Chinese Stock Markets

A Research Handbook

By: Dongwei Su

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Hardcover | 10 January 2003

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452 Pages

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24.77 x 16.51 x 3.18

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The exponential growth of China's stock markets in the past decade has attracted global attention from academics and practitioners. The practitioner's interest in Chinese markets stems from corporations; investors and financial institutions foresee substantial benefits from investing in China in the long run. However, the academic literature on the development of securities markets and reform of state enterprises in China is still in its infancy and fragmented. This handbook aims to bridge that gap by presenting a wide spectrum of research in the forefront of financial applications. It integrates theory and practice with state-of-the-art statistical techniques and provides numerous insights into the main challenges confronting Chinese markets in the new millennium.

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Non-Fiction Accounting & Finance Finance Investment & Securities Shares & Stocks Earth Sciences, Geography, Environment, Planning Geography Human Geography Economic Geography Economics International Economics Banking

Politics & Government Business & Management International Business Booktopia Publisher Services World Scientific Publishing

Preface	p. vii
Development of Chinese Stock Markets	p. 1
Introduction	p. 1
Setting the Scene: Shanghai and Shenzhen in the Early Reform Period	p. 3
The Establishment of Secondary Markets	p. 5
The Participation of International Investors	p. 11
The Role of Mutual Funds and Other Institutional Investors	p. 19
After the Fifteenth National Congress: Increasing Reversal to Capitalism	p. 22
Problems and Dilemmas	p. 26
Structural and Institutional Characteristics	p. 33
Introduction	p. 33
Regulatory Framework	p. 35
Organizations in Charge	p. 35
Securities Laws and Regulations	p. 38
P.R.C. Company Law	p. 39
P.R.C. Securities Law	p. 41
Ownership structure	p. 44
Listing Standards and Procedures	p. 49
Requirements for Stock Listings	p. 49
A Shares	p. 49
B-Shares	p. 50
Overseas' Listing of Foreign Shares	p. 53
Red Chip Listing	p. 54
Procedures for Stock Listing	p. 55
Market Microstructure	p. 58
Registration of Stock Dealers	p. 58
General Rules for Trading	p. 59
Takeover of Listed Companies	p. 64
Settlement, Clearing and Payment System	p. 66
Accounting System	p. 67
Taxes and Fees	p. 70
Suspension and Termination of Listed Companies	p. 72
Risk, Return and Regulation in Chinese Stock Markets	p. 75
Introduction	p. 75
Stock-Market Return and Volatility Pattern	p. 76
Day of the Week Effect	p. 82
Analysis of Variance Approach	p. 82
Moving Average Approach	p. 83
Market Efficiency Hypothesis	p. 86
Random Walk Hypothesis	p. 86
Cointegration-Based Market Efficiency	p. 90
GARCH Models	p. 93
Model Specification	p. 94
Characterizing Variance in Chinese Stock Markets	p. 94
Normal Distribution	p. 95
Standardized t-distribution	p. 95
Stable Distribution	p. 96
World Versus Local Factors in Volatility	p. 96
Estimation and Empirical Results	p. 97
Model Comparison	p. 98
Parameter Estimates	p. 102
Government Regulation and Market Volatility	p. 105
Volatility Asymmetry and Spill-over	p. 111
A Partial Adjustment Model with Asymmetries	p. 113
Asymmetric Behavior on Returns and Volatility	p. 116
Stock-Market Volatility Spill-over Between Mainland China and Hong Kong	p. 118
Summary	p. 121
Ownership Restrictions and Foreign Shares Discount	p. 123
Introduction	p. 123
Ownership Restrictions in Chinese Stock Markets	p. 125
A Price Discrimination Model	p. 135
Modeling Ownership Restrictions	p. 135
Investors' Maximization Problems	p. 137
Firms' Maximization Problems	p. 141
Corner Solutions for Domestic Firms' Maximization Problems	p. 144
Relaxing Ownership Restrictions	p. 146
An Intertemporal Capital Asset Pricing Model	p. 148
Stock Price and Return Dynamics	p. 148
Intertemporal Maximization by Domestic Investors	p. 149
Intertemporal Maximization by Foreign Investors	p. 151
Testable Implications From the Models	p. 154
Empirical Results	p. 156
Estimating Betas	p. 156
