence that the increase in shareholder power may have reduced investment. (author's abstract)
Series: Working Papers Series "Growth and Employment in Europe: Sustainability and Competitiveness"

The backdrop of this dissertation is one ubiquitous element of everyday life: the stock market. Traditionally, accounting and stock markets are logically coordinate entities and this thesis analyzes how accounting supports private investors in their role as shareholders – as investors in shares and owners of companies. This analysis is carried out in four independent essays. The first two essays analyze the privatization of Telia, a former state-owned Telecommunication Company in Sweden that went public in 2000. The field material for the two essays consisted of newspaper articles, government bills and interviews. Qualitative and quantitative analyses demonstrate how accounting is used among different actors to realize the privatization. Theoretically, the first two essays lend themselves to the governmentality debate as introduced to accounting research by Miller and Rose (1990). The third and fourth essays are analyses of annual general meetings (AGMs). The field material was generated from a study of participants at 36 AGMs during the spring of 2004. The choice of these two seemingly unrelated cases was done deliberately. Both cases are stock market events that typically involve an audience of a large number of non-professional investors. In the privatization of Telia over 1 million people took part in the offer. The AGMs are typically seen as the single event by which non-professional investors have an opportunity to meet with top management. Thus, each event represents an instance in which accounting is confronted by a predominantly non-professional audience. The contribution of this study is two-fold. First, earlier work inspired by the Miller and Rose framework (1990) has favored an analysis of the programmatic. This study develops the technological aspect of the theoretical framework by means of a rich empirical description. In addition the two essays on the privatization of Telia contribute with an analysis of how once a specific technology translates to become and becomes understood at the site of intervention. Second, the two studies of AGMs contest earlier criticism against the meeting as a corporate governance mechanism detached from the overall corporate governance system. The argument here is that the AGM offers a valuable setting for private investors to discuss stewardship issues. That this opportunity is taken advantage of is suggested by the present field material.

China’s stock markets have become the second largest in the world after that of the United States. Both the Chinese institutional setting and the behaviors of the populous Chinese investors and listed firms provide novel opportunities to explore the classical theories in the field of economics and finance. Using two natural experiments, this thesis attempts to shed new light on these theories. The local bias puzzle was originally proposed from the analysis of investors’ investment portfolios. In the first essay, I test and confirm the hypothesis that local bias has already existed in investor attention subconsciously regardless of their investment. In contrast to literature which focuses on investment accounts, I examine local bias in investor attention by analyzing investor messages posted on China’s Internet stock message boards. I find that individual investors pay more attention to the stocks of local companies. This finding is strong and robust to local-bias proxy variables. By examining factors that affect investor attention local bias, I find that local bias is particularly strong in underdeveloped regions, for SOEs, for small-investor base and low-turnover stocks, and for stocks with name indicating locality. Furthermore, distance plays a significant role: the marginal effect of local bias is much stronger for distances within 500 kilometers. All these results are consistent with my explanation that local bias is affected by factors which can attract investors’ attention. Thus, investment local bias is the natural consequence of investor attention local bias, and I attribute the local bias puzzle to limited investor attention. Chinese stock market has plunged into an unlocking flood of non-tradable shares since June 2006. This radical transition provides a unique natural experimental setting to ascertain earnings management incentives. In the second essay, I explore whether earnings management behavior exists in listed Chinese firms during the unlocking process. I find that non-tradable shareholders opportunistically manipulate earnings upward to offset price pressures for subsequent selling. Firms have higher levels of accruals when unlocking incentive is higher. Furthermore, actual selling incentive is higher in firms which have higher levels of accruals. The results document a novel case that equity incentives give rise to the incidence of earnings management.
published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy

