Essays on Corporate Finance and Financial Markets.

详细信息   

• 作者：Liu ; Xiaojin.
• 学历：Doctor
• 年：2012
• 导师：Leung,Chong Tai,eadvisor
• 毕业院校：The Chinese University of Hong Kong
• Department：Economics.
• ISBN：9781267985118
• CBH：3537596
• Country：China
• 语种：English
• FileSize：404392
• Pages：106

文摘

This thesis consists of three essays on corporate finance and financial markets. The first essay investigates the private benefits of control in China. By analyzing block share transfers in China from 1999 to 2006,I find that the controlling blocks are usually priced at significant positive premiums compared with the non-controlling ones. The premiums,with a mean of 24.97%,reflect the private benefits of control in China. Cross-sectional regression analysis shows that the benefits of corporate control vary with ownership structure,firm characteristics and institutions. In particular,targets with high intangible asset ratios have less private benefits of control； cross-listing in the B or H share market reduces private benefits and companies acquired by private firms are associated with higher private benefits. Moreover,it is found that private benefits of control are negatively associated with the non-state economy and factor market development index. Finally,further analysis shows some evidence that other receivables,amount of connected transaction,and amount of financing increase moderately with private benefits. Hence,firms with higher value of private benefits are likely to experience more tunneling activities conducted by their controlling shareholders. The second essay examines herd behavior in the Chinese stock market. Employing the cross-sectional standard deviation testing methodology proposed by Christie and Huang 1995),it is found that herd behavior does not exist in the Shanghai and Shenzhen stock markets. The empirical evidence based on Chang et al. 2000) suggests no evidence of herd behavior as well. I also investigate the herd behavior in the 2007 bubble period and 2008 global financial crisis period and no evidence of herding is documented. Finally,quantile regression is employed to test whether or not herd behavior is sensitive to different quantiles of return dispersion distributions. It is found that in the lower and upper tail of return dispersion distribution,return dispersion generally increases with market return movements,indicating that no herd behavior is observed. The third essay studies the price movement and volatility of the carbon futures in Chicago Climate Exchange. Firstly,the long-term dependence of future returns and volatilities is investigated by employing the modified rescaled range R/S) statistics. Most of the return series have long-term memory features and the evidence for long-term dependence in volatilities is pronounced for all series. Next,the Fractionally Integrated GARCH FIGARCH) model is applied to investigate the volatility of return series and estimate the long memory parameters in return series. The estimated degrees of integration are significantly greater than zero but less the unity,which demonstrates the presence of an explicit long memory feature in return series. The results indicate that the market is not weak-form efficient.