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Hurst Exponent And The Pricing Of Cross-Listed Shares: Empirical Evidence From China'S Stock Market

Author
Wu, Di
Abstract
By the end of 2010, there are 85 firms are listed in both China's A- and B-share stock markets. With the identical issuing companies, trading rules, voting rights and dividends policies, B shares have been selling at a discount relative to A-share counterparts, which is considered as a puzzle over years. This thesis characterizes three major factors responsible to the price differences between A- and B-share markets: market friction, greater fool factor, and Hurst exponent (market efficiency) factor. More specifically, the results show that in Chinese stock markets institutional investors help to stabilize the stock prices; the results also indicate that time series standard Brownian motion are not responsible for the price differences.
Date Issued
2012-08-20Committee Chair
Turvey, Calum G.
Committee Member
Bogan, Vicki L.
Degree Discipline
Agricultural Economics
Degree Name
M.S., Agricultural Economics
Degree Level
Master of Science
Type
dissertation or thesis