Quantitative studies have provided evidence showing that ambiguity can help to explain the equity premium puzzle and the excess volatility puzzle of the equity market. In addition, it also plays an important role in the 2008 financial crisis. However, empirical studies remain few. Anderson et al. (2009) develop an empirical measure based on the Survey of Professional Forecasters (SPF). The survey data are collected from part of the professionals in the US finance industry, which might result in biased findings. Viale et al. (2014) develop another empirical measure of ambiguity based on the reference model calculated using the smooth transition autoregressive (STAR) model and assumptions about the confidence level of investors. It may be improper to use the STAR model as the reference model because it is difficult to find out a forecasting model that is used by all investors. As such, the first empirical study in Chapter 3 focuses on high-frequency forecasting using linear AR models, exponential smoothing models and nonlinear AR models. The findings suggest that the best-performing forecasting model changes from one period to another and the STAR model cannot beat the AR model, suggesting that the calculation of the ambiguity measure of Viale et al. (2014) is improper. Therefore, the other two empirical studies in Chapters 4 and 5 develop two new empirical ambiguity measures with inspiration from theoretical works. The results support the theoretical proposition that ambiguity can explain the equity premium puzzle and the excess volatility puzzle. In addition, the degree of ambiguity of the equity market can be affected by investors' expectations on macroeconomic conditions and default risks. On the other hand, Chapter 5 shows that ambiguity plays an important role in the 2008 financial crisis. Last but not least, the thesis also provides an ambiguity indicator for regulators and financial market practitioners.

I investigate the information content in the implied volatility spread, which is the spread in implied volatilities between a pair of call and put options with the same strike price and time-to-maturity. By constructing the implied volatility time series for each stock, I show that stocks with larger implied volatility spreads tend to have higher future returns during 2003-2013. I also find that even volatilities implied from untraded options contain such information about future stock performance. The trading strategy based on the information contained in the actively traded options does not necessarily outperform its counterpart derived from the untraded options. This is inconsistent with the previous research suggesting that the information contained in the implied volatility spread largely results from the price pressure induced by informed trading in option markets. Further analysis suggests that option illiquidity is associated with the implied volatility spread, and the magnitude of this spread contains information about the risk-neutral distribution of the underlying stock return. A larger spread is associated with smaller risk-neutral variance, more negative risk-neutral skewness, and seemingly larger risk-neutral kurtosis, and this association is primarily driven by the systematic components in risk-neutral higher moments. I design a calibration study which reveals that the non-normality of the underlying risk-neutral return distribution relative to the Brownian motion can give rise to the implied volatility spread through the channel of early exercise premium.

In 1991, the Communist Government of the USSR was voted out of existence and this formally brought to an end in Central and Eastern Europe, as well as in other countries, to a failed political ideology that had endured for more than seventy years with massive implications for control and allocation of economic resources. The term 'transition economy' was coined to describe the economies of those countries that that were propelled as a consequence of this, into a process of transition from planned (or socialist) economy to a market-based economy. The implications of this were far reaching and as private property was reintroduced, stock markets had to be established so that equity could be traded in newly created privately owned bodies corporate. This posed enormous problems, not least because new generations, unaccustomed to the operation of capital markets, had grown up under socialism and viewed the newly created stock markets with suspicion and caution. One of the major challenges in the transition economies was therefore to educate investors and to explain to nature of risk capital. However, efforts to educate investors were somewhat confounded because, coupled with the absence of understanding, there was an absence of reliable information about the companies traded on the stock market and lack of trust in the operation of the market itself. In this thesis, we investigate the emergence and development of stock markets in ten Central and East European countries (Bulgaria, the Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, Slovakia and Slovenia). As well as surveying their development we test whether the function efficiently and whether they are sufficiently development so as to exhibit comovement with the world's major stock markets.

