Chinese stock markets: a research handbook
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
River Edge, NJ
World Scientific Pub.
2003
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references (p. 415-423) and index |
| Beschreibung: | xvi, 435 p. ill. : 24 cm |
| ISBN: | 9810245122 |
Internformat
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| 245 | 1 | 0 | |a Chinese stock markets |b a research handbook |c Dongwei Su |
| 264 | 1 | |a River Edge, NJ |b World Scientific Pub. |c 2003 | |
| 300 | |a xvi, 435 p. |b ill. : 24 cm | ||
| 336 | |b txt |2 rdacontent | ||
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| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references (p. 415-423) and index | ||
| 650 | 7 | |a Actions de sociétés - Chine |2 ram | |
| 650 | 7 | |a Bourse - Chine |2 ram | |
| 650 | 7 | |a Valeurs mobilières - Chine |2 ram | |
| 650 | 4 | |a Securities |z China | |
| 650 | 4 | |a Stock exchanges |z China | |
| 650 | 4 | |a Stocks |z China | |
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Datensatz im Suchindex
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| adam_text | Contents
Preface vii
Chapter 1 Development of Chinese Stock Markets 1
1.1 Introduction 1
1.2 Setting the Scene: Shanghai and Shenzhen in the Early
Reform Period 3
1.3 The Establishment of Secondary Markets 5
1.4 The Participation of International Investors 11
1.5 The Role of Mutual Funds and Other Institutional Investors . . 19
1.6 After the Fifteenth National Congress: Increasing Reversal to
Capitalism 22
1.7 Problems and Dilemmas 26
Chapter 2 Structural and Institutional Characteristics 33
2.1 Introduction 33
2.2 Regulatory Framework 35
2.2.1 Organizations in Charge 35
2.2.2 Securities Laws and Regulations 38
2.2.2.1 P.R.C. Company Law 39
2.2.2.2 P.R.C. Securities Law 41
2.3 Ownership structure 44
2.4 Listing Standards and Procedures 49
2.4.1 Requirements for Stock Listings 49
2.4.1.1 A Shares 49
2.4.1.2 B Shares 50
xi
; xii Contents
. 2.4.1.3 Overseas Listing of Foreign Shares 53
2.4.1.4 Red Chip Listing 54
2.4.2 Procedures for Stock Listing 55
2.5 Market Microstructure 58
2.5.1 Registration of Stock Dealers 58
2.5.2 General Rules for Trading 59
2.5.3 Takeover of Listed Companies 64
2.5.4 Settlement, Clearing and Payment System 66
i 2.5.5 Accounting System 67
I 2.5.6 Taxes and Fees 70
I 2.5.7 Suspension and Termination of Listed Companies ... 72
!
i Chapter 3 Risk, Return and Regulation in Chinese
¦ Stock Markets 75
3.1 Introduction 75
3.2 Stock Market Return and Volatility Pattern 76
3.3 Day of the Week Effect 82
3.3.1 Analysis of Variance Approach 82
3.3.2 Moving Average Approach 83
3.4 Market Efficiency Hypothesis 86
3.4.1 Random Walk Hypothesis 86
3.4.2 Cointegration Based Market Efficiency 90
3.5 GARCH Models 93
3.5.1 Model Specification 94
3.5.2 Characterizing Variance in Chinese Stock Markets ... 94
3.5.2.1 Normal Distribution 95
3.5.2.2 Standardized i distribution 95
3.5.2.3 Stable Distribution 96
3.5.3 World Versus Local Factors in Volatility 96
3.6 Estimation and Empirical Results 97
3.6.1 Model Comparison 98
3.6.2 Parameter Estimates 102
3.7 Government Regulation and Market Volatility 105
3.8 Volatility Asymmetry and Spill over Ill
3.8.1 A Partial Adjustment Model with Asymmetries 113
3.8.2 Asymmetric Behavior on Returns and Volatility .... 116
3.8.3 Stock Market Volatility Spill over Between Mainland
China and Hong Kong 118
Contents xiii
3.9 Summary 121
Chapter 4 Ownership Restrictions and Foreign
Shares Discount 123
