Rozprawy doktorskie na temat „Chinese A-share Market”

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. Within the high BM firm sample, Piotroski's F-Score strategy cannot generate any significant return. The excess return of a low BM sample persists across time, as well as after controlling for size, book-to-market ratio, and market beta. In addition, if we measure risk in terms of beta and volatility, high F-Score firms are less risky than low F-Score firms. To conclude, the empirical evidence presented in this study suggests investors can use Piotroski's F-Score to identify mispriced stocks and earn abnormal returns in the Chinese A-share market, especially within a low BM firm sample.

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 into the A-share market, the thesis compares the diversification benefits in three China-related stock markets, namely the A-share, the B-share and the H-share markets in a mean-variance framework using daily, weekly and monthly data respectively. The results suggest that of the three stock markets, the B-share market generates the highest average annual returns while the A-share market has the most significant diversification benefits regardless of whether the analysis is undertaken implementing a traditional mean-variance framework or a downside risk framework. Next, an empirical analysis using the Fama and MacBeth two-pass procedure is undertaken to test the relationship between beta, firm factors and stock returns. Similar to the findings in other stock markets, the results of this analysis show that the static betas for individual stocks fail to capture variation in stock returns in the A-share market. In contrast, the effects of book-to-market and trading volume are significant in the sample period. However, the fact that none of these factors have a persistent role in explaining stock returns suggests a possible change in the investment philosophy of Chinese domestic investors over the past decade. In the third analysis, two global betas are incorporated into the cross-sectional regressions in a bid to examine the integration or segmentation of the A-share market with the world and Hong Kong stock markets. Specifically, both time-varying betas and static betas are used in the analysis. The results suggest that there is no beta effect and the A-share marke t is totally segmented from both the world and Hong Kong stock markets. Finally, when the segmentation and integration status of the A-share market is further examined using the Maximum Likelihood Estimation framework without beta estimation and the assumption of a linear relationship between beta and stock returns, the findings suggest that the A-share market is becoming increasing integrated with the B-share and the Hong Kong stock markets.

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 into the A-share market, the thesis compares the diversification benefits in three China-related stock markets, namely the A-share, the B-share and the H-share markets in a mean-variance framework using daily, weekly and monthly data respectively. The results suggest that of the three stock markets, the B-share market generates the highest average annual returns while the A-share market has the most significant diversification benefits regardless of whether the analysis is undertaken implementing a traditional mean-variance framework or a downside risk framework. Next, an empirical analysis using the Fama and MacBeth two-pass procedure is undertaken to test the relationship between beta, firm factors and stock returns. Similar to the findings in other stock markets, the results of this analysis show that the static betas for individual stocks fail to capture variation in stock returns in the A-share market. In contrast, the effects of book-to-market and trading volume are significant in the sample period. However, the fact that none of these factors have a persistent role in explaining stock returns suggests a possible change in the investment philosophy of Chinese domestic investors over the past decade. In the third analysis, two global betas are incorporated into the cross-sectional regressions in a bid to examine the integration or segmentation of the A-share market with the world and Hong Kong stock markets. Specifically, both time-varying betas and static betas are used in the analysis. The results suggest that there is no beta effect and the A-share marke t is totally segmented from both the world and Hong Kong stock markets. Finally, when the segmentation and integration status of the A-share market is further examined using the Maximum Likelihood Estimation framework without beta estimation and the assumption of a linear relationship between beta and stock returns, the findings suggest that the A-share market is becoming increasing integrated with the B-share and the Hong Kong stock markets.

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 data from DataStream; the data are the daily closing prices of two indices we mentioned above.

We compared the mean return and Sharpe ratio with buy and hold. We further calculated breakeven transaction costs to test whether the technical trading rules can still add wealth to investors after adjusting the transaction costs. Our results showed that most technical trading rules perform better than buy and hold. VMA perform better than FMA and TRB, short period (25 and 50 days) performed better than longer period. On mean return, our data violated the assumption of parametric statistical test. We performed non-parametric tests, all the trading rules showed statistical significance at 95% level than buy and hold except FMA (1, 25,0), all the trading rules resulted higher Sharpe ratio than buy and hold. On transaction costs, 7 trading rules on SSE A are performed poorer than buy and hold, all the other rules provided positive breakeven transaction costs. Across the entire trading rule, both stock markets offered positive break-even transaction costs, 0.436% for SSE A and 1.369% for SZSE A. and they are both higher than the maximum transaction costs one bears.