The widespread creation of stock markets in developing countries is one of the most conspicuous features of international financial development in the past three decades. The number of stock markets in Africa increased from only six before 1989 to 21 by 2004. The quest for long-term capital for development and the increasing role played by stock markets in the efficient allocation of resources made the stock market culture inevitable in most cases. 'Africa's emerging markets represent a fast growing part of the world economy, and empirical evidence suggests that they have low, even negative, correlations with the more developed financial markets. Thus inclusion of African assets in a mean-variance efficient portfolio could significantly reduce portfolio volatility and increase expected returns. In spite of these facts, little is known about Africa's markets. Although the Efficient Markets Hypothesis (EMH) has been with us for nearly five decades, and knowledge of stock return behaviour has been accumulating in emerging market economies of Asia and Latin America, Africa's markets continue to escape the attention of the research community. This thesis contributes to our knowledge of the dynamic behaviour of stock returns in Africa's biggest markets (South Africa, Egypt, Nigeria, Kenya, Tunisia and Morocco). The novelty of this study rests on applying a variety of econometric techniques and which leads to the following conclusions: Weak form efficiency is rejected for all the markets; however, this is discussed with reference to the institutional characteristics of the markets studied (i. e., capitalisation, turn over, liquidity and information and legal architecture). Seasonal patterns exist in African stock returns: however, with appropriate specification, they tend to disappear, and where they are significant, they tend to be unexploitable. We also show that Africa's markets are not well integrated, regionally, and globally. While this evidence calls for more openness to trade and policy coordination, it also implies that Africa's markets can play a role in diversifying investment risk. Finally, stock prices tend to provide a hedge to investors against rising consumer prices over a relatively long period of time.

Denna studie undersöker om en investering i värdeaktier kan generera en bättre avkastning jämfört med en investering i tillväxtaktier. Historisk data för aktier som handlats på Stockholmsbörsen har sammanställts från diverse källor. Till exempel Börsguide och från databasen Thomson Reuters Ecowin Pro. Med hjälp av denna och övrig relevant historisk sekundärdata har aktier grupperats in i värde- och tillväxtportföljer beroende på deras P/E-tal i fem portföljer med olika köp- och innehavstider som sträcker sig från 12 upp till 60 månader mellan åren 1996 och 2009. Inom varje innehavstid för de olika portföljerna har antalet av värde- och tillväxtaktier varierat. Från, till exempel, 11 aktier under period ett till 20 aktier under period fem. Aktier har ”köpts” och hållits kvar med en inledande investeringar på 20000 SEK i början av varje portföljs innehavstid med hänsyn till studiens syfte. Avkastningen för dessa investeringar beräknas med tre olika genomsnittliga avkastningsberäkningar. Årliga medelprisavkastningar, innehavsavkastningar och riskjusterade avkastningar. Beräkningar har gjorts för årlig innehavsperiod, för hela innehavsperioden och för alla portföljers innehavsperioder tillsammans. Utifrån resultaten för dessa beräkningar har utvecklingen för värde- och tillväxtaktier analyserats. När all fem portföljer jämförs tillsammans och den årliga medelvärdesavkastningen beräknats, så genererar värdeaktierna i genomsnitt 15,1 % högre avkastning än tillväxtaktier gällande en årlig genomsnittlig riskjusterad avkastning. Resultatet för innehavsavkastning är i genomsnitt 5,6 % högre än för tillväxtaktierna. De här resultaten tyder på att en investering i värdeaktier, genom att använda historisk fundamental information, kan generera en bättre avkastning jämfört med tillväxtaktier. Följaktligen kan man försiktigt hävda att Stockholmsbörsen tycks uppvisa egenskaper gällande en semi-stark form av den effektiva marknadshypotesen.
This study tries to examine if investment in value stocks (poor performing stocks) can generate superior returns over investment in growth stocks. Historical stock data for stocks traded in Stockholmstock markets are collected from various sources such as Börsguide and Reuters Thomson Ecowin Pro database. Using these and other relevant secondary historical data, stocks were grouped into value and growth portfolios depending on their P/E-multiples for five buy and hold periods which range from twelve months up to sixty months between investment periods 1996 and 2009. In each portfolio holding period, different numbers of value and growth stocks, ranging from, for example eleven stocks in period one, to twenty stocks in period five are purchased and held for an initial investment of 20000 SEK at the beginning of each portfolio holding period for the purpose of the study. The returns to these investments are computed for three different average return measurements. These are annual Mean Price Returns, Holding Period Returns and Risk-Adjusted Returns for each of the portfolio holding year, for the entire holding periods as well as for the entire portfolio holding periods combined together. Using the spread between these measures, the performances of both value and growth stocks are analyzed. When all the five portfolios are combined together and the mean annual rate of returns are computed, value stocks outperform growth stocks by an average of 15.1 % mean annual Risk -Adjusted Return Rate. The result for Holding Period Return is an average of 5.6 % higher than the growth stocks. These results indicate that investment made in value stocks identified using historical fundamental data can generate superior returns than growth stocks. Consequently, it can cautiously be argued thatStockholmstock markets appear to exhibit the characteristics of the semi-strong form of the Efficient Market Hypothesis.

Resulting from the deregulation and prosperity of the economic and financial sectors in Asia during 1980s, a significant increase in cross-bordered financial transactions ultimately accelerated the region of Southeast Asia to be on a process of financial integration and consequently diminished opportunities for portfolio diversification. Financial Integration is a multidimensional process through which allocation of financial assets becomes lastly borderless. This purpose of this paper is to examine a progress thus far in capital market integration or preferentially, the co-movement of the equity markets between the U.S. and the Southeast Asian nations: Thailand, Indonesia, Malaysia, and the Philippines by employing the methodology of Gregory and Hansen Cointegration and Error Correction Analysis (ECM). The consequence of the U.S. market performance on each Southeast Asian national markets are extensively analyzed by decomposing monthly price-index time series into three distinct sub-periods based on an occurrence of the Subprime Mortgage Financial Crisis in 2007. The results indicate that these four emerging markets had been considerable influenced by the U.S. market performance, regardless of crisis or non-crisis periods. Nevertheless, some countries like Indonesia and the Philippines acted differently during the pre-crisis and crisis sub-periods respectively due to their domestic market infrastructure and regulation adjustment. However, these two markets had eventually turned to share an interdependent long-run relationship with the U.S. equity market since the ending of the Subprime financial downturn. Moreover, this finding suggests that ongoing capital market integration in the Southeast Asian region would mitigate portfolio diversification benefits for investors by virtue of increasing in correlation among securities and assets. Therefore, more exhaustive investigation about equity market integration is significantly beneficial in macroeconomic and financial perspective.

碩士
國立中山大學
財務管理學系研究所
100
This paper focuses on stock markets, including Portugal、Italy、Ireland、Greece and Spain, and these are named PIGS by economists. Furthermore, we add the other three countries, U.S.A.、U.K. and Germany in this paper for investigating the dependence structure in the stock markets between these countries during the period 2001-2011. We implement a regime-switching copula model based on Gaussian copula, which uses a GARCH specification for the marginal distributions and the Gaussian copula for the joint distribution. Our method combines copulas and regime-switching models to demonstrate dependence sructures in stock markets between these countries. Based on this paper, we have two reports for international investors. First, if the dependency changes over time, the returns of portfolio diversification may be prone to diversification disasters, and the international investors'' degrees of diversification can cause higher systemic risk in the period of financial crisis. Second, the phonomenon of the asymmetric dependence exists in financial markets, and we conclude that non-diversification may be better than diversification in the period of financial crisis.

PhD (Statistics)
Department of Statistics
There has been a growing interest in investment opportunities in Africa. The net foreign direct investment (FDI) to Sub-Saharan Africa has increased from $13 billion in 2004 to about $54 billion in 2015. Investing on the stock markets is one of such investment opportunities. Stock markets in Africa have realised growth in market capitalization, membership, value and volume traded due to an increase in investments. This level of growth in African stock markets has raised questions about their efficiency. This thesis examined the weak-form informational efficiency of African stock markets. The aim therefore of this thesis is to test the efficiency of African stock markets in the weak-form of the Efficient Market Hypothesis (EMH) for eight countries, namely, Botswana, Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia. Since, the researcher will be testing the weak-form of the EMH, the data to be used is on past price information on the markets of the eight countries. Data for the eight countries were obtained from DataStream for the period between August 28, 2000 to August 28, 2015. The data is for a period of 180 months which resulted in 3915 data points. Although there have been studies on the weak-form market efficiency of African stock markets, the efficiency conclusions on the markets have been mixed. This problem might be due to the methods used in the analyses. First, most of the methods used were linear in nature although the data generating process of stock market data is nonlinear and hence nonlinear methods maybe more appropriate in its analysis. Also these linear methods tested the efficiency of African markets in absolute form, however, an efficiency conclusion relying solely on absolute efficiency might be misleading because, stock markets become efficient with time due to improvements in the quality of information processing from reforms on the markets. The researcher solved this problem of using absolute frequency by comparing the results when the presence of long-memory in frequency and time domains of the markets were examined. The researcher used a semi-parametric estimator, the Local Whittle estimator to test for long-memory in frequency domain and the Detrended Fluctuation Analysis (DFA) to test for long-memory in time domain. The DFA method is suitable for both stationary and nonstationary time series which makes it to have more power over methods like the rescaled range analysis (R/S) in the estimation of Hurst exponent. Second, the researcher examined whether the markets were predictable under the Adaptive Market Hypothesis (AMH). The researcher employed the Generalised Spectral (GS) test to examine the Martingale difference hypothesis (MDH) of the markets. The Generalised spectral (GS) test is a non-parametric ii test designed to detect the presence of linear and nonlinear dependencies in a stationary time series. The GS test considers dependence at all lags. Third, because of the nonlinear nature in the data-generating process on the markets, the stationarity of the market returns under a nonlinear Exponential Smooth Threshold Autoregressive (ESTAR) model was examined. A nonlinear ADF unit root test against ESTAR and a modified Wald-type test against ESTAR in the analysis were employed. Fourth, the self-exciting threshold Autoregressive (SETAR) method was employed to model the returns when non-linear patterns were observed as a result of nonlinear data generating process on the markets. The literature on market efficiency of African stock markets has shown that variations exist in the study characteristics. There are variations in the method of analysis, type of test, type of data employed, time period chosen and the scope of analysis for the studies. The researcher therefore quantitatively reviewed previous studies by means of meta-analysis to identify which study characteristics affects efficiency conclusions of African markets using the mixed effects model. The findings showed the presence of long-memory in the returns of the stock markets when the whole sample was used. This made the markets weak-form inefficient, however, when the researcher tested for the persistence of long-memory through time, there were periods the markets were efficient in the weak-form. The memory effect was low in the South African market but high in the Mauritian market. Furthermore, it was observed that, the returns for Egypt, which were highly predictable when the whole data was analysed became not highly predictable when the rolling window approach of the GS test was used. Egypt had one of the lowest percentages of the windows that had a p-value less than 0.05 after South Africa. The results obtained from using the non-linear unit root tests on the logarithmic price series of the markets under study showed that, the markets were non-stationary and hence weak-form efficient under an ESTAR framework but for Botswana. Thus the markets were weak-form efficient when analysed using a non-linear method. This observation means that Africa’s foreign direct investment would have been increased over the years if the appropriate methods are used. This is because, over the years, studies on the weak-form efficiency African stock markets have ended with mixed conclusions with most of the markets being concluded to be weak-form inefficient as a result of the use of linear methods in the analysis. This finding, to us, has had an effect on investors commitments to Africa because the right methodology was not employed. iii The findings from modelling the returns under the non-linear SETAR model showed that, the SETAR model performs better than the standard AR(1) and AR(2) model for all the markets under study after the non-linear patterns were identified in the returns series. The SETAR (2,2,2) model is a threshold model, therefore, investors are able to move freely in search of higher opportunities between the low and high regimes. Investors main aim is to make profits, hence, the threshold model of SETAR gives them the freedom to move to a regime where the rate of returns is increasing unlike the standard AR(1) and AR(2) linear models where there are no switching of regimes. Finally, none of the study characteristics in the market efficiency studies was found to be significant in efficiency conclusions of African stock markets but the indicator for publication bias was significant. This means that there has been a change in attitude in recent years towards studies on informational market efficiency whose results do not support the Efficient Market Hypothesis (EMH), unlike the earlier years when the EMH was formulated and acclaimed to be one of the best propositions in economics. It was therefore concluded that when time-varying methods are used in analysing weak-form efficiency, the dynamics of the markets become known to investors for proper decision-making. Also, nonlinear methods should be used in order to reflect the nonlinear nature of data capturing on the stock markets
NRF

碩士
國立成功大學
統計學系碩博士班
98
The topic of this research is to study the relationship between Taiwan stock market and other important international stock markets. The study period from Jan. 3, 2005 to Dec. 28, 2009 weekly data analysis including a total of 20 international stock market index. In this research contained two part of analysis. First part of analysis, using multivariate time series model confirm the relationship between Taiwan Stock Market and The International Stock Markets. Second part of analysis, carry on the first part of multivariate time series model, comparing the prediction with other method including univariate time series model and backward propagation network. Through the ICSS algorithm, it could split time series up on Aug. 6, 2007 since the change of variance detected. We conclude that Europe and America Stock market have granger causality relationship with Taiwan stock market. The better forecasting method is backward propagation network, better than the others.

Wong Ying Chiu.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 62-69).
Abstracts in English and Chinese.
Chapter 1. --- Introduction and Literature Review --- p.1
Chapter 2. --- Methodology --- p.9
Chapter A. --- OLS Regression and Correlation
Chapter B. --- Simulation Trade
Chapter 3. --- Data --- p.15
Chapter 4. --- Empirical Findings --- p.21
Chapter A. --- OLS Regression and Correlation
Chapter B. --- Simulation Trade
Chapter 5. --- Conclusion --- p.32
Chapter 6. --- Figures and Tables --- p.34
Chapter 7. --- Bibliography --- p.62
Chapter 8. --- Appendix --- p.70

by Poon Yeuk Wan, Tsang Fei.
Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 54-55).
Acknowledgements --- p.i
Abstract --- p.iii
Table of Contents --- p.iv
List of Tables --- p.vi
List of Appendix --- p.vii
Chapter Chapter1 --- Introduction --- p.1
Chapter 1.1 --- Project Objective --- p.1
Chapter 1.2 --- Project Structure --- p.2
Chapter 1.3 --- Data --- p.3
Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5
Chapter 2.1 --- Latin America --- p.5
Argentina --- p.5
Brazil --- p.7
Chile --- p.7
Colombia --- p.8
Mexico --- p.8
Peru --- p.9
Venezuela --- p.9
Chapter 2.2 --- Eastern Europe --- p.10
Czech Republic --- p.10
Poland --- p.10
Slovakia --- p.11
Hungary --- p.11
Russia --- p.11
Chapter 2.3 --- Middle East --- p.12
Israel --- p.12
Jordan --- p.12
Chapter 2.4 --- Implication For Further Analysis --- p.13
Chapter Chapter 3 --- Analysis and Findings I: Descriptive Statistics Analysis --- p.14
Chapter 3.1 --- Objective of Descriptive Statistic Analysis --- p.14
Chapter 3.2 --- Findings --- p.16
Eastern Europe --- p.16
Latin America --- p.16
Middle East --- p.17
Chapter 3.3 --- Conclusion --- p.18
Chapter Chapter 4 --- Analysis and Findings II: Day-of-the- Week (Monday effect) Test --- p.19
Chapter 4.1 --- Objective --- p.19
Chapter 4.2 --- Literature Review --- p.19
Chapter 4.3 --- Methodology --- p.21
Chapter 4.4 --- Data --- p.23
Chapter 4.5 --- Analysis --- p.24
Chapter 4.6 --- Empirical findings --- p.25
Chapter I. --- The equality of return test --- p.25
Eastern Europe --- p.26
Latin America --- p.26
Middle East --- p.26
Overall --- p.27
Local currency versus US currency --- p.27
Chapter II. --- Comparison of Monday return with returns of other days within the week --- p.27
Chapter l. --- Without exchange rate effect --- p.28
Chapter 4.7 --- Monday effect一-an overview --- p.31
Comparison by region --- p.31
Eastern Europe --- p.31
Latin America --- p.31
Middle East --- p.32
The effect of exchange rate --- p.32
Chapter Chapter 5 --- Analysis And Findings III: Correlation Analysis --- p.33
Chapter 5.1 --- Literature Review --- p.33
Chapter 5.2 --- Objective --- p.35
Chapter 5.3 --- Methodology --- p.35
Chapter 5.4 --- Findings --- p.38
Chapter I --- Correlations Within Regions --- p.38
Eastern Europe --- p.33
Latin America --- p.40
Middle East --- p.42
Chapter II. --- Correlation Among Regions --- p.43
Eastern Europe vs. Latin America --- p.43
Latin America vs. Middle East --- p.44
Eastern Europe vs. Middle East --- p.45
Chapter III. --- Correlations with the United States --- p.46
US vs. Eastern Europe --- p.46
US vs. Latin America --- p.46
US vs. Middle East --- p.47
Chapter 5.5 --- Conclusion --- p.43
Chapter Chapter 6 --- Conclusions and Implications --- p.49
Implications on market integration --- p.52
BIBLIOGRAPHY --- p.54
APPENDIX --- p.56

