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dc.contributor.authorWu, Dien_US
dc.date.accessioned2013-01-31T19:43:55Z
dc.date.available2017-12-20T07:00:32Z
dc.date.issued2012-08-20en_US
dc.identifier.otherbibid: 7959729
dc.identifier.urihttps://hdl.handle.net/1813/31017
dc.description.abstractBy 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.en_US
dc.language.isoen_USen_US
dc.titleHurst Exponent And The Pricing Of Cross-Listed Shares: Empirical Evidence From China'S Stock Marketen_US
dc.typedissertation or thesisen_US
thesis.degree.disciplineAgricultural Economics
thesis.degree.grantorCornell Universityen_US
thesis.degree.levelMaster of Science
thesis.degree.nameM.S., Agricultural Economics
dc.contributor.chairTurvey, Calum G.en_US
dc.contributor.committeeMemberBogan, Vicki L.en_US


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