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Dissertations / Theses on the topic 'The shares in the stock market'

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Published: 3 June 2025

Last updated: 1 August 2025

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1

Kim, Jaemin. "The impact of open market share repurchases on volatility and liquidity : are open market share repurchase firms making the market for their own shares? /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/8795.

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2

Cooper, Mary Comerford. "Returning shares to the people? the politics of the stock market in China /." online access from Digital dissertation consortium, 2002. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3068264.

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3

Pang, Siu-kei. "Red-chips' (China-affiliated companies' shares) profitability, attractiveness and its implication to Hong Kong stock market." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19873815.

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4

Mak, Ping-kuen. "Financial performance of H shares in the Hong Kong stock market /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B18837359.

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5

Langmead, Peter Martin Stuart. "An explanation for abnormal returns from initial public offers and the revelation of information on the first day of trading of new company stocks." Thesis, University of Strathclyde, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311298.

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6

Liang, Jing. "Market segmentation and dual-listed stock price premium - an empirical investigation of the Chinese stock market." Thesis, University of St Andrews, 2009. http://hdl.handle.net/10023/894.

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This thesis comprises, firstly, a careful and detailed description of the institutional workings of the Chinese stock market; secondly, a literature review of the Chinese segmented markets and dual-listed shares price premium; and thirdly, three evidence-based contributions designed to cast new light on the Chinese A-shares premium puzzle. Publicly-listed firms in China, under certain criteria, can issue two different types of shares, namely A-shares and B-shares, to local and foreign investors respectively. These shares carry the same rights and obligations, but are however priced differently

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7

Tam, Chi-ho. "Market segmentation the case of A shares and B shares /." Click to view the E-thesis via HKUTO, 2003. http://sunzi.lib.hku.hk/hkuto/record/B31954613.

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8

Tam, Chi-ho, and 譚志豪. "Market segmentation: the case of A shares andB shares." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B31954613.

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9

Poon, Ser-Huang. "Investing in shares : an empirical study of the U.K. stock market." Thesis, Lancaster University, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.304485.

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10

Mak, Ping-kuen, and 麥炳權. "Financial performance of H shares in the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B31268213.

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11

Cao, Chen. "An Empirical Study on Market Segmentation and Information Diffusion in Chinese Stock Markets." Thesis, Uppsala University, Department of Statistics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-126659.

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<p>The efficacy and accuracy of information is very important for making decision in stock markets. In this paper, we study on the effect of information diffusion in Chinese stock market before and after the owership release in February 19, 2001, by testing the stationary of A share premium and cointegration between A and B share prices. The panel unit root tests we propose on A share premium are Augmented Dickey-Fullar (ADF) tests for individual firm and Fisher tests for the panel, based on combining pvalues from each individual cross-section. The panel cointegration tests on A and B shares w

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12

Pang, Siu-kei, and 彭紹基. "Red-chips' (China-affiliated companies' shares) profitability, attractiveness and its implication to Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31269175.

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13

Khalid, Al-abdulqader. "Share valuation and stock market efficiency in the Saudi stock market." Thesis, University of Dundee, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.561297.

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14

Jirsell, Cédric, and Robin Johansson. "Goodwill, aktieägarens vän eller fiende? : En kvantitativ studie av hur goodwillpostens storlek påverkar företags förmåga att ge avkastning till aktieägarna." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-194126.

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We investigate if the size of goodwill compared to total assets has any effect on the shareholders return on companies listed on the Swedish Stock market. We put up two different hypotheses with a foundation from previous research and later dismiss one of them. Our evidence does not show any indicators that the size of goodwill have an effect on the shareholders return, which brings us to believe that there, from a share holders point of view, isn’t any need for concern regarding the standards about accounting for goodwill as stated by IFRS.

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Tyc, Tomáš. "Tvorba dividendového portfolia." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-234812.

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This master thesis focuses on shares of companies who pay out dividends therefore dividend stocks. Shares from Czech stock market RM-SYSTÉM are anaylzed from publicly available data and portfolio is subsequently created from them.

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16

Hagba, Dorbor M. "Can market volume help in predicting share market volatility." Thesis, Stellenbosch : University of Stellenbosch, 2007. http://hdl.handle.net/10019.1/15043.

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Thesis (MBA)--University of Stellenbosch, 2007.<br>ENGLISH ABSTRACT: This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the Johannesburg Stock Exchange (JSE). The study is largely inspired by the work of Chris Brooks (1998). The volume of shares traded might be as important as the change in a market index since substantial price increases and decreases are often accompanied by heavy trading activity. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional

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17

Råsbrant, Jonas. "The price impact of open market share repurchases." KTH, Entreprenörskap och Innovation, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122239.

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This paper examines the stock performance around initiation announcements of open market share repurchase programs, the price impact of repurchase trading and the long-run abnormal stock performance following the initiation announcements in a European regulatory framework. The study uses a unique dataset on initiation announcements and actual repurchases conducted by firms listed on the Stockholm Stock Exchange during the period 2000-2009. The results show that initiation announcements of open market repurchase programs exhibit a two-day abnormal return of approximately 2%. The price impact on

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18

Ma, Jing, and 馬靜. "Real earnings management around open market share repurchases." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202368.

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This thesis investigates real earnings management behaviors in the context of open market share repurchase. I use three proxies developed by Roychowdhury (2006) to measure real earnings management behaviors, including abnormal cash flow from operations (DCFO), abnormal production costs (DPROD) and abnormal discretionary costs (DDISX). In comparison to existing literature that documents the impact of accrual earnings management on post-repurchase performance, this thesis endeavors in investigate thoroughly both methods of earnings management. I find that repurchasing firms not only engage in ac

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19

BRANDAO, FREDERICO RENAN SIMOES. "IMPACTS OF SOVEREIGN RATING CHANGES TO BRAZIL ON THE SHARES OF STATE-OWNED COMPANIES TRADED ON THE BRAZILIAN STOCK MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=29480@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>Atualmente, com a intensificação da integração econômica e financeira dos mercados, o enfraquecimento das fronteiras nacionais e o significativo crescimento do comércio internacional, os investidores estão direcionando cada vez mais seus fluxos de capitais para os mercados externos, de forma a promover a diversificação internacional de suas carteiras, reduzindo o risco ao mesmo nível de retorno aos apresentados por carteiras puramente nacionais. É neste contexto de expansão internacional dos mercados e de elaboração de carteiras internacion

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20

Hong, Fang. "Cross-listed shares in Hong Kong and mainland China stock markets : time series evidence." Thesis, University of Macau, 2010. http://umaclib3.umac.mo/record=b2144049.

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21

Зайцев, Олександр Васильович, Александр Васильевич Зайцев, Oleksandr Vasylovych Zaitsev та О. В. Ляшко. "Фактори розвитку фондового ринку України". Thesis, Сумський державний університет, 2020. https://essuir.sumdu.edu.ua/handle/123456789/78993.

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В тезах звернута увага на існуючі обмеження щодо розвитку фондового ринку в Україні. Розглядаються напрямки розвитку фондового ринку в Україні.<br>В тезисах обращено внимание на существующие ограничения относительно развития фондового рынка в Украине. Рассматриваются направления развития фондового рынка в Украине.<br>The abstracts draw attention to the existing restrictions on the development of the stock market in Ukraine. The directions of stock market development in Ukraine are considered.

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22

Liu, Yaoguang. "An empirical cross-section analysis of stock returns on the Chinese A-Share Stock Market." Diss., Lincoln University, 2009. http://hdl.handle.net/10182/1127.

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This research attempts to test the performance of the Fama-French three-factor model (1993) in explaining the stock portfolio returns on the China A-share Stock Market from 1996 to 2005. We will follows Drew, Naughton and Veeraraghavan (2003) method, who adopted the Fama and French's (1993) method to test small sample stock markets. We find the positive relation between book-to-market ratio and stock excess returns, and the negative relationship between size and stock excess returns. And our result demonstrated that the three-factor model is more accurate in predicting stock excess returns tha

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23

Tang, Chao. "Analyses of 2002-2013 China’s Stock Market Using the Shared Frailty Model." Digital Commons @ East Tennessee State University, 2014. https://dc.etsu.edu/etd/2392.

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This thesis adopts a survival model to analyze China’s stock market. The data used are the capitalization-weighted stock market index (CSI 300) and the 300 stocks for creating the index. We define the recurrent events using the daily return of the selected stocks and the index. A shared frailty model which incorporates the random effects is then used for analyses since the survival times of individual stocks are correlated. Maximization of penalized likelihood is presented to estimate the parameters in the model. The covariates are selected using the Akaike information criterion (AIC) and the

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24

Bohlin, Ludvig. "Network analysis of the share ownership structure on the Swedish stock market." Thesis, Umeå universitet, Institutionen för fysik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-56593.

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The stock market is an example of a complex system, i.e. it consists of a number of traders, interacting in such a way that their collective behaviour, the behaviour of the market, is not a simple combination of their individual behaviour. One of the most important tasks in modern finance is finding efficient ways of summarizing and visualizing the stock market data to obtain useful information about the behavior of the market. In this thesis we investigate the possibility of finding a way to summarize and cluster share ownership data from the Swedish stock market. This is done by using a netw

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25

Råsbrant, Jonas, and Ridder Adri De. "The liquidity impact of open market share repurchases." KTH, Entreprenörskap och Innovation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-122242.

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We examine the market liquidity impact of open market share repurchases in a computerized order driven market. Using a detailed dataset of daily repurchase transactions on the Stockholm Stock Exchange together with intraday data on bid-ask spreads and order depths enable us to examine liquidity effects on the actual repurchase days. Overall, we find that repurchase trades inside the order driven trading system contributes to market liquidity through narrower bid-ask spreads and deeper market depths. After controlling for total trading volume, price, and volatility we still find a significant d

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26

Bellamy, David Ewan. "An analysis of ex-dividend day abnormal trading volumes and share price changes in the Australian equity market /." [St. Lucia, Qld. : s.n.], 2002. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe16648.pdf.

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27

Джусов, А. А. "Инвестиционный потенциал зарубежного рынка акций". Thesis, Українська академія банківської справи Національного банку України, 2007. http://essuir.sumdu.edu.ua/handle/123456789/60279.

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Работа над этой темой была начата еще в 2005 году, результаты исследований по ней впервые были озвучены на V Международной научно- практической конференции “Оптимум-2006”, организованной Харьковским НТУ “ХПИ”, которая проходила 23-24 ноября 2006 года, а также в статье, опубликованной приблизительно в то же время.

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28

Tolsma, Mischa. "Dispersal of information into share markets : a stochastic model simulation." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/95665.

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Thesis (MBA)--Stellenbosch University, 2012.<br>This research report examines the dispersal of information into the share market. According to the efficient market hypothesis, the share price always reflects all available information on a company. This information is incorporated into the share price via heterogeneous trader interaction: a transaction between a willing buyer and a willing seller sets the latest share price. Therefore, the dispersal of information is a dynamic process. This process has been modelled with a newly developed micro-economic, stochastic, dynamic model for share pric

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Ramatlo, Tshegofatso. "Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?" Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/30975.

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This analyses the impact of unexpected changes in monetary policy on the South African equity market over the period 2005 -2018. In an attempt to understand this relationship, two main views have emerged. The wealth effect suggests that monetary policy changes have an indirect effect on the stock market, via changes in the value of private portfolios. On the other hand, it has been argued that the stock market is an independent source of macroeconomic volatility to which policy makers may wish to consider. This paper applies an event study approach to examine the stock market reaction to monet

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30

Brand, Rene. "An econophysical investigation : using the Boltzmann distribution to determine market temperature as applied to the JSE all share index." Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/879.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2009.<br>ENGLISH ABSTRACT: Econophysics is a relatively new branch of physics. It entails the use of models in physics applied to economics. The distributions of financial time series are the aspect most intensely studied by physicists. This study is based on a study by Kleinert and Chen who applied the Boltzmann distribution to stock exchange data to define a market temperature that may be used by investors to indicate an impending stock market crash. Most econophysicists’ analysed the tail regions of the distributions as the

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Plottová, Sylvia. "PERSPEKTIVY VÝVOJE IPO V REGIONU STŘEDNÍ A VÝCHODNÍ EVROPY." Doctoral thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2018. http://www.nusl.cz/ntk/nusl-391872.