Errors-in-Variables and Tests for B-share Premiums	p. 159
Idiosyncratic Variance Effect and Firm Size Effect	p. 164
Summary	p. 165
Excess Volatility in Domestic Share Markets	p. 169
Introduction	p. 169
A Modified Mixture of Distribution Approach	p. 170
Estimation: Generalized Method of Moments	p. 173
Data Adjustments	p. 175
Empirical Results	p. 193
Cross-Sectional Analysis	p. 200
Time-Series Analysis	p. 209
Summary	p. 210
The Underpricing of Initial Public Offerings	p. 215
Introduction	p. 215
The New-issue and Offering Process	p. 217
The Role of Financial Variables in the Pricing of IPOs	p. 221
The Chinese Data	p. 221
A Benchmark Regression	p. 224
The Adverse-Selection Models	p. 227
The Signaling Models	p. 235
Empirical Implications from the Signaling Models	p. 235
Correlation Between IPO Returns and IPO Proceeds	p. 238
Correlations Among IPO Underpricing and Issuer's Intrinsic Value, Fractional Ownership and Project Variance	p. 240
IPO Underpricing and SEOs	p. 241
Bribery and Lottery Hypotheses of IPO Underpricing	p. 246
Bribery Hypothesis: Underpricing of Chinese IPOs are Gifts to Public Officials or Favored Purchasers	p. 246
Lottery Hypothesis: Lottery Mechanism in Share Allocation Contributes to High IPO Underpricing	p. 249
Underpricing of Foreign-Share IPOs	p. 251
Long-run Performance of IPOs	p. 256
Summary	p. 260
Corporate Governance and Post-IPO Financing	p. 267
Shareholders' Behavior and Corporate Governance	p. 268
Organizational Structure and Board Composition	p. 269
The Role of Government	p. 270
Ownership Concentration and Firms' Performance	p. 274
Political Costs and Agency Costs of Equity Financing	p. 277
The Failure of Management Responsibility Contract System	p. 278
Cooperative Shareholding System	p. 279
Choices of Post-IPO Financing	p. 285
Soft Budget Constraints and The Role of Debt	p. 285
Costs of Equity	p. 289
The Information Content of Different Financing Choices	p. 295
Institutional Transformation to Improve Corporate Governance	p. 299
Privatization	p. 299
Denationalization	p. 301
Diversification	p. 302
Summary	p. 304
Accounting Information and Stock Performance	p. 307
Introduction	p. 307
Roles of Financial Disclosure for Performance Evaluation	p. 309
Corporate Disclosures Made by Listed Chinese Companies	p. 312
A Brief History of Accounting Development	p. 312
Financial Reporting Practices	p. 314
Capital Market Infrastructure	p. 318
Stock Returns Around Earnings Releases	p. 320
Information Content Analysis	p. 321
Earnings Announcements and Stock Price Reactions in China	p. 322
Why Domestic Investors Over-react to Earnings Release?	p. 331
Government and Management as Informed Investors	p. 331
Investors' Sentiments	p. 332
Market Valuation and Transparency	p. 333
Internationalization of Chinese Stock Markets	p. 335
Foreign Investment in Domestic B-Share Market	p. 335
Market Microstructure Issues	p. 336
Risks Involved	p. 338
Overseas Listing of Chinese Stocks	p. 339
Cross-Listing of H-Shares	p. 340
Red Chips Rising	p. 345
Overseas Listing in the U.S., U.K. and Singapore	p. 347
Concerns That Emerged	p. 352
Market Segmentation and Foreign Exchange Control	p. 354
A Lack of Foreign Participation and Competition in Financial Markets	p. 357
China Moving Toward World Capital Market: Strategic Issues and Options	p. 359
Enhancing the Interest of Overseas Investors	p. 359
Improving the Role of Financial Intermediaries	p. 361
Introducing Insurance Capital to Securities Market	p. 363
Strengthening China Investment Funds	p. 365
Reforming Pension System	p. 369
Liberalization of Capital Movements	p. 370
What the Theory Says	p. 371
China's Experience	p. 373
Policy Issues	p. 376
Securities Law	p. 381
Introduction	p. 381
The Role of the Stock Market	p. 383
Regulating the Chinese Stock Market	p. 384
Capital Formation	p. 387
Securities Trading and Information Disclosure	p. 388
Acquisitions	p. 390
Market Infrastructure	p. 392
Investor Protection	p. 395
Overseas Markets	p. 397
The Role of Lawyers	p. 398
Summary	p. 398
Summary of P.R.C. Taxes	p. 401
Major Events in Chinese Stock Markets	p. 405
Bibliography	p. 415
Index	p. 425
Table of Contents provided by Rittenhouse. All Rights Reserved.

Chinese Stock Markets

A Research Handbook

At a Glance

Hardcover

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