Dissertation > Excellent graduate degree dissertation topics show

A Study on the Cointegration and Price Discovery of A-share and H-share Markets

Author: LiuYan
Tutor: ChenYong
School: Hunan University
Course: Finance
Keywords: cross listing price discovery cointegration Permanent TransitoryModel Information Share Model
CLC:
Type: Master's thesis
Year: 2013
Downloads: 36
Quote: 0
Read: Download Dissertation

Abstract


With the trend of domestic corporations getting listed in Hong Kong, it hasincreasingly become a common choice t o go public on stock markets in both mainlandChina and Hong Kong. Thus, the price differences within have obtained attention ofmany researchers.While a certain asset is traded on several different marketssimultaneously, however, we should take another i mportant issue into consideration.That is the ability of different markets to price traded assets with the highest accuracy.Given that price discovery and price information are generally considered as the mainfunction and production of stock markets, researches regarding how to value theirability of price discovery and their share of information have practical significance.In this dissertation, stocks both listed in mainland China and Hong Kong areinvestigated theoretically and empirically. The main o bjective is to discover the pricediscovery of these two markets using Permanent Transitory Model and InformationShare Model. Firstly, this dissertation sums up the theory about stock price discovery,and combins the theory with the differences between A-share and H-share markets toanalyses the effect on the stock price discovery. In addition, this dissertation analysesthe Permanent Transitory Model and Information Share Model theoretically. Takingthe coefficient of cointegration equation into consideration, we change the variablesand amend the estimate outcomes of these two models. And then applying these twomodels amended into practical analysis.This dissertation notices that the Permanent Transitory Model is affected by itwhile the Information Share Model isn’t. And find that the price discoverycontributions of A-share and H-share market are the same. And then explain thisresult by the factors of market microstructure, market segmentation, home marketeffect and global center effect.

Related Dissertations

  1. A Study about the Stock Index Future’s Influence on the Stock Market,F224
  2. The Impact of Urbanization on the Employment and Research,F299.2;F224
  3. Researching the Development of Modern Service Industry in Changjitu Pilot,F719
  4. An Empirical Study of Cross- listed corporate governance structure and business growth,F224
  5. The Empirical Research on How the Real Effective Exchange Rate Volatility Affects the Import and Export Trade of China,F832.6;F752.6
  6. Empirical Research on the Relationship between Regional Financial Development and Regional Economic Growth in Jiangsu,F127;F224
  7. The Research of the Relation between Asset Price and Macro-economy Variables in China,F224
  8. Study on the Evaluation of Mine Safety Investment and Optimal Allocation of Funds,TD79
  9. Exchange rate and stock prices of related research issues,F832.51;F224
  10. Based on VAR Model of Financial Development and Economical Growth in Jiang Su Province,F832.7;F127
  11. An Empirical Study of the Volatility and Spillover Effects of China’s Stock Index Futures,F224
  12. China's broad money multiplier Empirical Analysis ( 1996-2010 ),F224
  13. The Research of Markov Switching Cointegration Model,F224
  14. Central China 's foreign trade Employment Effect,F249.2;F224
  15. Research on the Dynamic Interrelation between Stock Market and Foreign Exchange Market of China,F832.51;F832.52
  16. Co-movement Relations between the Shanghai Fuel Oil Futures Prices and Spot Price Based on Smooth Transition Regression Model,F426.22;F224
  17. The Empirical Analysis between Monetary Mechanism Variety and Macro-economy Change,F124;F224
  18. China’s Shanghai and Shenzhen 300 Index Futures and Spot Markets Spillover Effect Analysis,F832.51
  19. The Price Discovery of Major Products of Agriculture,F724.5
  20. The impact of international crude oil price volatility factors,F224
  21. Methodology Study on Prediction and Determinants of Total Health Expenditures in China,R197.1

CLC: >
© 2012 www.DissertationTopic.Net  Mobile