Zhu Yuande.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2002.
Includes bibliographical references (leaves 83-87).
Abstracts in English and Chinese.
Chapter CHAPTER 1 --- Introduction --- p.1
Chapter CHAPTER 2 --- Review of Theories and Literature --- p.4
Chapter 2.1 --- Theoretical Explanations for IPO Underpricing: --- p.4
Chapter 2.2 --- Empirical Studies Review on China's IPOs --- p.9
Chapter CHAPTER 3 --- Introduction of China's IPO Market --- p.13
Chapter 3.1 --- Chinese Securities Regulatory Commission (CSRC) --- p.13
Chapter 3.2 --- How to Price and Distribute IPOs --- p.15
Chapter 3.3 --- Valuing IPOs and Setting Base Price --- p.24
Chapter 3.4 --- Conclusion of This Chapter --- p.26
Chapter CHAPTER 4 --- Empirical Results and Analysis of Chinese IPO Pricing --- p.27
Chapter 4.1 --- The Data and Research Methodology --- p.27
Chapter 4.2 --- The Regression Results and Discussion --- p.29
Chapter 4.3 --- Conclusion of This Chapter --- p.34
Chapter CHAPTER 5 --- Theoretical Explanations of Underpricing Based on Chinese IPO Behaviors --- p.35
Chapter 5.1 --- The Optimal Underpricing in China's Stock Market --- p.35
Chapter 5.2 --- Empirical Tests on Some Theories --- p.38
Chapter 5.21 --- Signaling Model --- p.38
Chapter 5.22 --- The Impact of Underwriters --- p.45
Chapter 5.23 --- Winner's Curse Test --- p.46
Chapter 5.24 --- Extensive Presale Theory --- p.48
Chapter CHAPTER 6 --- Empirical Results and Analysis of Underpricing in China's Market --- p.54
Chapter 6.1 --- Underpricing in A-Share Market --- p.54
Chapter 6.11 --- Survey of Underpricing --- p.54
Chapter 6.12 --- Empirical Results on A-Share IPO Underpricing --- p.56
Chapter 6.13 --- Conclusion of This Part --- p.66
Chapter 6.2 --- Underpricing in B-share Market --- p.66
Chapter 6.21 --- Survey of Underpricing --- p.66
Chapter 6.22 --- Empirical Results on the B-share Market --- p.70
Chapter 6.23 --- Conclusion of This Part --- p.77
Chapter CHAPTER 7 --- Further Development of Chinese Stock Market --- p.78
Chapter 7.1 --- Defects in Chinese Stock Market --- p.78
Chapter 7.2 --- Further Development for Reducing Underpricing --- p.79
Chapter CHAPTER 8 --- Conclusion --- p.81
REFERENCE --- p.83

