Suchergebnisse

The Stock Connect scheme launched on 17 November 2014 was the first mutual market access between mainland China and Hong Kong stock markets. It is the biggest move ever in the opening up of the capital market. Experiences accumulated will be of great value to mainland regulators who will decide on how these experiences could be utilised for China's future opening up of its capital markets and for accelerating renminbi internationalisation.

AbstractWe study the impact of capital market openness on high‐frequency market quality in China. The Shanghai–Hong Kong Stock Connect program (SHHKConnect) opens China's stock market to foreign investors and offers a natural experiment to investigate this question. Using a difference‐in‐differences approach, we find that market liberalization leads to lower quoted spread, lower effective spread, lower market depth, and higher short‐term volatility. Our findings imply that opening the markets to more sophisticated foreign investors is associated with higher competition and more cross‐market arbitrage activities, narrowing the spread and reducing liquidity providers' profits, but increasing the price impact and short‐term volatility of connected stocks.

Purpose
The purpose of this paper is to examine the macroeconomic drivers of stock market development in Hong Kong during the period 1992Q4-2016Q3. Specifically, it investigates the impact of banking sector development, economic growth, inflation rate, exchange rate, trade openness and stock market liquidity on stock market development.


Design/methodology/approach
This paper uses quarterly time-series data covering the period 1992Q4-2016Q3, which have been obtained from various reliable sources. The study uses the autoregressive distributed lag bounds testing procedure to identify both the long- and short-run macroeconomic drivers of stock market development in Hong Kong.


Findings
We find that banking sector development and economic growth have positive impacts on stock market development, whereas the inflation rate and the exchange rate have negative impacts on stock market development both in the long and short run. In addition, the results show that trade openness has a positive long-run impact but a negative short-run impact on stock market development.


Originality/value
Despite the phenomenal growth of stock market in Hong Kong, there are, to the best of the authors' knowledge, no relevant studies on the macroeconomic drivers of stock market development in Hong Kong. Therefore, this paper endeavours to enrich the literature by examining the macroeconomic drivers of stock market development in Hong Kong during the period 1992Q4-2016Q3.

by Chan Chi-man, Simon. ; Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. ; Includes bibliographical references (leaves [5]-[8] (2nd group)). ; ACKNOWLEDGMENTS --- p.i ; ABSTRACT --- p.ii ; TABLE OF CONTENTS --- p.iv ; LIST OF FIGURES --- p.vii ; LIST OF TABLES --- p.viii ; Chapter CHAPTER I. --- INTRODUCTION --- p.1 ; Background --- p.1 ; Objectives --- p.3 ; Scope --- p.5 ; Organization of the Paper --- p.6 ; Chapter CHAPTER II. --- THE HONG KONG STOCK MARKET - QUANTIFYING ITS CHARACTERISTICS --- p.7 ; Introduction --- p.7 ; Choice of Proxy for the Market --- p.9 ; Hong Kong in the Asian Pacific Region --- p.11 ; Choice of Benchmarks for Comparisons --- p.12 ; Comparative Returns and Standard Deviations --- p.13 ; Correlations Amongst Different Markets --- p.16 ; Comparative Price to Earnings (P/E) Ratios --- p.18 ; Market Liquidity --- p.19 ; Market Concentration --- p.20 ; Summary --- p.21 ; Chapter CHAPTER III. --- PRICING OF RISKY ASSETS IN HONG KONG --- p.23 ; Introduction --- p.23 ; Applicability of Pricing Models in the Hong Kong Stock Market --- p.23 ; Literature Review --- p.23 ; CAPM --- p.28 ; The model --- p.28 ; Hypotheses to be tested --- p.29 ; Data --- p.30 ; Methodology --- p.30 ; Portfolio construction --- p.30 ; Variable estimation --- p.31 ; Cross-sectional regressions --- p.31 ; Results and discussions --- p.32 ; Stability of Beta --- p.34 ; APT --- p.37 ; Introduction --- p.37 ; Analysis --- p.38 ; Chapter CHAPTER IV. --- THE EFFICIENCY AND ANOMALIES OF THE HONG KONG STOCK ; MARKET --- p.51 ; Market Efficiency --- p.51 ; Introduction --- p.51 ; Informational Efficiency --- p.51 ; Forms of market efficiency --- p.52 ; Empirical evidence in Hong Kong --- p.53 ; Historical prices --- p.53 ; Investment advisory --- p.54 ; Government budget speeches --- p.55 ; Takeover --- p.55 ; Conclusions --- p.55 ; Anomalies --- p.56 ; Introduction --- p.56 ; An Exercise on PBV --- p.57 ; Summary --- p.58 ; Chapter CHAPTER V. --- POLITICAL INFLUENCE AND THE STOCK MARKET --- p.59 ; Introduction --- ...