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The main aim of this dissertation is to identify the factors influencing the decision-making of enterprises on entering the capital market in selected CEE countries and formulate recommendations for further development of this form of financing. The key methodological tool is the collection of primary data by means of a questionnaire in which respondents (usually in the CFOs position) expressed their views on the issues related to internal and external factors affecting IPO activity. The results of the questionnaire survey show that the strongest motives for IPO implementation are the ability

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Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.

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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE

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Сазонець, І. Л., та І. О. Суходольський. "Інвестиційні стратегії на ринку акцій". Thesis, Українська академія банківської справи Національного банку України, 2007. http://essuir.sumdu.edu.ua/handle/123456789/60391.

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Незважаючи на відсутність повноцінного фондового ринку України, його потенціал деякі експерти оцінюють у мільярди доларів. Сьогодні інвестори починають придивлятися до українських підприємств: з одного боку, це великі перспективи, з іншого – надто великі ризики. На жаль, випуск акцій в Україні, у більшості випадків, використовується з метою перерозподілу власності.

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Mendes, Artur Jorge Gonçalves. "Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data." Master's thesis, NSBE - UNL, 2012. http://hdl.handle.net/10362/9574.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>This paper studies the impact of the European sovereign debt crisis on Portuguese banks’ share prices. I employ an event study methodology to assess the behavior of banks’ share prices before, and after a credit rating announcement in relation to both the sovereign and the banks individually. I find that sovereign credit ratings have a significant impact on banks’ stock market returns while individual bank credit ratings seem to have little infl

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35

"Size-related stock market anomalies on the Shenzhen A shares market." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888669.

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by Chiu Mui-Ling.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.<br>Includes bibliographical references (leaves 48-51).<br>ACKNOWLEDGMENTS --- p.ii<br>ABSTRACT --- p.iii<br>TABLE OF CONTENTS --- p.iv<br>LISTS OF TABLES --- p.vi<br>LISTS OF CHARTS --- p.vii<br>Chapter<br>Chapter I. --- INTRODUCTION --- p.1<br>Chapter II. --- LITERATURE REVIEW --- p.3<br>Chapter III. --- SHENZHEN STOCK MARKET --- p.16<br>Historical Background --- p.16<br>Membership of Shenzhen Stock Exchange --- p.18<br>Types of Shares --- p.19<br>A Shares --- p.19<br>B Shares --- p.20<br>H Shares --- p

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"Evaluation of current legal framework of "B" shares market in China." Chinese University of Hong Kong, 1993. http://library.cuhk.edu.hk/record=b5887553.

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Leung Kam Pui, Calvin, Ip Koon Tung, Patrick.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1993.<br>Includes bibliographical references (leaf 50).<br>Chapter Chapter1 --- Introduction --- p.3<br>Chapter Chapter 2 --- Methodology --- p.6<br>Chapter Chapter 3 --- Market Profile --- p.9<br>Chapter Chapter 4 --- Theoretical Framework --- p.16<br>Chapter Chapter 5 --- Analysis<br>Chapter Chapter 6 --- Case Study - Champaign Industrial Co --- p.44<br>Chapter Chapter 7 --- Conclusion --- p.47<br>Appendix 1. Bibliography --- p.50<br>Chapter 2. --- Related Regulations with the Shenzhen S

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HUI, MA CHIEN, and 馬千惠. "REWARD ANALYSIS OF VALUE SHARES AND GROWTH SHARES IN THE TAIWAN STOCK MARKET." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/03225271580054028332.

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碩士<br>國立雲林科技大學<br>財務金融系<br>103<br>This study examines whether value stocks perform better than growth stocks in Taiwan electronics listed firms for the period from 2004 to 2014. Using rations of book/market, price/earnings, and price/sales, we find value stocks do perform better than growth stocks no matter which ratio and holding period have been investigated.

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Potgieter, Fahmida. "Share issues and repurchases related to equity market timing on the JSE." Thesis, 2016. http://hdl.handle.net/10539/19418.

