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Essays on cross-list price disparity and market efficiency in emerging market
Descriptive
TitleInfo
Title
Essays on cross-list price disparity and market efficiency in emerging market
Name
(type = personal)
NamePart
(type = family)
Yan
NamePart
(type = given)
Han
NamePart
(type = date)
1983-
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Han Yan
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author
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(type = personal)
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Nanda
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Vikram
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Vikram Nanda
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Advisory Committee
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chair
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(type = personal)
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(type = family)
Kim
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Jin-Mo
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Jin-Mo Kim
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Advisory Committee
Role
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internal member
Name
(type = personal)
NamePart
(type = family)
Zhou
NamePart
(type = given)
Xing
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Xing Zhou
Affiliation
Advisory Committee
Role
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(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Zhu
NamePart
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XinRong
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XinRong Zhu
Affiliation
Advisory Committee
Role
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outside member
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Rutgers University
Role
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degree grantor
Name
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NamePart
Graduate School - Newark
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school
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Text
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theses
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2015
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(type = degree)
2015-10
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2015
Place
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xx
Language
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eng
Abstract
(type = abstract)
This dissertation includes two essays on emerging market. The first paper takes Chinese firms cross-listed in China mainland and Hong Kong as A-share and H-share between 1999 and 2013 as sample to look at the price disparity change and determination. This paper firstly finds that relative supply of stocks can explain up to 53% of the price disparity between A-share and H-share. The large supply of stocks in China mainland market can lead to narrow price disparity (low A-H price premium), and this factor can absorb the effects from other factors in previous literature, such as liquidity, speculation and political risks. This paper further tests several natural experiments of related policy changes that took place in China mainland in the sample period, namely IPO halts and stock reform, and confirms that real or expected stock supply change can significantly affect A-H price disparity. The second paper uses the intraday data based efficiency measures such as Hasbrouck Price Error (1993), and CRS (2005) related measures to investigate the Chinese stock markets between 1999 and 2013, to examine price efficiency in China. The first finding is that it takes between 70 minutes and 200 minutes for Chinese listed stocks converge to price efficiency, and Hasbrouck Price Error measure (1993) shows that around 40% price change is not accounted to random walk, which indicates about 4 times poorer efficiency than that in US. There is not significant improvement in market efficiency during the sample period. This paper finds out that the firms with low state-owned share percentage and low concentrated shares have better price efficiency, which indicates low information asymmetry from firm share structure helps improve stock price efficiency. This paper further tests several related institutional changes, and finds that share ownership reform and allowance of margin trading make price efficiency better while opening market to foreign investors by QFII policy does not. The findings in both papers in this dissertation offer important implications on asset pricing, corporate governance and policy making in emerging markets, especially those not fully open to worldwide and with high information asymmetry.
Subject
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Topic
Management
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Title
Rutgers University Electronic Theses and Dissertations
Identifier
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ETD
Identifier
ETD_6651
PhysicalDescription
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electronic resource
InternetMediaType
application/pdf
InternetMediaType
text/xml
Extent
1 online resource (ix, 118 p. : ill.)
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Subject
(authority = ETD-LCSH)
Topic
Finance--Developing countries
Subject
(authority = ETD-LCSH)
Topic
China--Economic conditions
Note
(type = statement of responsibility)
by Han Yan
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TitleInfo
Title
Graduate School - Newark Electronic Theses and Dissertations
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rucore10002600001
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NjNbRU
Identifier
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doi:10.7282/T3930W6C
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
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The author owns the copyright to this work.
RightsHolder
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Name
FamilyName
Yan
GivenName
Han
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
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2015-08-17 11:05:57
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Name
Han Yan
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - Newark
AssociatedObject
Type
License
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Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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windows xp
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