Which Factors Explain Stock Returns on the Shanghai Stock Exchange Market?: A Panel Data Analysis of a Young Stock Market
Independent thesis Advanced level (degree of Master (Two Years)), 30 credits / 45 HE creditsStudent thesis
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.
Examensarbete INDEK, 2012:24
Panel data analysis, CAPM, Shanghai Stock Exchange market, stock return, systematic risk, book-to-market value, number of trades
Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-98085OAI: oai:DiVA.org:kth-98085DiVA: diva2:535327
Subject / course
Economics of Innovation and Growth
Degree of Master - Economics of Innovation and Growth
UppsokSocial and Behavioural Science, Law
Thulin, Per, Professor