Common Factors In The Chinese Stock Markets - Evidence from Shanghai and Shenzhen Exchanges
Xu, Li (2011)
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The purpose of the thesis is to investigate the following topics: First, what kind of factors influence the co-movement of Mainland China‟s two stock exchanges - Shanghai and Shenzhen stock exchange markets? Second, how does Arbitrage Pricing Theory explain the common return factors across the two bourses? There are several macroeconomic variables employed during the research period in order to trace the index trends. Third, can it be counted as another factor of the latest financial crisis derived from USA? How does it affect the A share stock prices in Shanghai and Shenzhen exchanges? The study examines key common return factors across of Shanghai and Shenzhen markets, the macroeconomic variables play most influential role on the stock co-movements. The interaction between two bourses is strengthened by government adjustable control policies. The financial crisis has least influence on the correlation of the two bourses, it didn‟t affect the Chinese macroeconomic environment under widespread global recession.
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