4.1 Introduction 123
4.2 Ownership Restrictions in Chinese Stock Markets 125
4.3 A Price Discrimination Model 135
4.3.1 Modeling Ownership Restrictions 135
4.3.2 Investors Maximization Problems 137
4.3.3 Firms Maximization Problems 141
4.3.4 Corner Solutions for Domestic Firms Maximization
Problems 144
4.3.5 Relaxing Ownership Restrictions 146
4.4 An Intertemporal Capital Asset Pricing Model 148
4.4.1 Stock Price and Return Dynamics 148
4.4.2 Intertemporal Maximization by Domestic Investors . . . 149
4.4.3 Intertemporal Maximization by Foreign Investors .... 151
4.5 Testable Implications From the Models 154
4.6 Empirical Results 156
4.6.1 Estimating Betas 156
4.6.2 Errors in Variables and Tests for B share Premiums . . 159
4.6.3 Idiosyncratic Variance Effect and Firm Size Effect . . . 164
4.7 Summary 165
Chapter 5 Excess Volatility in Domestic Share Markets 169
5.1 Introduction 169
5.2 A Modified Mixture of Distribution Approach 170
5.3 Estimation: Generalized Method of Moments 173
5.4 Data Adjustments 175
5.5 Empirical Results 193
5.6 Cross Sectional Analysis 200
5.7 Time Series Analysis 209
5.8 Summary 210
Chapter 6 The Underpricing of Initial Public Offerings 215
6.1 Introduction. 215
6.2 The New issue and Offering Process 217
6.3 The Role of Financial Variables hi the Pricing of IPOs 221
xiv Contents
6.3.1 The Chinese Data 221
6.3.2 A Benchmark Regression 224
6.4 The Adverse Selection Models 227
6.5 The Signaling Models 235
6.5.1 Empirical Implications from the Signaling Models . . . 235
6.5.2 Correlation Between IPO Returns and IPO Proceeds . . 238
6.5.3 Correlations Among IPO Underpricing and Issuer s In¬
trinsic Value, Fractional Ownership and Project Variance 240
6.5.4 IPO Underpricing and SEOs 241
6.6 Bribery and Lottery Hypotheses of IPO Underpricing 246
6.6.1 Bribery Hypothesis: Underpricing of Chinese IPOs are
Gifts to Public Officials or Favored Purchasers 246
6.6.2 Lottery Hypothesis: Lottery Mechanism in Share Allo¬
cation Contributes to High IPO Underpricing 249
6.7 Underpricing of Foreign Share IPOs 251
6.8 Long run Performance of IPOs 256
6.9 Summary 260
Chapter 7 Corporate Governance and Post IPO Financing 267
7.1 Shareholders Behavior and Corporate Governance 268
7.1.1 Organizational Structure and Board Composition . . . . 269
7.1.2 The Role of Government 270
7.1.3 Ownership Concentration and Firms Performance . . . 274
7.2 Political Costs and Agency Costs of Equity Financing 277
7.2.1 The Failure of Management Responsibility Contract Sys¬
tem 278
7.2.2 Cooperative Shareholding System 279
7.3 Choices of Post IPO Financing 285
7.3.1 Soft Budget Constraints and The Role of Debt 285
7.3.2 Costs of Equity 289
7.4 The Information Content of Different Financing Choices .... 295
7.5 Institutional Transformation to Improve Corporate Governance 299
7.5.1 Privatization 299
7.5.2 Denationalization 301
7.5.3 Diversification 302
7.6 Summary 304
Contents xv
Chapter 8 Accounting Information and Stock Performance 307
8.1 Introduction 307
8.2 Roles of Financial Disclosure for Performance Evaluation . . . 309
8.3 Corporate Disclosures Made by Listed Chinese Companies . . . 312
8.3.1 A Brief History of Accounting Development 312
8.3.2 Financial Reporting Practices 314
8.3.3 Capital Market Infrastructure 318
8.4 Stock Returns Around Earnings Releases 320
8.4.1 Information Content Analysis 321
8.4.2 Earnings Announcements and Stock Price Reactions in
China 322
8.5 Why Domestic Investors Over react to Earnings Release? . . . 331