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 than the CAPM, since the adjusted R² value increased and the intercept are not significantly different from zero. The size effect is stronger than the BTM ratio effect. Moreover, our results present that stock profitability is related to size and BTM ratio in China stock market. However, the relationship between stock profitability and size and BTM ratio are unconditional.

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 periods spanning the period 1 January 2005 to 31 December 2008: (i) the quantity of information disclosed by Chinese listed companies; (ii) the earnings forecast error and earnings forecast dispersion of financial analysts in the Chinese A-share market; (iii) the abnormal return around earnings announcements; and (iv) the transaction costs of stocks and the possibilities of informed trading in the Chinese stock market. The main findings of the research are as follows: 1. The quantity of information disclosed by companies increased significantly after the 2007 reforms, suggesting that the reforms enhanced the level of information disclosure by companies in the Chinese A-share market. 2. The earnings forecast accuracy by local financial analysts decreased in the post-reform period, which is contrary to expectations and suggests that the information environment of local financial analysts worsened after the reforms. On the other hand, the earnings forecast accuracy of foreign financial analysts did not change significantly. 3. The abnormal return or price reaction around the earnings announcement dates increased significantly after the 2007 reforms, suggesting a larger information gap between companies and investors in the Chinese A-share market. This result is also contrary to expectations, and it indicates that the information environment of investors in the Chinese stock market has deteriorated in the post-reform period. 4. The bid-ask spread increased in the post-reform period, which is also consistent with a poorer information environment for local financial analysts and investors in the Chinese A-share market. However, in the post-reform period, there was a significant decrease in the adverse selection component of bid-ask spread. These results suggest that informed trading decreased after the 2007 reforms, which indicates a reduced level of "selective disclosure" of private information to local analysts. Overall, I find that the impact of the 2007 reforms on the information environment in the Chinese stock market was two-fold. On the one hand, the reforms enhanced the level of information disclosure by Chinese listed companies and led to an increase in the level of public information given to the market; on the other hand, the reforms prohibited "selective disclosure" by companies and caused a decrease in the amount of private information given to the market. Consequently, an effect of the reforms is that they impaired the information environment of local financial analysts, caused deterioration in the information environment of investors, and increased the transaction costs in the Chinese A-share market. However, it also reduced the level of informed trading in the Chinese stock market.

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. Au cours de la période d'échantillonnage, le marché bêta et le facteur SMB sont des déterminants importants pour expliquer la variation transversale des rentabilités des actions, cependant nous ne trouvons aucune prime de valeur. D’après la comparaison des performances des modèles FF3F et FF5F en présence de facteurs de rentabilité et d'investissement, le Modèle FF5F ne semble pas capturer plus de variations de rentabilités espérées que le modèle à trois facteurs, à l'exception des six portefeuilles pondérées en valeurs qui formés à partir de la taille et de la rentabilité opérationnelle.Dans le chapitre 2, nous examinons si les facteurs FF, SMB et HML, sont des proxys d'innovations de variables d'état sélectionnées (rendement de dividende agrégée, taux de T-bonds en un mois, l’écart de terme et l’écart de défaut) qui décrivent, sur la période recherche, les opportunités futures d'investissement sur le marché boursier chinois A-share. Les régressions chronologiques et les régressions des séries transversales sont réalisées sur cinq modèles comparatifs en utilisant l'approche à deux étapes Fama-MacBeth. Les facteurs FF ne perdent pas leur pouvoir explicatif, avec ou sans la présence des innovations des quatre variables d’états sélectionnées, à la fois dans les examens de séries chronologiques et les examens transversaux. Nous trouvons que l'information contenue dans l'innovation de rendements de dividende agrégés semble totalement capturée par la combinaison du marché bêta et du facteur de taille. Les facteurs FF ont pu jouer un rôle limité de capturer d'opportunités d'investissement alternatives représentées par les innovations des quatre variables d'état sélectionnées.Dans le chapitre 3, nous étudions si les facteurs FF sont des proxys de facteurs de risque de détresse et si différentes méthodes de construction des facteurs entraînent des résultats différents. Les résultats empiriques suggèrent qu'il n'y a pas de preuve significative que les facteurs FF représentent un risque de détresse sur le marché boursier chinois A-share. En comparant les résultats des régressions des séries chronologiques à partir de deux méthodes différentes, la performance du facteur de risque de détresse basé sur le DLI semble légèrement meilleure que celui basé sur le O-score. Cependant, le facteur de risque de détresse n'est pas un déterminant important des rentabilités transversales moyennes, et les facteurs FF ne peuvent pas représenter le facteur de risque de détresse dans la section transversale du marché boursier chinois A-share
This dissertation is to explore the risk factors and factor models on Chinese A-share stock market based on the context of Fama-French (FF) factor model. First of all, chapter 1 re-examines the applicability of Fama-French Three-Factor (FF3F) Model and the latest Fama-French Five-Factor (FF5F) Model considering several special features of Chinese stock market. FF3F Model can explain a majority of time-series variation of the Chinese A-share stock returns. The market beta and SMB are important determinants in explaining the cross-sectional variation in the average stock returns over the sample period; however, we find no value premium. Comparing the performance of both FF3F Model and FF5F Model on Chinese A-share stock market, in the presence of profitability and investment factors, FF5F Model seems not capture more variations of expected stock returns than the three-factor model except the six value-weighted portfolios formed on size and operating profitability.Chapter 2 examines whether FF factors SMB and HML proxy for the innovations of selected state variables (aggregate dividend yield, one-month T-bill rate, term spread and default spread) that describe future investment opportunities on Chinese A-share stock market during the research period. Both time-series and cross-sectional regressions are performed on five comparative models using Fama-MacBeth two-stage approach. FF factors don’t lose their explanatory power with or without the presence of the innovations of selected four state variables in both the time-series and cross-sectional examinations. We find that the information contained in innovation of aggregate dividend yields seems totally captured by the combination of market beta and size factor. FF factors might have played a limited role in capturing alternative investment opportunities proxied by innovations of the selected four state variables.Chapter 3 investigates whether FF factors proxy for distress risk factor and whether different methods of constructing factors result in the different outcomes. The empirical results suggest that there is no significant evidence that FF factors are proxying for distress risk on Chinese A-share stock market. Comparing the time-series regression results by using two different methods, the distress risk factor constructed based on DLI seems to perform slightly better than that constructed based on O-score in capturing time-series average returns. However, the distress risk factor is not an important determinant of cross-sectional average returns, and FF factors cannot proxy as distress risk factor in the cross-section on Chinese A-share stock market

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 when the approach is used. This thesis derived from an inductive approach since the authors made observations and generated theories from those observations, which created a theoretical synthesis. The theoretical synthesis conducted into the operationalization and the interview guide for the data gathering of the semi- structured interviews. The gathered empirical data was compared with the theories in order to analyze the similarities and differences between them. Lastly, the study was concluded by answering the research questions, theoretical, practical, and policy implications, limitations for the study, and suggestion for future research.

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 we use is Johansen’s likelihood ratio tests for individual firm and likelihoodbased panel cointegraion tests for panel, based on combining the test statistics. The results show that before the opening of B share markets to domestic investors, A share premiums have a unit root and there is no cointegration relationship between A and B share markets. On the contrary, after ownership release, A share premium is stationary and there is cointegration relationship between A and B share markets.

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.

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 prix que le marché étranger; tandis que sous un régime de change flexible, c'est le marché étranger qui dominait dans la découverte du prix.Le deuxième essai prenant les réformes chinoises du régime de Juillet 2005 et de Juillet 2008 comme des événements spéciaux, il étudie si ces changements de régime de change affectent l'arbitrage entre les marchés des actions A et H. En comparant les niveaux des impacts des facteurs idiosyncratiques sur la décote de prix des actions A et H avant et après les changements de régime, les résultats montrent que la relaxation des contrôles des changes ne favorise pas l'arbitrage entre les deux marchés. Par ailleurs, ce changement de régime de change introduit un risque de change important dans la stratégie des arbitragistes.Le troisième essai aborde la transmission d'information en séance et hors séance de cotation en termes de rendements et de volatilités entre la Chine, l'Amérique et l'Europe. Le problème du synchronisme est considéré avec soin dans la modélisation bivariée avec la Chine comme référence avec des données journalières
This thesis consists of three self-contained essays on the Chinese stock market. The first essay examines the price discovery process of Chinese dual-listed firms on the A-share and H-share markets during overlapping trading hours. We provide evidence that there exists a long-term relationship between the A- and H-share markets. By applying the information share model of Hasbrouck (1995), we find that: under a fixed exchange rate, the A-share market contributes more innovations in price discovery than the H-share market; while under a managed floating exchange rate, it is the H-share market that plays a dominant role in the price discovery process.In the second essay, by using the exchange rate regime changes of July 21, 2005 and July 01, 2008 of as special events, we examine whether changes in exchange-rate regime affect the intensity of inter-market arbitrage between A- and H-share markets. By comparing the significance of the impact of idiosyncratic factors on the H-share discount before and after the changes of exchange rate regime, the results show that the relaxation of exchange controls does not encourage inter-market arbitrage between the Chinese mainland and Hong Kong markets. Further, the switch from a fixed to a floating exchange-rate regime introduces an important exchange rate risk to arbitrageurs.The last essay studies daytime and overnight information transmission in terms of returns and volatility between China, America and Europe. The asynchronicity issue is carefully considered in the bivariate modelling with China as benchmark with daily data

