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China's Securities Market Arbitrage Equilibrium To Achieve Market Efficiency

Posted on:2004-05-10Degree:DoctorType:Dissertation
Country:ChinaCandidate:S H KongFull Text:PDF
GTID:1116360095962993Subject:International Trade
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This thesis is devoted to the study of theoretical framework and market practice concerned with equilibrium realization and market efficiency of Chinese security market. The value returning process and market efficiency have a close linkage from the perspective of equilibrium price finding of market efficiency. The more efficient the market is, the more quickly and accurately the price will return to equilibrium. And there will be less arbitrage opportunities, or it will be difficult to capture such opportunities if there are. Thus the market is closer to non-arbitrage equilibrium state. Therefore, the extent of market efficiency is a measurement of the state of market equilibrium realization, and deviation from equilibrium is a sign of low market efficiency.In Chinese security market, the not-well-positioned market mechanism and institution restrained the effectiveness and scale of arbitrage practice that leads to a return to non-arbitrage equilibrium. Manipulation and market making of big capital pool are reversing factors that lead to greater ineffectiveness and non-equilibrium of market. The existence of large number of irrational and unqualified investors is the basis of market manipulation of big capital pool, and has thus strengthened the tendency of market manipulation and the ineffectiveness and none-equilibrium of the market. The low efficiency of Chinese security market is mainly reflected by the existence of non-equilibrium price and the obstacle to the establishment of non-arbitrage equilibrium. Starting from this perspective, this dissertation is going to study equilibrium realization and market efficiency. Based on a theoretical analysis of Chinese security market using CAPM and APT model, this dissertation is going to focus on positive study using econometrical model to deeply and quantitatively delineate equilibrium realization and market efficiency of Chinese security market and therefore to find the cause of low market efficiency and the obstacle to the establishment of non-arbitrage equilibrium.This thesis consists of ten parts. Chapter one, two and four are making some theoretical preparation for the introduction of CAPM and APT model and market efficiency theory. And their role, limitation and applicability in Chinese security market in the specific context are also studied. Chapter three and five study the theoretical framework of non-equilibrium realization and market efficiency of Chinese security market and also their relationship. This dissertation argues an improvement of traditional market efficiency definition from the perspective of non-arbitrage equilibrium realization and put forth a study framework using econometrics quantitative model to delineate market equilibrium realization. Chapter six, seven and eight focus on positive study of weak, semi-strong and strong efficiency of Chinese security market using modern econometrics model and also an analysis of characteristics of efficiency. Chapter nine and ten are conclusion and policy recommendation. A brief summary is as follows:Chapter one generally studies the Capital Asset Pricing Model and its role, development and application. Its role, limitation and applicability in the specificcontext of Chinese security market have also been discussed. This chapter plays the role of theoretical preparation for later studies. Firstly, CAPM and its mathematical derivation have been systematically introduced and its role has been discussed. Next, an extension of the CAPM model has been introduced; Positive test and questioning of the model have been generally discussed and also an discussion of issues concerned with applicability has been carried out. The end of Chapter one discusses issues of CAPM applicability in Chinese security market, its role, limitation and applicability in the specific context of Chinese security market.Chapter two begins with a general introduction of APT model and its positive study and has expressed its important connotation by using its strict mathematical expression, that is, the realization...
Keywords/Search Tags:China', s
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