An empirical study on anomalies in China's stock market

Zhang, Hong (2007) An empirical study on anomalies in China's stock market. PhD thesis, University of Greenwich.

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Abstract

This thesis conducts empirical studies on China's stock market using contemporary financial theories in order to explain the anomalies in China's stock market and then put forward some policy implications on the basis of the empirical research findings. The thesis consists of seven chapters. In addition to providing a brief introduction to the relationship between stock market development and economic growth.

Chapter 1 describes several anomalies occurring in the international stock markets and sets up a research framework for the thesis to further study. Chapter 2 is a literature review. It reviews major contemporary theories or hypotheses related to initial public offerings (IPOs) underpricing, long-run underperformance and asset pricing characteristics. Chapter 3 is a general description of China's stock market development, which offers an institutional background such as IPOs system and stock market structure. Chapters 4, 5 and 6 conduct empirical studies using data from China's stock market. In Chapter 4, using cross sectional regression, I examine whether short run underpricing exists in China's stock market and the validity of a series of theories used in explaining this phenomenon. In Chapter 5, based on standard event study methodology, I investigate whether long-run underperformance of IPOs exists in China's stock market, and to what extent. In Chapter 6, according to Fama-MacBeth approach, I build a univariant model to examine whether Capital Asset pricing Model and Fama-French Three-Factor Model hold in China's stock market, and lo analyse empirically the asset pricing characteristics of China's stock market. Chapter 7, the last chapter, is the summary of the thesis. Some suggestions and policy implications are presented.

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