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 focuses on quantitative analysis. Highlights three most important aspects. Investment style determines the systematic returns and risks of any portfolio, and can be assessed ex-ante; Transaction can be observed and modified during the investment process; and return attribution can be implemented to evaluate portfolio (managers), ex-post. Hence, these three elements make up a comprehensive and logical investment process. Investment style is probably the most important factor in determining portfolio returns. However, Chinese investment managers are under constant pressure to follow the market trend and shift style accordingly. Therefore, accurately identifying and predicting each manager’s investment style proves critically valuable. In addition, transaction data probably provides the most reliable source of information in observing and evaluating an investment manager’s style and strategy, in the middle of the investment process. Despite the efficacy of traditional return attribution methodology, there are clear limitations. The current study proposes a novel return attribution methodology, by synthesizing major portfolio strategy components, such as risk exposure adjustment, sector rotation, stock selection, altogether. Our novel methodology reveals that investment managers do not obtain much abnormal returns through risk exposure adjustment or sector rotation. Instead, Chinese investment managers seem to enjoy most of their excess returns through stock selection. In addition, we find several interesting patterns in Chinese A-share market: 1). There is a negative relationship between asset under management (AUM) and investment performance, beyond certain AUM threshold; 2). There are limited benefits from style switching in the long run; 3). Many investment managers use CSI 300 component stocks as portfolio ballast and speculate with CSI500 and Medium-and-Small board component stocks for excess returns; 4). There is no systematic negative relationship between portfolio turnover and investment performance; despite negative relationship within certain sub-samples and sectors; 5). It is plausible to construct out-performing portfolios with style index funds and ETFs.
Dissertation/Thesis
Doctoral Dissertation Business Administration 2016

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 events in the China A Share market between 2006 and 2016. The sample includes 60 companies targeted by 42 activist investors over this period. I find that institutional investors, typically industrial capital and private funds, playing an increasingly important role in corporate governance of Chinese listed companies through activism. The disclosure of the holdings of activists results in large gains in the target firm. I also find subsequent improvements in long -term operational performance of target firms. Activist investors in China focus on smaller targets and those characterized by higher agency costs and lower operating performance. Activists appear to be largely concerned with improvements in business strategy and M&A activity. Non-hostile behavior is more likely to be related to successful activism in China. In addition to statistical evidence, I present case studies of the “BaoWan dispute” and the activist investment of Butterfly Capital in two firms, “Guonong” and “Xiuqiang”. The case studies highlight the mechanism employed by these firms to influence performance. I conclude with policy recommendations and direction for further research.
Dissertation/Thesis
Doctoral Dissertation Business Administration 2017

碩士
國立成功大學
企業管理學系碩博士班
97
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 IPO underpricing. The sample data for this study consist of the listed IPOs in the Chinese A-share market from June 2006 to December 2007. The average underpricing of the selected sample is 154.49%. With a multiple linear regression model, this study tends to investigate how the Chinese IPO underpricing is related to the Signaling Hypothesis, the Information Asymmetry Hypothesis and underwriter reputation. The empirical results show that ROA has a significantly positive influence on the first day initial returns, meaning the Chinese IPO underpricing is probably used by firms as a quality signal to individual investors. The offering size of IPOs has a significantly negative relationship with underpricing since the smaller the offering size, the more uncertainty or risk involved in the issuance. Underwriter reputation is tested to be positively and significantly related to the Chinese IPO underpricing, which is not consistent with some past literature and in need of further studies.

碩士
東吳大學
國際經營與貿易學系
102
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, and sales growth rate, can explain stock excess returns. It is obvious that size effect exists in Chinese SSE A-share market. In addition, the performance of three times a year changing stock strategy is better than annually. Comparing with Taiwan and Hong Kong stock market, we find that value investing is available in earining excess returns.

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。
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期間于中國的投資提供一定信息。
Price limit is a policy originally utilized to control extreme price movements in stock markets. As a widely adopted policy in numerous countries, price limit has led to several debates regarding its effects on stock markets. Moreover, previous studies have shown that price limit has different effects on different markets and time periods. However, the effects of the price limit system in the Chinese A-share market, a unique and young stock market, has yet to be fully investigated. Furthermore, few works have studied the price limit during special economic conditions, such as financial crises, which should be the best time for price limit to play its role. Additionally, these conditions are the most ideal times at which to test the effects of the price limit. Motivated by these conditions, this thesis explores the effects of price limits on the Chinese A-share stock markets during financial crises in order to examine whether the market atmosphere of investor sentiment caused by special economic conditions has varied impacts on the effects of price limits. By employing the recognized methods, this thesis aims to test the three hypotheses of volatility spillover, delayed price discovery, and trading interference using stock data during financial crisis. Compared with previous studies, this thesis empirically analyzes the effects of price limits with our improved methodology of utilizing closing-hitting observations.
To gain a better understanding of the price limit’s effect, this thesis also investigates the characteristics of stocks that hit the price limits more frequently under this special economic condition. In this study, the Generalized Method of Moments regression model is utilized by introducing financial indicators for each individual stock and some special factors in the Chinese A-share markets, such as state-owned share and industries. Identifying the characteristics of stocks that frequently hit the limit can provide some information to investors when financial crises occur in the Chinese A-share markets.
Detailed summary in vernacular field only.
Detailed summary in vernacular field only.
Wang, Dingyan.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2013.
Includes bibliographical references (leaves 54-55).
Abstracts also in Chinese.
Abstract --- p.3
Acknowledgement --- p.6
Chapter 1 --- Introduction --- p.11
Chapter 1.1 --- Introduction --- p.11
Chapter 2 --- Background --- p.16
Chapter 2.1 --- Background of Chinese Stock Markets --- p.16
Chapter 2.2 --- Literature Review --- p.19
Chapter 3 --- Effects of Chinese A-Share Price Limits --- p.22
Chapter 3.1 --- Data --- p.22
Chapter 3.2 --- Improvement of Methodology --- p.25
Chapter 3.3 --- Empirical Analysis --- p.26
Chapter 3.3.1 --- Test of the Volatility Spillover Hypothesis --- p.27
Chapter 3.3.2 --- Test of the Delayed Price Discovery Hypothesis --- p.36
Chapter 3.3.3 --- Test of the Trading Interference Hypothesis --- p.38
Chapter 4 --- Characteristics of Stocks that Hit the Limit --- p.46
Chapter 4.1 --- Characteristics of Stocks that hit the limit during the Financial Crisis --- p.46
Chapter 5 --- Conclusions --- p.52
Chapter 5.1 --- Conclusions --- p.52
Bibliography --- p.54

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 investment duration vary, value strategy fails to outperform consistently. There no strong evidence to support a robust short-term or long-run advantage of value strategy. The weak and inconsistent value effect could be a result of the short horizon of the sample as there are only 129 months totally in the post-reform period. More importantly, the very strong speculative sentiment in the A-share markets is likely to be the cause for the weak value premium. Besides, another value metric, EBIT/Enterprise value, is compared with the book-to-market ratio. The results show that value portfolio sorted by book-to-market ratio has better performance than value portfolio sorted by EBIT/Enterprise value ratio.

碩士
國立臺北大學
國際企業研究所
101
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 formulated QFII program to introduce foreign investments on Nov. 2002. Under bilateral liberalization, our purpose is to investigate what factors would affect the correlations between A and B share of individual firms and observe influences of these factors after implementation of QFII program. Our empirical results evidenced that interest rate differential, relative turnover rate, relative return volatility and market sentiment had impacts on correlation no matter before or after introduction of QFIIs. And after QFII program, premium, relative turnover rate, volatility of S&P 500 index, market sentiment and market capitalization become more sensitive to correlation. Additionally, the interaction between A and B share markets became stronger which implied that investors could take advantage of portfolio of A and B share to diversify and reduce the portfolio risk after implementation of QFII program.

