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035    (UMI)AAI3295069 
040    UMI|cUMI 
100 1  Leung, Chung Ho 
245 10 Investor protection and liquidity replenishment 
300    308 p 
500    Source: Dissertation Abstracts International, Volume: 69-
       01, Section: A, page: 0320 
500    Adviser: Raymond So 
502    Thesis (Ph.D.)--The Chinese University of Hong Kong (Hong 
       Kong), 2007 
520    The purpose of this dissertation is to examine the 
       importance of investor protection for the dynamics between
       liquidity provision and transitory volatility in a pure 
       order-driven market. I posit that environments with better
       investor protection lead to a more stable ecological 
       system of the supply and the demand of liquidity 
520    In this dissertation, data on the Hong Kong Exchange 
       (HKEx) are employed. The Hong Kong equity market lists 
       companies from distinct investor protection environments. 
       These companies are traded under the same market mechanism
       even though they have different levels of legal protection
       for investors e.g. Hang Seng Index (HSI) Constituents 
       versus H-shares/red chips. The HKEx is also a very good 
       example of pure order driven markets. Stock prices are 
       determined by the buy and sell orders submitted by traders
       without liquidity providers of the last resort. Therefore,
       the Hong Kong equity market provides a unique opportunity 
       to compare the liquidity replenishment process across 
       diverse regulatory environments, but still under one pure 
       order driven market trading with the same mechanism and 
       currency. The choice of Hong Kong data is also justified 
       on the grounds of the size of the Hong Kong market and the
       increasing importance of Hong Kong in worldwide financial 
520    This dissertation has five chapters. Chapter 1 is the 
       introduction that covers the motivation and major findings
       of the dissertation 
520    Chapter 2 provides the literature survey on investor 
       protection and liquidity provision. Work in related 
       studies and the latest developments in these areas are 
520    Chapter 3 coven the institutional details of the Hong Kong
       stock market and the specification of datasets. The 
       descriptive statistics of the trading activities of the 
       sample companies are also presented. An understanding of 
       these descriptive statistics is useful in choosing the 
       appropriate theoretical model and econometric techniques 
       in the analysis. Apart form using regression analysis to 
       investigate the impacts of transitory volatility on market
       depth and order-flow composition; additional control 
       measures are also implemented. For instance, matched 
       samples based on market depth, transitory volatility, 
       daily trading volume, etc. are constructed. Statistical 
       Tests are employed to investigate the influence of 
       investor protection 
520    Chapter 4 presents the results of the regression models. 
       Apart form investigating the impacts of transitory 
       volatility on market depth and order-flow composition, 
       this chapter also contributes to the literature by 
       examining the distinction (of this interaction) between 
       companies under different regulatory environment. It is 
       found that the liquidity replenishments for Hong Kong-
       based companies are more rapid than their Chinese 
       counterparts. The results show that companies ruled by 
       strict governance regulations provide more liquidity when 
       liquidity is most needed. Additional test results also 
       suggest that this difference is robust to various control 
520    Chapter 5 gives the summary and conclusions 
590    School code: 1307 
590    DDC 
650  4 Economics, Finance 
690    0508 
710 2  The Chinese University of Hong Kong (Hong Kong) 
773 0  |tDissertation Abstracts International|g69-01A 
856 40 |uhttp://pqdd.sinica.edu.tw/twdaoapp/servlet/