Contents -- Preface -- Chapter 1 Development of Chinese Stock Markets -- 1.1 Introduction -- 1.2 Setting the Scene: Shanghai and Shenzhen in the Early Reform Period -- 1.3 The Establishment of Secondary Markets -- 1.4 The Participation of International Investors -- 1.5 The Role of Mutual Funds and Other Institutional Investors -- 1.6 After the Fifteenth National Congress: Increasing Reversal to Capitalism -- 1.7 Problems and Dilemmas -- Chapter 2 Structural and Institutional Characteristics -- 2.1 Introduction -- 2.2 Regulatory Framework -- 2.2.1 Organizations in Charge -- 2.2.2 Securities Laws and Regulations -- 2.3 Ownership structure -- 2.4 Listing Standards and Procedures -- 2.4.1 Requirements for Stock Listings -- 2.4.2 Procedures for Stock Listing -- 2.5 Market Microstructure -- 2.5.1 Registration of Stock Dealers -- 2.5.2 General Rules for Trading -- 2.5.3 Takeover of Listed Companies -- 2.5.4 Settlement Clearing and Payment System -- 2.5.5 Accounting System -- 2.5.6 Taxes and Fees -- 2.5.7 Suspension and Termination of Listed Companies -- Chapter 3 Risk Return and Regulation in Chinese Stock Markets -- 3.1 Introduction -- 3.2 Stock-Market Return and Volatility Pattern -- 3.3 Day-of-the-Week Effect -- 3.3.1 Analysis of Variance Approach -- 3.3.2 Moving Average Approach -- 3.4 Market Efficiency Hypothesis -- 3.4.1 Random Walk Hypothesis -- 3.4.2 Cointegration-Based Market Efficiency -- 3.5 GARCH Models -- 3.5.1 Model Specification -- 3.5.2 Characterizing Variance in Chinese Stock Markets -- 3.5.3 World Versus Local Factors in Volatility -- 3.6 Estimation and Empirical Results -- 3.6.1 Model Comparison -- 3.6.2 Parameter Estimates -- 3.7 Government Regulation and Market Volatility -- 3.8 Volatility Asymmetry and Spill-over -- 3.8.1 A Partial Adjustment Model with Asymmetries.

3.8.2 Asymmetric Behavior on Returns and Volatility -- 3.8.3 Stock-Market Volatility Spill-over Between Mainland China and Hong Kong -- 3.9 Summary -- Chapter 4 Ownership Restrictions and Foreign Shares Discount -- 4.1 Introduction -- 4.2 Ownership Restrictions in Chinese Stock Markets -- 4.3 A Price Discrimination Model -- 4.3.1 Modeling Ownership Restrictions -- 4.3.2 Investors' Maximization Problems -- 4.3.3 Firms' Maximization Problems -- 4.3.4 Corner Solutions for Domestic Firms' Maximization Problems -- 4.3.5 Relaxing Ownership Restrictions -- 4.4 An Intertemporal Capital Asset Pricing Model -- 4.4.1 Stock Price and Return Dynamics -- 4.4.2 Intertemporal Maximization by Domestic Investors -- 4.4.3 Intertemporal Maximization by Foreign Investors -- 4.5 Testable Implications From the Models -- 4.6 Empirical Results -- 4.6.1 Estimating Betas -- 4.6.2 Errors-in-Variables and Tests for B-share Premiums -- 4.6.3 Idiosyncratic Variance Effect and Firm Size Effect -- 4.7 Summary -- Chapter 5 Excess Volatility in Domestic Share Markets -- 5.1 Introduction -- 5.2 A Modified Mixture of Distribution Approach -- 5.3 Estimation: Generalized Method of Moments -- 5.4 Data Adjustments -- 5.5 Empirical Results -- 5.6 Cross-Sectional Analysis -- 5.7 Time-Series Analysis -- 5.8 Summary -- Chapter 6 The Underpricing of Initial Public Offerings -- 6.1 Introduction -- 6.2 The New-issue and Offering Process -- 6.3 The Role of Financial Variables in the Pricing of IPOs -- 6.3.1 The Chinese Data -- 6.3.2 A Benchmark Regression -- 6.4 The Adverse-Selection Models -- 6.5 The Signaling Models -- 6.5.1 Empirical Implications from the Signaling Models -- 6.5.2 Correlation Between IPO Returns and IPO Proceeds.

