A study of stock price comovements.

Fung Chin-Hung.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.Includes bibliographical references (leaves 82-87).Abstracts in English and Chinese.Abstract --- p.i摘要 --- p.iiAcknowledgement --- p.iiiTable of Contents --- p.ivTables --- p.viFigures --- p.viiAppendices --- p.viiAbbreviations --- p.viiChapter Chapter 1 --- Introduction --- p.1Chapter Chapter 2 --- Literature Review --- p.7Chapter 2.1 --- Views on Comovements --- p.7Chapter 2.2 --- Herding --- p.9Chapter 2.3 --- Stock Price Synchronicity of a Market --- p.10Chapter 2.4 --- Comparison of Two Popular Measures of Stock Price Synchronicity --- p.13Chapter 2.5 --- Factors Affecting Synchronicity of a Market --- p.14Chapter Chapter 3 --- Asymmetric Patterns of Stock Price Comovements --- p.19Chapter 3.1 --- Rationale for Asymmetric Patterns of Stock Price Comovements --- p.19Chapter 3.1.1 --- Difference in the Delay in Response to Bad news and Good News --- p.19Chapter 3.1.2 --- Other Possible Reasons for Asymmetric Patterns of Stock Price Comovement --- p.22Chapter 3.2 --- Detecting Asymmetric Pattern in Comovements --- p.24Chapter 3.2.1 --- Data Construction and Descriptions --- p.27Chapter 3.3 --- Asymmetric Pattern of Comovements --- p.30Chapter 3.4 --- Asymmetry During Extreme Market Movements --- p.32Chapter 3.5 --- The Relationship between Asymmetry and the Short -Selling Restrictions --- p.34Chapter 3.5.1 --- Data of Short Sales Restrictions --- p.35Chapter 3.5.2 --- Results and Interpretations --- p.36Chapter Chapter 4 --- Corporate Governance and Stock Prices Comovements --- p.38Chapter 4.1 --- "Corporate Governance, Ownership Structure and Transparency" --- p.40Chapter 4.2 --- Firm-level Synchronicity Measures --- p.42Chapter 4.3 --- Data Construction --- p.44Chapter 4.4 --- Data Characteristics --- p.45Chapter 4.5 --- Regression Framework and Variable Descriptions --- p.48Chapter 4.6 --- Regression Results and Interpretations --- p.59Chapter 4.6.1 --- Results Using the Sample of Western Europe --- p.60Chapter 4.6.2 --- Results Using the Sample of East Asia --- p.64Chapter 4.6.1 --- Econometric Issues --- p.67Chapter 4.6.2 --- Analysis of the Combined Results --- p.72Chapter Chapter 5 --- Concluding Remarks --- p.78Reference --- p.8