Stock Price Synchronicity in China Listed Financial Companies
| Autor: | Chang-En Huang, 黃常恩 |
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| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 Due to incomplete regulated institutions and legal foundations in China, information disclosures in financial markets are usually inefficient. In addition, public listed companies in China are usually family holding or with high percentage of state shares. It makes company-specific information can’t deliver and deepen the information asymmetry. Information asymmetry problem not only increases the cost of capital but also makes resource allocation inefficient. As result, stock price movement reflects much more market information than company-specific information. This paper measures stock price synchronicity in China listed financial companies with two levels: 1. Company level. 2. Financial sector level. Company level research covers stock price synchronicity of 32 listed financial companies in 2007-2010. Financial sector level covers stock price synchronicity of entire financial sector in 2004-2010. This paper adds some explanatory variables which could affect stock price synchronicity. At last, this paper analyzes the effect of China’s split shares structure reform which has made great impact on China stock market. Empirical result reveals that stock price synchronicity in company level is significantly affected by stock turnover rate, ownership concentration, shares ratio of board and supervisor and hiring offshore auditors. Stock price synchronicity in the financial sector level is significantly affected by trade openness, turnover rate of entire stock market and asset amount of entire financial institution. The empirical result also reveals that split shares structure reform decreased stock price synchronicity. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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