6.5.3 Correlations Among IPO Underpricing and Issuer's Intrinsic Value Fractional Ownership and Project Variance -- 6.5.4 IPO Underpricing and SEOs -- 6.6 Bribery and Lottery Hypotheses of IPO Underpricing -- 6.6.1 Bribery Hypothesis: Underpricing of Chinese IPOs are Gifts to Public Officials or Favored Purchasers -- 6.6.2 Lottery Hypothesis: Lottery Mechanism in Share Allocation Contributes to High IPO Underpricing -- 6.7 Underpricing of Foreign-Share IPOs -- 6.8 Long-run Performance of IPOs -- 6.9 Summary -- Chapter 7 Corporate Governance and Post-IPO Financing -- 7.1 Shareholders' Behavior and Corporate Governance -- 7.1.1 Organizational Structure and Board Composition -- 7.1.2 The Role of Government -- 7.1.3 Ownership Concentration and Firms' Performance -- 7.2 Political Costs and Agency Costs of Equity Financing -- 7.2.1 The Failure of Management Responsibility Contract System -- 7.2.2 Cooperative Shareholding System -- 7.3 Choices of Post-IPO Financing -- 7.3.1 Soft Budget Constraints and The Role of Debt -- 7.3.2 Costs of Equity -- 7.4 The Information Content of Different Financing Choices -- 7.5 Institutional Transformation to Improve Corporate Governance -- 7.5.1 Privatization -- 7.5.2 Denationalization -- 7.5.3 Diversification -- 7.6 Summary -- Chapter 8 Accounting Information and Stock Performance -- 8.1 Introduction -- 8.2 Roles of Financial Disclosure for Performance Evaluation -- 8.3 Corporate Disclosures Made by Listed Chinese Companies -- 8.3.1 A Brief History of Accounting Development -- 8.3.2 Financial Reporting Practices -- 8.3.3 Capital Market Infrastructure -- 8.4 Stock Returns Around Earnings Releases -- 8.4.1 Information Content Analysis -- 8.4.2 Earnings Announcements and Stock Price Reactions in China -- 8.5 Why Domestic Investors Over-react to Earnings Release?.

8.5.1 Government and Management as Informed Investors -- 8.5.2 Investors' Sentiments -- 8.5.3 Market Valuation and Transparency -- Chapter 9 Internationalization of Chinese Stock Markets -- 9.1 Foreign Investment in Domestic B-Share Market -- 9.1.1 Market Microstructure Issues -- 9.1.2 Risks Involved -- 9.2 Overseas Listing of Chinese Stocks -- 9.2.1 Cross-Listing of H-Shares -- 9.2.2 Red Chips Rising -- 9.2.3 Overseas Listing in the U.S. U.K. and Singapore -- 9.3 Concerns That Emerged -- 9.3.1 Market Segmentation and Foreign Exchange Control -- 9.3.2 A Lack of Foreign Participation and Competition in Financial Markets -- 9.4 China Moving Toward World Capital Market: Strategic Issues and Options -- 9.4.1 Enhancing the Interest of Overseas Investors -- 9.4.2 Improving the Role of Financial Intermediaries -- 9.4.3 Introducing Insurance Capital to Securities Market -- 9.4.4 Strengthening China Investment Funds -- 9.4.5 Reforming Pension System -- 9.5 Liberalization of Capital Movements -- 9.5.1 What the Theory Says -- 9.5.2 China's Experience -- 9.5.3 Policy Issues -- Appendix A Securities Law -- A.1 Introduction -- A.2 The Role of the Stock Market -- A.3 Regulating the Chinese Stock Market -- A.4 Capital Formation -- A.5 Securities Trading and Information Disclosure -- A.6 Acquisitions -- A.7 Market Infrastructure -- A.8 Investor Protection -- A.9 Overseas Markets -- A.10 The Role of Lawyers -- A.11 Summary -- Appendix B Summary of P.R.C. Taxes -- Appendix C Major Events in Chinese Stock Markets -- Bibliography -- Index.