8.5.1 Government and Management as Informed Investors . . 331
8.5.2 Investors Sentiments 332
8.5.3 Market Valuation and Transparency 333
Chapter 9 Internationalization of Chinese Stock Markets 335
9.1 Foreign Investment in Domestic B Share Market 335
9.1.1 Market Microstructure Issues 336
9.1.2 Risks Involved 338
9.2 Overseas Listing of Chinese Stocks 339
9.2.1 Cross Listing of H Shares 340
9.2.2 Red Chips Rising 345
9.2.3 Overseas Listing in the U.S., U.K. and Singapore .... 347
9.3 Concerns That Emerged 352
9.3.1 Market Segmentation and Foreign Exchange Control . . 354
9.3.2 A Lack of Foreign Participation and Competition in Fi¬
nancial Markets 357
9.4 China Moving Toward World Capital Market: Strategic Issues
and Options 359
9.4.1 Enhancing the Interest of Overseas Investors 359
9.4.2 Improving the Role of Financial Intermediaries 361
9.4.3 Introducing Insurance Capital to Securities Market . . . 363
9.4.4 Strengthening China Investment Funds 365
9.4.5 Reforming Pension System , 369
9.5 Liberalization of Capital Movements 370
9.5.1 What the Theory Says 371
9.5.2 China s Experience 373
xvi Contents
9.5.3 Policy Issues 376
Appendix A Securities Law 381
A.I Introduction 381
A.2 The Role of the Stock Market 383
A.3 Regulating the Chinese Stock Market 384
A.4 Capital Formation 387
A.5 Securities Trading and Information Disclosure 388
A.6 Acquisitions 390
A.7 Market Infrastructure 392
A.8 Investor Protection 395
A.9 Overseas Markets 397
A.10 The Role of Lawyers 398
A.ll Summary 398
Appendix B Summary of P.R.C. Taxes 401
Appendix C Major Events in Chinese Stock Markets 405
Bibliography 415
Index 425
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| spelling | Su, Dongwei Verfasser aut Chinese stock markets a research handbook Dongwei Su River Edge, NJ World Scientific Pub. 2003 xvi, 435 p. ill. : 24 cm txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references (p. 415-423) and index Actions de sociétés - Chine ram Bourse - Chine ram Valeurs mobilières - Chine ram Securities China Stock exchanges China Stocks China Aktienmarkt (DE-588)4130931-5 gnd rswk-swf China (DE-588)4009937-4 gnd rswk-swf China (DE-588)4009937-4 g Aktienmarkt (DE-588)4130931-5 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010036278&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Su, Dongwei Chinese stock markets a research handbook Actions de sociétés - Chine ram Bourse - Chine ram Valeurs mobilières - Chine ram Securities China Stock exchanges China Stocks China Aktienmarkt (DE-588)4130931-5 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4009937-4 |
| title | Chinese stock markets a research handbook |
| title_auth | Chinese stock markets a research handbook |
| title_exact_search | Chinese stock markets a research handbook |
| title_full | Chinese stock markets a research handbook Dongwei Su |
| title_fullStr | Chinese stock markets a research handbook Dongwei Su |
| title_full_unstemmed | Chinese stock markets a research handbook Dongwei Su |
| title_short | Chinese stock markets |
| title_sort | chinese stock markets a research handbook |
| title_sub | a research handbook |
| topic | Actions de sociétés - Chine ram Bourse - Chine ram Valeurs mobilières - Chine ram Securities China Stock exchanges China Stocks China Aktienmarkt (DE-588)4130931-5 gnd |
| topic_facet | Actions de sociétés - Chine Bourse - Chine Valeurs mobilières - Chine Securities China Stock exchanges China Stocks China Aktienmarkt China |
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