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H Shares Premium, Margin Trading And Heterogeneous Beliefs

Posted on:2016-08-06Degree:MasterType:Thesis
Country:ChinaCandidate:R XiaFull Text:PDF
GTID:2279330467982898Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
In the7th or8th decades of last century, during the trading in financial market, there are numerouse fiancial anomalies that can not be explained by CAPM. This phenomena makes CAPM be widely questioned. The most famous paper which questions CAPM is the one writen by Miller(1977),which was published in JOF.In this paper, Miller pointed out that CAPM’s hypothesis, homogeneous belief between investors, is unreasonable. He made a hypothesis of heterogeneous belief between investors and gave the following conclusions:①the price of a stock is determined by demand and supply, the premium of a stock is positively correlated with the degree of heterogeneous belief between investors②when the frequencies of the shift of demand curve are the same,volitility of price change is positively correlated with the degree of heterogeneous belief③breaking short-sale constrain means adding supply, which will lower the stock price.This paper is based on the theory of Miller(1977). Through empirical study, we analyse the relationship among stock price premuim, short-sale constrain and heterogeneous belief.Fistly, this paper take advantage of trading data from2010.01to the presence, including A-H stock price premium from the the same company and the turnover data(as the indicator of the degree of heterogeneous belief), to test and verify that the price premium is indeed positively highly correlated with the degree of heterogeneous belief, which verifies the applicability of Miller’s theory in China A-share market. Secondly, this paper conducted future derivation to Miller’s model and came to a sequitur that after the breaking of short-sale constrain, the degree of price descend is positively correlated with the degree of heterogeneous belief. To test and verify it, this paper integrate the nature experiment that begins in2010.03which breaks the short-sale constrain step by step in China A-share market.Besides, this paper also establish an experimental group including A-share stock affected by policy of breaking short-sale constrain and a control group including A-share stock not affected by policy of breaking short-sale constrain. By setting yumy variables and using difference-in-diffrence method, this paper eliminated the effect of other factors and came the following conclusins:①the policy of breaking short-sale constrains in A-share market evidently reduces the A-H price premium;②the degree of premium reduction purely due to the breaking of short-sale constrains is positively highly correlated to the degree of heterogeneous belief.In academic circle, this paper is the first one to make a future inference based on Miller(1977) and came to a sequitur that after the breaking of short-sale constrain, the degree of price descend due to it is positively correlated with the degree of heterogeneous belief. Besides, this paper is also the first one to came to a firm empirical evidence supporting the above sequitur through diffenrence-in-difference method.These are one of the main innovation of this paper.Based on the above achievement.this paper continue to explore what infuence will be put on the above mechanism considering the different performance of the stock marker as a whole.We seperate the Hushen index and Hengsheng index into four mutual exclusion and independent incidents:Hushen goes up; Hengsheng goes up; both go up together; both go down together. Then setting yumy variables to describe them. When those variables were put into the model, with compound difference-in-difference method, it turned out that:whether the incident Hushen goes up happens and whether the incident both go down together happens both have an evidently influnce on the A-H share premium in the same month.Besides, whether only one incident, Hushen goes up happens will have an evidently difference on the extent of influence of the degree of heterogeneous belief on the amount of price reduction due to the breaking of short-sale constrain.
Keywords/Search Tags:heterogeneous belief, Short-sale constrain, A-H premium, Difference-in-Difference
PDF Full Text Request
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