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Which Factors Explain Stock Returns on the Shanghai Stock Exchange Market?: A Panel Data Analysis of a Young Stock Market
KTH, School of Industrial Engineering and Management (ITM), Industrial Economics and Management (Dept.), Industrial Economics and Management (Div.).
2012 (English)Independent thesis Advanced level (degree of Master (Two Years)), 30 credits / 45 HE creditsStudent thesis
Abstract [en]

This paper studies factors that influence the stock return on the Shanghai Stock Exchange (SSE) market. To achieve this goal, a stock-fixed effects model is estimated using a panel data sample comprising 100 companies listed on the SSE market during the 72-month period from January 2002 to December 2007. I find that number of trades and book-to-market value in both up and down markets have a significant and positive impact on stock returns during the studied period, whereas stock returns were negatively affected by systematic risk in both up and down markets although less so in up markets. Price to earnings ratio did not show any significant effect on stock returns on the SSE. My overall results indicate that SSE did not satisfy the efficient market hypothesis 1 during the studied period from January 2002 to December 2007.

Place, publisher, year, edition, pages
2012. , 32 p.
Series
Examensarbete INDEK, 2012:24
Keyword [en]
Panel data analysis, CAPM, Shanghai Stock Exchange market, stock return, systematic risk, book-to-market value, number of trades
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-98085OAI: oai:DiVA.org:kth-98085DiVA: diva2:535327
Subject / course
Economics of Innovation and Growth
Educational program
Degree of Master - Economics of Innovation and Growth
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-06-29 Created: 2012-06-19 Last updated: 2012-06-29Bibliographically approved

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A Panel Data Analysis of a Young Stock Market(403 kB)2175 downloads
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Type fulltextMimetype application/pdf

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Industrial Economics and Management (Div.)
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf