Rozprawy doktorskie na temat „H-share Market”

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.

Bilateral, multilateral and regional linkages between stock exchanges generate increased sources of funds, investor return and product choice. Such associations can also lower transaction costs in both initial listing and subsequent trading, increase liquidity more generally in the secondary market and enhance investor protection and confidence in the stability and reputation of the market and the status of companies listed on the market. This thesis argues that the integration of the stock markets between The Special Administrative Region of Hong Kong ("Hong Kong") and the People's Republic of China (CTRC) is therefore a desirable objective and investigates how a more successful and substantial degree of integration could be achieved in this area. Integration, in particular, requires harmonization of laws and regulations. In 1993,H shares issued by PRC companies were first allowed to cross-list on the Hong Kong Stock Exchange. This listing was made possible by the introduction of a new set of legal and operational rules promulgated in both the PRC and Hong Kong. This thesis expounds four models of integration, the H Share Model, the System Harmonization Model, the Mixed Harmonization and Mutual Recognition Model, and the Full Harmonization Model and argues that H share regulations are an effective way to further integration despite problems inherited from the PRC's 'pre-open door' policy. In considering other potential models, the European Union and the United States capital market are also considered as potential models for further integration of the PRC and Hong Kong stock markets despite the inherent limitations of the latter model. It is also proposed that enhanced institutional support can be used as an effective means of accelerating the integration process. Investigating both the feasibility and possible implementation of market integration within an appropriate institutional framework ensures an autonomous, legal and independent environment separate from the political realm.

The objective of this paper is to analyze the export performance of Turkish manufacturing industries in the East-Asian countries between the years 1992-2002. SITC (Rev.3), three digit data were used in calculations and three methodologies were applied in order to discover promising sectors of the Turkish exports. Constant Market Share Analysis was used to explain the causes of the change in the market shares of the exports of Turkey from one period to another. Revealed comparative advantage indices were calculated to determine sectors in which Turkey had comparative advantage. Grubel-Lloyd Index was used to determine the rate of intraindustry trade. Results signal important changes in the export structure of Turkey.

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

碩士
淡江大學
財務金融學系碩士在職專班
97
This study investigate the Chinese industry in the A-share and Hong Kong H-share listed companies of two places, which one have the advantage after stock price rate of returns analysis during the market honeymoon, short-term, and long-term. The study was from April 1, 1999 until June 30, 2008 with industry that had listed on Hong Kong H-share and been also already listed in the Chinese A-share was the research object. Use the Incident Study, it relatively has the advantage that what look over H-shares or the A-share stock price remuneration, and offers fund-raiser and investor to do it for the investment reference. The result is as follows: First, according to our company IPO analysis for short, middle, and long-term stock price rate of returns, the result of study finds, the short-term remuneration A-share has advantages, but the long-term remuneration H-share has advantage that remuneration grows up steadily. Second, industries comparison: after analyze with the rate of increase of the long-term remuneration, the result shows, Hong Kong investors relatively have a partiality for the banking insurance of stock. China investors relatively have a partiality for the transportation of stock. Third, the sample hosts distributors are famous securities company. The reputations of famous securities company and investors’ trust have correlation with each other. Fourth, the sample like main index composition stock, representing its trading volume and stock price and market index becomes positive correlation, so the composition stock is often investor''s first-selected target. Fifth, the sample is listed on A-share is mostly after the 2005.August. RMB began to appreciate to the exchange rate of U.S. dollar at that time, external investors channeled into the fund successively, and domestic idle fund was plentiful. China security market began to have good market period. During the research, the positive remuneration of the stock price is obvious. Sixth, during SARS epidemic situation, the annual rate of returns shows the negative number, the rate of returns replies the normal level while striding.This result shows, when the special incident happens, the stock price certainly will be influenced, but the incident will go over eventually. A short-term will exert an influence to remuneration; however, it can come back normal remuneration in a long-term.

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.

碩士
國立臺灣大學
國際企業學系
85
This thesis uses unit root test and cointegration test to examine the relationships between the A、B shares in Shanghai and Shenzhen,and Hshares in Hong Kong. The empirical investigation is conducted by dailystock market indices of three markets from September 30,1993 through November 29,1996.The empirical results show that the A、B shares and H shares stock indicesare all random and nonstationary. Any innovation leads a long run influencein three markets'' stock indices.There are no evidence of cointegration between Mainland China and Hong Kong stock market, A、B shares in Shanghai and Shenzhen, and B shares in MainlandChina. Moreover, both China stock markets and A shares in two places supportthe relationship of cointegration. The most important empirical result is that there is cointegration relationship between H shares and B shares in Shanghai, but not in Shenzhen. This implies the reasons maybe the risk of international investment portfolios and currency risk.

