Research@StAndrews
 
The University of St Andrews

Research@StAndrews:FullText >
Economics & Finance (School of) >
Economics & Finance >
Economics & Finance Theses >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10023/3208
This item has been viewed 331 times in the last year. View Statistics

Files in This Item:

File Description SizeFormat
XingChenPhDThesis.pdf1.91 MBAdobe PDFView/Open
Title: Empirical investigations into stock market integration and risk monitoring of the emerging Chinese stock markets
Authors: Chen, Xing
Supervisors: McMillan, David G.
Tavakoli, Manouche
Issue Date: 19-Jun-2012
Abstract: The degree of stock market integration has important implications for cross-border portfolio diversification, for which Mainland China has become an attractive destination, particularly following the gradual opening-up of its A-share market to foreign institutional investors. The first part of this thesis explores the various aspects of stock market integration taking place in Mainland China, in an attempt to resolve the ambiguity between extant empirical and anecdotal evidence on the issue. The evidence drawn from different statistical perspectives collectively establishes that the Mainland Chinese stock market is in a process of further integrating with a selection of the world’s developed stock markets. Nevertheless, such increased integration should not preclude foreign institutional investors from diversifying into the Chinese A-share market, as the current integration is far from being complete. Adopting appropriate risk monitoring techniques for venturing into the volatile Chinese A-share market is another imperative issue faced by foreign institutional investors, whose risk practices and economic capital are largely regulated by the Basel Accord. The second leg of this thesis addresses this problem through an evaluation of various volatility forecasting models for Value-at-Risk (VaR) reporting. Our results highlight the importance of adopting heterogeneous risk monitoring models in different investment environments for the purpose of regulatory compliance and optimal economic capital allocation. Overall, the studies contained in this thesis should add knowledge to the burgeoning literature on international financial integration at large, while serving the interests of institutional investors and financial regulatory authorities alike.
URI: http://hdl.handle.net/10023/3208
Type: Thesis
Publisher: University of St Andrews
Appears in Collections:Economics & Finance Theses



This item is protected by original copyright

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

DSpace Software Copyright © 2002-2012  Duraspace - Feedback
For help contact: Digital-Repository@st-andrews.ac.uk | Copyright for this page belongs to St Andrews University Library | Terms and Conditions (Cookies)