Essay on liquidity and intrinsic value on Chinese stock market

Ma, Xinxin (2020) Essay on liquidity and intrinsic value on Chinese stock market. PhD thesis, University of Glasgow.

Abstract

This PhD thesis includes 4 chapters. The first and second chapters focus on testing the liquidity risk and liquidity risk premium in the Chinese stock market. The third and fourth chapters focus on testing the intrinsic value in the Chinese stock market. The main findings are: the liquidity risk premiums show significant negative from 2012 to 2016. And the portfolio liquidity risk has a structural change after the split-share structure reform. Furthermore, results indicate a negative liquidity risk premium in period 1 (2005-2007) for state-owned companies, Shenzhen Stock Exchange and Shanghai stock exchange in period 1. I do empirical analysis from the efficient market hypothesis and behaviour finance aspects. Moreover, in chapter 3 and 4, we find Chinese investors also focus on value and long-term investment. It shows that RIP and DCFP have better predictive power than other multiples. We found evidence of co-integration between price and accounting fundamentals (RI or DCF), and DCF or RI correct for the disparity between price and fundamentals (RI or DCF) in either whole CSM or real estate companies. The threshold regression results show that the predictive power of the RIP improved after the financial crisis, RIP shows lower predictive power after bull-bear market in 2015. The DCFP has better predictive power after the financial crisis, the predictive powers of the DCFP become weak after the bull and bear market in 2015. Namely, their predictive power has stage change.

• Item Type: Thesis (PhD)
• Qualification Level: Doctoral
• Subjects: H Social Sciences > HG Finance
• Colleges/Schools: College of Social Sciences > Adam Smith Business School > Economics
• Supervisor's Name: Sai, Dr. Ding and Kim, Dr. Minjoo
• Date of Award: 2020
• Embargo Date: 22 April 2023
• Depositing User: Xinxin Ma
• Unique ID: glathesis:2020-81301
• Copyright: Copyright of this thesis is held by the author.
• Date Deposited: 23 Apr 2020 08:59
• Last Modified: 23 Apr 2020 08:59
• URI: https://theses.gla.ac.uk/id/eprint/81301