Securities trading in multiple markets: the Chinese perspective

This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis

Securities trading in multiple markets : the Chinese perspective

This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

The impact of momentum trades on return comovements and asymmetric volatility in dual listings

We empirically investigate the impact of volume on serial return comovements (continuation vs. reversal) and asymmetric volatility (inverse relation with excess return) of 175 ADRs and their underlying securities in 27 countries. We classify +/-/0 trade momentum days based on a joint distribution of volume and return and determine how momentum affects return comovements and asymmetric volatility. Our VAR estimates confirm asymmetric volume comovements, positive volume return correlations implying continuation, and non-monotonic effects of excess return on volatility among ADRs and their underlying home shares. Return comovements and asymmetric volatility are associated with momentum, size, and liquidity

The impact of momentum trades on return comovements and asymmetric volatility in dual listings

We empirically investigate the impact of volume on serial return comovements (continuation vs. reversal) and asymmetric volatility (inverse relation with excess return) of 175 ADRs and their underlying securities in 27 countries. We classify +/-/0 trade momentum days based on a joint distribution of volume and return and determine how momentum affects return comovements and asymmetric volatility. Our VAR estimates confirm asymmetric volume comovements, positive volume return correlations implying continuation, and non-monotonic effects of excess return on volatility among ADRs and their underlying home shares. Return comovements and asymmetric volatility are associated with momentum, size, and liquidity

Along-strike segmentation of the South China Sea margin imposed by inherited pre-rift basement structures

Multibeam bathymetric, seismic and borehole data are used to investigate a large-scale strike-slip structure, the Baiyun-Liwan Fault Zone, in the northern South China Sea. This fault zone comprises NW- to NE-striking faults and negative flower structures that were generated by oblique extensional displacement. Notably, the interpreted data reveals that the Baiyun-Liwan Fault Zone was active during the Cenozoic, recording intense magmatism, and accommodating significant intraplate deformation during progressive continental rifting and ocean spreading. It bounds two distinct crustal segments and played a significant role in segmenting the northern margin of the South China Sea. The geometry of faults and strata within the Baiyun-Liwan Fault Zone also controlled local sediment routing and depocentre evolution during the Cenozoic. As basement and syn-rift structures change markedly across the Baiyun-Liwan Fault Zone, we propose this structure to be inherited from a lithospheric-scale fault zone separating the Mesozoic arc from forearc-related terrains. We therefore stress the importance of pre-existing structures in the development of rifted margins, with the example provided by the Baiyun-Liwan Fault Zone having profound implications for palaeogeographic reconstructions in the South China Sea. At present, the Baiyun-Liwan Fault Zone is incised by the Pearl River Canyon and eroded by recurrent submarine landslides, forming a major area of sediment bypass towards the abyssal plain

Developing a criteria set for an online learning environment—From the perspective of higher education faculty

Although designing an online course is a difficult task, it is one that is faced by educators almost on a daily basis. There is a lot of pressure to put one\u27s course online and little research is available for the best way to do it. There are course management systems available that aid in the procedural tasks. However, there are no optimal designs or best practices for an online course that could provide guidance to those who are not familiar with technologies. This study was designed to develop a set of criteria for excellence in designing and maintaining online courses, from the perspective of higher education faculty members. A two-fold approach was taken in this study. A group of faculty members brainstormed a list of important factors for optimal online learning environment. A second group of faculty members will then be used to validate the criteria. Factor analysis will be used to analyze the criteria and produce a set of criteria measuring different aspects of excellence in online courses

Analysis of microbial diversity and succession during Xiaoqu Baijiu fermentation using high‐throughput sequencing technology

Abstract In this study, high‐throughput sequencing (HTS) was used to compare and analyze the microbial diversity and succession during the brewing process of xiaoqu Baijiu. A total of 34 phyla and 378 genera of bacteria, as well as four phyla, 32 genera of fungi were detected. At the phylum level, Firmicutes, Proteobacteria, Ascomycota, and Mucoromycota were the dominant groups. During the brewing process of xiaoqu Baijiu, the dominant bacteria were Weissella and unidentified Rickettsiales within the first 2 days of brewing, followed by Lactobacillus at 3 days until to the end of brewing. The dominant fungi were Rhizopus, Saccharomyces, and Issatchenkia. The relative abundance of Rhizopus decreased with the extension of brewing time, while the relative abundance of Saccharomyces increased, and Saccharomyces became the dominant species at the second day of brewing. This study revealed the diversity and changes of the microbial community during the brewing process of xiaoqu Baijiu, providing theoretical support and laying a foundation for future study on the contribution of microbial metabolism during brewing of xiaoqu Baijiu, thereby promoting the development of xiaoqu Baijiu industry

Plant Genotype Shapes the Soil Nematode Community in the Rhizosphere of Tomatoes with Different Resistance to <i>Meloidognye incognita</i>

Soil nematodes are considered indicators of soil quality due to their immediate responses to changes in the soil environment and plants. However, little is known about the effects of plant genotypes on the soil nematode community. To elucidate this, high-throughput sequencing and gas chromatography/mass spectrometry analysis was conducted to analyze the soil nematode community and the structure of root exudates in the rhizosphere of tomatoes with different resistance to Meloidognye incognita. The dominant soil nematode group in the soil of resistant tomatoes was Acrobeloides, while the soil nematode group in the rhizosphere of the susceptible and tolerant tomatoes was Meloidognye. Hierarchical clustering analysis and non-metric multidimensional scaling showed that the three soil nematode communities were clustered into three groups according to the resistance level of the tomato cultivars. The soil nematode community of the resistant tomatoes had a higher maturity index and a low plant-parasite index, Wasilewska index and disease index compared to the values of the susceptible and tolerant tomatoes. Redundancy analysis revealed that the disease index and root exudates were strongly related to the soil nematode community of three tomato cultivars. Taken together, the resistance of the tomato cultivars and root exudates jointly shapes the soil nematode community. This study provided a valuable contribution to understanding the mechanism of plant genotypes shaping the soil nematode community