China's stock market : structure, performance and prospects

Pao Yue-kong Library Electronic Theses Database

China's stock market : structure, performance and prospects

 

Author: Au, Cheung Eddie
Title: China's stock market : structure, performance and prospects
Degree: M.Sc.
Year: 2000
Subject: Stock exchanges -- China
Hong Kong Polytechnic University -- Dissertations
Department: Multi-disciplinary Studies
Dept. of Business Studies
Pages: vii, 153 leaves : ill. ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b1538380
URI: http://theses.lib.polyu.edu.hk/handle/200/5216
Abstract: This paper provides an overview of the Chinese stock market in terms of the exchanges, products, participants, the accounting and auditing systems, the laws and regulations. This paper presents evidence on higher short-term volatility during the political or economic news appearance days. I find no difference in the daily returns for stock composite price index between the day with political or economic news and the day without any news. The average daily returns of the price indices are not significant from zero. This paper also shows that there is 75% chance that the Shanghai Stock Market peaks before the Shenzhen Stock Market. This paper also concludes that there is a next day big price movement subsequent to the big price movement on the previous day. Investors who do not have a clear clue on the direction of the upcoming price movement should stay out of the market to avoid a further loss. This paper also provides evidence that the performance of the A indices on both Shanghai and Shenzhen Stock Markets are closely and positively correlated. The same evidence is also found on the B indices. Meanwhile, the performance links among the A and B indices in both stock markets are weaker. The results from the paper also indicate that all A and B indices are either led or lagged each other in the same direction, but such relation is weaker than the contemporaneous correlation. This paper finds out that the volatility of the A and B indices are similar to each other. Furthermore, the longer the existence of the stock market, the less volatile the stock markets are for the A indices. However, the relation reverses for the B indices for the Shanghai and Shenzhen Stock Exchanges. This paper presents that the Chinese stock market is growing and the turnover ratio is increasing along the years, but the low trading value does not reflect the true value of the size of the economy. This paper also shows the potential threats, opportunities and proper actions taken of the securities industry in China in preparing to enter the WTO. The possibility of the merge of A and B shares, the second board market and the virtual stock market will also be covered.

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