LEADER 00000nam 2200373 4500
001 AAI3295069
005 20080530105920.5
008 080530s2007 ||||||||||||||||| ||eng d
020 9780549400806
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
market
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
reviewed
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
criteria
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
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