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A 50% dissertation presented in partial fulfilment of the requirements for the degree of Master of Commerce at the University of Witwatersrand.<br>Information asymmetry creates a gap between management’s perception of the firm’s value and the market value of the firm. It is thought that management engage in information signalling activities in order to close the gap created by information asymmetry. There is a need to understand why management engage in their chosen transactions as this will provide investors with insight into market activities, as well as allow for more accurate investm

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Hsu, Ming-fu, and 徐敏富. "The Impact of Stock Market to the Stock Flotation on Public- owned Shares." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/60372558048194772452.

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碩士<br>國立中正大學<br>財務金融學系<br>86<br>The amount of stock flotation on privatization is usually amazing great.We performed an empirical analysis on the impact of stock market to the stockflotation on privatization. We concluded that the shorter the event window weanalyzed, the more serious the negative abnormal market trading volume was.The results also indicate that the negative abnormal market trading volumewould be small when the market is bullish, the market trading volume is relative large,

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40

Muktiyanto, Ihda. "Determinant Factors of Market Liquidity in the Indonesian Equity Market." Thesis, 2015. https://vuir.vu.edu.au/29790/.

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Liquidity refers to the ability of a financial market to trade large volumes of assets quickly at low cost, and it covers a wide range of market dimensions including size, time and cost. Prior studies have found that liquidity is one of the most significant of an efficient financial market and that it affects costs of equity, returns and valuations, market stability, and economic growth. Although studies and discussions on various aspects and dimensions of liquidity have been well documented, the sources of liquidity variation vary greatly across markets. The main research question of this the

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Makhwiting, Monnye Rhoda. "Modelling volatility and financial market risks of shares on the Johannesburg Stock Exchange." Thesis, 2014. http://hdl.handle.net/10386/1389.

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Thesis (M.Sc. (Statistics)) -- University of Limpopo. 2014<br>A number of previous research studies have investigated volatility and financial risks in the ermeging markets. This dissertation investigates stock returns volatility and financial risks in the Johannesburg Stock Exchange (JSE). The investigation is con- ducted in modelling volatility using Autoregressive Moving Average-Generalised Au- toregressive Conditional Heteroskedastic (ARMA-GARCH)-type models. Daily data of the log returns at the JSE over the period 08 January, 2002 to 30 December, 2011 is used. The results suggest th

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Chiu, Yu-Jung, and 邱昱溶. "A Study on the Investment Strategy of Value Shares and Growth Shares in the Taiwanese Stock Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/03659794715218601611.

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碩士<br>國立高雄應用科技大學<br>金融資訊研究所<br>97<br>The sample of this research is selected from firms which have shares listed on the Taiwan Stock Exchange. The study period covered 13 years from 1994 to 2006. The purposes of this research examine whether using fundamental financial ratios（F-score and G-score） are financial performance signals of firms to decide the investing strategy of value shares or growth shares. Using Electronic Industry and Non-Electronic Industry in Taiwan, Fundamental F-score and G-score systems are constructed to invest growth shares and value shares, then the investing performanc

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Chen, Hui-Xuan, and 陳惠萱. "Research Emerging Stock Market Bubble And long-term performance of IPO shares." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/62849840703946043987.

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碩士<br>銘傳大學<br>財務金融學系碩士班<br>102<br>Past empirical research of domestic and foreign related IPO, the IPO companies were found to have listed in the initial positive excess returns, but in the long run, its share price performance is poor performance. Thus, the empirical research in addition to the company Gre IPO market in Taiwan is also the phenomenon of long-term stock price is poor performance, but also learn more about whether the long-term stock price performance and firm characteristics factors. More particularly, the present study pre-IPO want in-depth analysis of Taiwan''s uniq

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LI, XIN-WEI, and 李信緯. "Size, Price, and Outstanding Shares Effects:An Empirical Analysis of Taiwan Stock Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/2k9u5u.

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碩士<br>國立宜蘭大學<br>應用經濟與管理學系應用經濟學碩士班<br>107<br>The purpose of this study is to investigate whether there exists effects of size, price and outstanding shares in the stock market in Taiwan. The samples are taken from the period between 1996 to 2018, and two methods are used to investigate whether there exists such effects. The first method is by adopting the concept proposed by Banz (1981), and second is by establishing a single factor portfolio. Finally, the study establishes a style portfolio to investigate whether such a portfolio is capable of beating the stock market in the long-term. This s

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Chen, Wei-Chun, and 陳韋均. "The Effects of Market Segmentation Stock Return─Evidence from Chinese A、B Shares and Hong Kong H Shares." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/30798025018054076573.

