| dc.description.abstract | This thesis investigates the price relationships among 14 Chinese companies’
shares traded on domestic and foreign exchanges, i.e. the mainland China stock
exchanges [either the Shanghai stock exchange (SHS), or the Shenzhen stock
exchange (SHZ)], Hong Kong stock exchange (HKEK) and New York stock
exchange (NYSE). The both stock exchanges (SHS, SHZ) in China are taken as
one object to analysis. Firstly, the test on whether the stock prices are stationary
or not, is performed by testing the unit roots and autocorrelation. The test
results show that generally the stock prices are not stationary. Secondly, the
tests are performed on the difference series or the return series. The result
indicates that the first differences of the stock prices are all stationary. Thirdly,
the cointegration tests are performed. The tests show that there are no longterm
cointegrations between the prices of the company’s shares listed on China
(SHS, SHZ) and Hong Kong (HKEX) or China (SHS, SHZ) and New York
(NYSE). However, there is a cointegration between the Company’s stock
prices on HKEX and those on NYSE, which indicates that the efficiency in
terms of price discovery existing between the foreign exchanges rather than the
domestic and foreign exchange. Finally, the Granger test is employed to
perform on the returns series since it cannot be used on the non-stationary
series, the share prices. The empirical analysis reveals that price discovery
exists only between HKEX and NYSE, which are consistent with the previous
cointegration tests. The reasons could be that HKD is pegged USD. The China
market shows a high segmentation due to its strict capital control and
restrictions on foreign exchange. Although, the common culture, language and
other characteristics should give rise to an integrated capital market between
the mainland China and Hong Kong, this relationship seems not existing,
neither between the China and U.S. markets. | swe |