by Ip Ka Tsun Anthony and Tang Ying Wa.
Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 42-46).
ABSTRACT --- p.i
TABLE OF CONTENTS --- p.iii
LIST OF TABLES --- p.iv
ACKNOWLEDGMENTS --- p.v
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II . --- LITERATURE REVIEW --- p.4
Selection Criteria of the Neglected Markets --- p.4
Market Review --- p.4
Day-of-the-Week Effect --- p.9
Month- of - the - Year Effect --- p.11
Spill´ؤOver Effect Across National Stock Markets --- p.11
Granger Causality Between Aggregate Stock Price and Trading Volume --- p.13
Chapter III. --- DATA and METHODOLOGY --- p.16
Day-of-the-Week Effect and Month-of-the-Year Effect --- p.16
Spill-Over Effect Across National Stock Markets and Granger Causality Between Aggregate Stock Price and Trading Volume --- p.18
Chapter IV. --- EMPIRICAL RESULTS --- p.24
Day-of-the-Week Effect --- p.24
Month-of-the-Year Effect --- p.26
Spill-Over Effect Across National Stock Markets --- p.28
Granger Causality Between Aggregate Stock Price and Trading Volume --- p.31
Chapter V. --- CONCLUSION --- p.36
Direction of Further Studies --- p.38
APPENDIX --- p.40
BIBLIOGRAPHY --- p.42

碩士
國立雲林科技大學
財務金融系
105
This thesis examines the existence of illiquidity premiums in Taiwan stock markets during the period, 1982-2016. Firstly, I calculates the illiquidity premium by the method of Amihud (2014) in the four-period samples, a whole period and three sub periods, and test the statistical relationship between illiquidity premium and risk factor premiums through the four-factor model. This study then constructs quint portfolios by Amihud (2002) measure in an ascending order and applies factor models to explore the relationship between stock returns and illiquidity premium. The empirical results indicate that the five-factor model increases the relative explanatory power comparing to the traditional four-factor model. Moreover, among the higher illiquidity portfolios, the illiquidity premium demonstrates significantly positive effects on stock returns and the five-factor model shows relatively smaller alphas, which in turns evidence the existence of market illiquidity premiums.

碩士
國立臺北商業大學
財務金融系研究所
107
The purpose of this research is to study the relationship between Taiwan stock market and International stock markets. and to select the weekly return rates of 17 stock markets, such as the Dow Jones Industrial Average in New York, NASDAQ Composite Index, New York S&P 500 Stock Index, Financial Times 100 Index, Germany DAX Index, PARIS CAC 40 Index, Japan's Nikkei 225 Index, Korea Composite Index, Singapore FTSE Straits Times Index, Vietnam Ho Chi Minh Ei Securities Index, Shanghai Composite Stock Index, Shenzhen Composite Index 500, China CSI 300 Index, Taiwan Weighted Share Price Index, Taiwan OTC Share Price Index, Taiwan Electronic SE Index, Taiwan Financial Insurance Index. The data period is from January 1, 2009 to December 31, 2018. The test data is used to determine the test data of ADF as a fixed time series. The Granger causality test then explores the causality between the international stock markets during the study period. Then the vector self-regression model (VAR) is constructed for the fixed-state time series data, so as to analyze the shock reaction and the decomposition reaction of the predicted error variation. Empirical analysis shows that there is only one-way causal ity between the exchange rate index compensation of each country, there is no feedback relationship, and taiwan's share price index compensation will be affected by the U.S. stock market, European stock market and Vietnam stock market. The shock reaction analysis shows that the impact of the international stock index on Taiwan stocks is a short-term effect, indicating that in the event of unexpected events in the future, the impact response of countries to Taiwan's stock market will be completed and return to normal within 6 to 7 weeks. The breakdown of errors by VAR shows that the forecast errors of Taiwan's four major stock markets are all highly stoic, and that, in addition to their own influences, the German, Korean, Singapore and Vietnamese stock markets have a high degree of interpretation of Taiwan's stock markets.