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碩士<br>輔仁大學<br>應用統計學研究所<br>88<br>Abstract The Chinese listing companies have issued A shares to domestic investors and issued B shares and H shares to foreign investors. The government of the Mainland China separate A shares and B shares, A shares and H shares into different trading markets, which forms market segmentation. It is the main purpose of this thesis that we use adjusted event study to discuss whether market segmentation is the cause to abnormal return in the way of Merton’s Investor Recognition Hypothesis and Amihudand Merdelson’s Liquidity Hypothesis.

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Chatterjee, Devlina. "Studies On Some Aspects Of Liquidity Of Stocks : Limit Order Executions In The Indian Stock Market." Thesis, 2010. https://etd.iisc.ac.in/handle/2005/1761.

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We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India. Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity. Subsequently, we study execution of limit orders in the NSE from three angles. First we consider order execution probability, using 106 stock-spe

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Chatterjee, Devlina. "Studies On Some Aspects Of Liquidity Of Stocks : Limit Order Executions In The Indian Stock Market." Thesis, 2010. http://etd.iisc.ernet.in/handle/2005/1761.

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We study some aspects of liquidity of stocks traded through the National Stock Exchange (NSE) of India. Initially we examine the multi-dimensional nature of liquidity by conducting day-wise factor analysis of eleven liquidity proxies across a cross-section of stocks, using data from two periods reflecting different market conditions. Five factors emerge consistently, interpretable as depth, spread, volume, price elasticity and relative activity. Subsequently, we study execution of limit orders in the NSE from three angles. First we consider order execution probability, using 106 stock-specif

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Lin, Jyuan-Huei, and 林娟卉. "The Impact of Shanghai-Hong Kong Stock Connect Policy on Price Difference, Announcement Effects and Market Efficiency of A Shares and H Shares." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/74818467324284739606.

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碩士<br>中原大學<br>國際商學碩士學位學程<br>103<br>The purpose of this paper is to investigate the impact of “Shanghai-Hong Kong Stock Connect Policy” on price difference, announcement effects and market efficiency of A Shares and H Shares, using daily data covering the period from Aug., 2014 to Feb., 2015 from Bloomberg. To be comparability, we collect the day which has trading simultaneously. First of all, we aim at investigating the factors, which have the impact on the price difference of A Shares and H Shares during “Shanghai-Hong Kong Stock Connect Policy”. We find that “listed time” and “SSE 180 sample

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LUO, JHIH-WEI, and 駱志威. "Correlation and Price Discount between A Shares and H Shares in Chinese and Hong Kong Stock Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/81996786691609376478.

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碩士<br>國立臺北大學<br>企業管理學系<br>98<br>In the early period of China’s stock market, transactions of A shares in China were limited to Chinese citizens, while transactions of H shares in Hong Kong were limited to HK citizens, or foreigners from other countries. However, these restrictions have been gradually lifted in recent years, progressively shifting China’s stock market. Thus study adopts the Johansen co-integration test, the Granger causality test, and the panel data model to analyze the collected data from 2005 to 2009, discuss the long- term trends of A and H shares, the interaction between th

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Huang, Ching-Chi, and 黃璟琦. "The Relationship between Stock Ownership of directors ,Pledged Shares of directors , Market Capitalizationand Operating Performance :Empirical Evidence from Taiwan Stock Exchange (TSEC)." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/69445920396890683270.

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碩士<br>國立高雄第一科技大學<br>金融營運所<br>90<br>The main objective of this study is to investigate the relationship between stock ownership of directors, pledged shares of directors, market capitalization and operating performance. The return of asset、return of equity、margin after tax、earnings per share、ratio of market capitalization to book value and ratio of earning price are used as the proxies of operating performance. It is estimating by panel data and time series of polynomial distributed lag. The sample includes firm that are listed on the Taiwan Stock Exchange from 1996 to 2000. The final sample co

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