碩士
實踐大學
財務金融與保險研究所
97
As China capital market did not formerly open its capital account up, A shares and H shares market was continually segmented, on account of their calculated price in different exchange rate、existence of non-transfer of shares in A share market、much distinction of stock demand and risk aversion among those investors、information asymmetry between domestic investors and foreign investors in China ,as well as relative freedom of Hong Kong capital market than China one. These above description led to the companies co-listed in the A-H share markets with a great deal of price premiums, therefore violation of 「The Law of One Price」is necessary. The study draws sixteen co-listed companies in A-H share markets with the entire period of research being from January-2000 to December-2008. We will examine whether these factors generate different significant correlation with A-H share price premiums by means of “panel random effect model”, after China QFII policy have been performed. The empirical result manifests that, firstly, irrespective of whether the opening-up policies of QFII policy has executed or not ,both Price Earnings Ratio between Shanghai A share index and Hong Kong H share index ,as well as turnover ratios among the companies co-listed in the A-H share markets are significantly positive correlation with its price premiums. Secondly, volume ratios among the companies co-listed in the A-H share markets and outstanding shares/non-outstanding shares ratio in A share market are significantly negative correlation with its price premiums. Apart from that, ahead of QFII policy, RMB versus HKD exchange rate is significantly negative correlation with price premiums among the companies co-listed in the A-H share markets；Market capitalization in A share market is significantly positive correlation with its price premiums；Outstanding shares ratio among the companies co-listed in the A-H share markets is not significantly correlation with its price premiums. Nevertheless, along with QFII policy open-up, considerable amount of funds have been remitted to China’s stock markets, it causes that market demand exceed supply, simultaneously, larger market capitalization in A share market is hard to be manipulated its stock price by speculator. Consequently, RMB versus HKD exchange rate and outstanding shares ratio among the companies co-listed in the A-H share markets turn into significantly positive correlation. On the contrary, Market capitalization in A share market convert into significantly negative correlation. As far as China QFII policy concern, it effectively reduces unreasonable pricing in A share market. As a result, A-H share price premiums are able to diminish gradually. However, outstanding shares/ non-outstanding shares ratio in the A shares market has less impact on A-H share price premiums, after reform for non-tradable shares policy. Based on that result, the policy is not capable of fully contracting its premiums.

碩士
中原大學
國際商學碩士學位學程
103
The purpose of this paper is to investigate the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference, announcement effects and market efficiency of A Shares and H Shares, using daily data covering the period from Aug., 2014 to Feb., 2015 from Bloomberg. To be comparability, we collect the day which has trading simultaneously. First of all, we aim at investigating the factors, which have the impact on the price difference of A Shares and H Shares during “Shanghai-Hong Kong Stock Connect Policy”. We find that “listed time” and “SSE 180 sample share” variables have a significant effect on price difference. Moreover, we find that the price difference after “Shanghai-Hong Kong Stock Connect Policy” is bigger than the price difference before “Shanghai-Hong Kong Stock Connect Policy”. Secondly, we examine the announcement effects. We find that the implementation of “Shanghai-Hong Kong Stock Connect Policy” really has the announcement effects. Lastly, this paper explores the market efficiency related to “Shanghai-Hong Kong Stock Connect Policy”. We take past stock returns to test weak form market efficiency and use stock order imbalance to test strong form market efficiency. We find that the market efficiency has changed.

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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
東海大學
管理碩士在職專班
97
In this paper, we adopted the companies published A shares in China and dual-listed H shares in Hong Kong as examples to investigate the relationships between the China and Hong Kong stock markets. One of the features in our analysis is to study whether the structure breaks, that the China anthority allows QFII could directly purchase A shares and implement more flexible RMB exchange rate mechanism, affect the dynamics of the stock markets of China and Hong Kong. Empirical results demonstrate that the removal of restrictions on foreign investment and implementing more flexible exchange rate policy has been extremely helpful in raising the information transmissions between A shares and H shares. Further research finds that these policies changes did significantly increase the influence of H shares on A shares, whereas the influence of A shares to H shares has been reduced. From the analysis of impulse response, we find that A shares and H shares are positively affected by themselves in the previous period. H shares market is sensitive to A shares market in the beginning. The impact of market information from A shares to H shares is gradually increasing and then gradually decreasing. Overall, our results confirm A shares plays the more dominant role of information transmissions on H shares. Regarding the results of forecast variance decomposition, although the variance of A shares and H shares are highly explained by their previous information, respectively, however, the variance of A shares is more evidently explained by itself than that of H shares.