碩士
國立中央大學
會計研究所
103
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 relatively obvious. Based on the reasons above, our research expects Chinese equity-based incentive compensation has significant positive effects on firm value. Compared to the relevance between stock option compensation and firm value, the relevance between restricted stock compensation and firm value is expected to be higher under China’s special circumstance of stock market and the grant mechanism for equity-based incentives compensation. Our research use the samples include 1011 observations of Chinese A-share market firms from 2006 to 2013 for empirical analysis. From the results of analyzing all the samples of firms which granted equity-based incentive compensations to their employees, we can draw a conclusion that equity compensation will affect firm value significantly when investors have a positive view of the firm’s future stock price. Besides, when we analyze the samples of firms based on granting restricted stocks and stock options to employees at the same time, the results show us that restricted stock compensation affects firm value a more positive way than option compensation does.

碩士
東吳大學
會計學系
106
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. 　Accounting conservatism requires a higher verifiability when accountant confirms the incomes, as well as a more rapid response of the accounting earnings to“bad news”than “good news”. Existing literature at home and abroad provides a wide range of evidence about the influencing factors of accounting conservatism, but little based on the female directors. This paper tries to explore the relationship between female directors and accounting conservatism on various aspects. 　Based on the data of Shanghai and Shenzhen A-share listed companies from 2011 to 2016, this paper empirically examines the impact of female directors and Corporate Governance on accounting conservatism by using Basu(1997) model. The result shows : (1) Accounting conservatism exists generally in Shenzhen and Shanhai A-share listed companies. (2) Both the existence and ratio of female directors significantly increase accounting conservatism. (3) State ownership will reduce level of company’s accounting conservatism, compare to the non-state-owned companies, state-owned companies have a lower level of accounting conservatism. (4) There is an inverse relationship between company’s equity concentration and accounting conservatism. (5) Block holders has a positive correlation with accounting conservatism.

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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. Then, the paper examines whether or not the converged IFRS with CAS, applicable from 2007 onwards, is more value relevant when compared with prior to the 2007's standards (CAS, IAS, Hong Kong GAAP for A-share, B-share, and H-share markets, respectively). Based on 34,020 firm-year observations and after controlling for industry- and year-fixed effects, the findings suggest that accounting information is value relevant with A- and B-share markets, while it is partially relevant with the H-share market. The paper finds that the converged IFRS with CAS is more value relevant in A-shares and B-shares and it is partially more value relevant with the H-share market. These findings have implications for both policymakers and investors since they provide further empirical evidence for the current policy procedure which harmonizes local GAAP with IFRS.

碩士
輔仁大學
應用統計學研究所
88
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. In the field of event study, it is proved most adequate to set the subscription day for the event day, the data before the estimating period for the estimating period, and to set the moving β method for the risk-estimating method. There are several reasons to support these settings. First, information has already been revealed before listing day, and the systematic risk has changed after the event day. Second, many researchers have proved that the risk will change with time. Thus, we can’t get the real abnormal return in traditional event study method. There are some evident results for the effects of abnormal return under the market segmentation of Mainland China. First, the impact of A shares on the B shares, positive cumulative abnormal returns are observed on 12 days before the date of the subscription day. The reason is that initial listing of B-shares issue takes more complete information to disclose, and it is beneficial for the investors of A shares. Therefore, A shares appear significantly positive cumulative abnormal returns. Second, the impact of B shares on the A shares is little. It is because disclosed new information of initial listing A-shares is not very much, so the cumulative abnormal return is not significant. Third, No cumulative abnormal returns of Hong Kong H hares are observed , so the impact of A shares on H shares is not significant. For the explanation factors of the abnormal returns under listing separate shares for trading by foreign and domestic investors, all results have been proved to accord with Merton’s Investor Recognition Hypothesis and Amihudand Merdelson’s Liquidity Hypothesis. The explanation factors of the initial listing of B-share issues on the abnormal return of already listed A shares are the change in relative market value and the equity ratio of A shares. And the explanation factors of the initial listing of A-share issues on the abnormal return of already listed B shares are the size of company, turnover and the premium ratio of A shares.

碩士
國立臺北大學
企業管理學系
98
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 them, and the influence of the price spread factor before and after exercising a qualified domestic institutional investor (QDII) policy. The results represent a more co-integrational relationship between the two segmented stock prices after enforcing the policy, which indicates that the segmentation of the two markets had gradually shrunk. In addition, in the price signaling aspect, the price of A shares exhibited a leading position rather than the price of H shares. On the other hand, information asymmetry, investment demand difference hypothesis, and the liquidity of the stock market, significantly affected the price spread of A and H shares, powerfully explaining the price difference between the two markets.