This paper studies the links between fundamental value and market price of the companies listed in both mainland A-share and Hong Kong H-share markets. As the valuation model has been inadequately applied in the literature, this study theoretically clarifies that the dividends discount model (DDM) and it derivatives are suitable for firms, but not for general consumers and investors, to evaluate equity fundamental values. Thus, using DDM and its derivatives to determine the market price of equity, which has been done in many other studies, is problematic. This paper also empirically studies how accounting data determines fundamental values of equities using a pooled-data vector autoregressive method. It indicates that although fundamental value can be a benchmark for investors to price equity, prices of equity may deviate from fundamental values substantially for a long time due to differences in preference and the extent of risk aversion between A-shares and H-shares. Correlation between equity price and its fundamental value for H-shares is larger than the correlation for A-shares. This paper also explains why there has been a big price gaps between A-shares and H-shares with exactly the same yields rights. The estimates of fundamental value for each company help investors make rational investment decisions. It suggests that, in the long run, healthy development of Chinese securities markets will depend on the progress of privatisation and marketisation of the Chinese economy. Measures such as the Qualified Foreign Institutional Investors (QFII) and Qualified Domestic Institutional Investors (QDII) programmes should be adopted to improve the efficiency of financial resources utilisation in mainland China, despite the short-run pressure that may put on A-share markets.

This paper explores the determinants of B-share discounts in the Chinese stock market based on a unique regulatory change in 2001. We find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China, but the H-share discount remained virtually unchanged. Using the intraday data, we find that information flows from the B-share markets to the A-share markets increase significantly after the event, because domestic investors rush into the B-share markets. Using various cross-sectional analyses, we also find that relative supply and behavior factors such as relative spread (or liquidity) and relative risk affect the discounts throughout the sample period.

This paper explores the determinants of B-share discounts in the Chinese stock market based on a unique regulatory change in 2001. We find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China, but the H-share discount remained virtually unchanged. Using the intraday data, we find that information flows from the B-share markets to the A-share markets increase significantly after the event, because domestic investors rush into the B-share markets. Using various cross-sectional analyses, we also find that relative supply and behavior factors such as relative spread (or liquidity) and relative risk affect the discounts throughout the sample period.

In this paper, I apply the GARCH-class models to Chinese stock market. And I analyze the characteristics of the volatility of Chinese stock market .By comparing the models, I conclude that EGARCH model and EGARCH-M model have almost the same efficiency in Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE). Then I use the estimated model to forecast the volatilities for these two stock exchanges.

While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion with an average half-life slightly shorter than one year. A pure contrarian investment strategy produces positive excess returns and in general outperforms the pure momentum strategy. Furthermore, momentum may interact with mean reversion. A strategy based on the rolling-regression parameter estimates of the model combining mean reversion and momentum generates both statistically and economically significant excess returns. The combined strategy outperforms both pure momentum and pure contrarian strategies. We conduct a number of robustness tests and confirm the basic findings. Collectively, our results seem to support the overreaction hypothesis.

套期保值者所面对的主要风险是基差风险，传统套期保值（1：1套保）在实际运用中经常会由于基差的剧烈波动而造成额外的损失。本文通过对沪铜历史数据的研究，利用OLS，ECM，ECM-GARCH等模型对各种方法所获得的套期保值比率进行了验证

This study examines the relations between leverage and investment in China’s listed firms, where corporate debt is principally provided by stateowned banks. We obtain three major findings. First, there is a negative relation between leverage and investment. Second, the negative relation between leverage and investment is weaker in firms with low growth opportunities and poor operating performance than in firms with high growth opportunities and good operating performance. Third, the negative relation between leverage and investment is weaker in firms with a higher level of state shareholding than in firms with a lower level of state shareholding. Overall, our results are consistent with the hypothesis that the state-owned banks in China impose fewer restrictions on the capital expenditures of low growth and poorly performing firms and also firms with greater state ownership. This creates an over-investment bias in these firms.

We developed a theoretical framework which articulates the relationship between global and local experiences of the venture capitalists investing in China and the risk mitigation strategies they employ. We predicted that venture capitalists with little experience are more likely to join syndicates. We also predicted that the relationship between late stage strategic focus and VCs’ global and local experiences is positive. We tested our hypotheses using database covering all first round venture related investments made by foreign VCs in China until Oct 2006. Controlling for a variety of factors our data supported our predications.

The extraordinary performance of China and India's economies raises questions about the traditional measures of the size and depth of financial systems. While banks and markets have played a limited role in providing funds for corporate sectors and supporting economic growth in these two countries, non-state, non-listed firms, relying mostly on internal and alternative financing channels, have been growing faster than the state and listed sectors and contributing much of the growth. The alternative financing channels, excluded in the traditional measures of financial systems, operate outside legal institutions and are backed by alternative mechanisms such as reputation, relationships, and trust. We define the capacity of a financial system to be the total funding available for all corporate sectors in an economy. Our findings from China and India demonstrate that alternative finance can significantly expand the financial system capacity and promote growth at the firm level and economy wide.

In 2005-08, over a dozen put warrants traded in China went so deep out of the money that they were certain to expire worthless. Nonetheless, these warrants attracted a speculative frenzy: for each warrant, billions of Yuan traded with an average daily turnover rate close to 300%, and at substantially inflated prices. The publicly observable underlying stock prices make the zero warrant fundamentals common knowledge to all market participants. This warrants bubble thus presents a unique opportunity to study bubble mechanisms, so far only available in laboratory environments. We find evidence supporting the resale option theory of bubbles: investors overpay for a warrant hoping to resell it at an even higher price to a greater fool.