Valuing the premium in Chinese stock markets using exchange options
Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008.
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | eng |
| Published: |
Massachusetts Institute of Technology
2009
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/44441 |
| _version_ | 1811084790426763264 |
|---|---|
| author | Curley, Peter J. (Peter Joseph) |
| author2 | Henry Birdseye Weil. |
| author_facet | Henry Birdseye Weil. Curley, Peter J. (Peter Joseph) |
| author_sort | Curley, Peter J. (Peter Joseph) |
| collection | MIT |
| description | Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008. |
| first_indexed | 2024-09-23T12:57:37Z |
| format | Thesis |
| id | mit-1721.1/44441 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T12:57:37Z |
| publishDate | 2009 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/444412019-04-10T23:03:32Z Valuing the premium in Chinese stock markets using exchange options Curley, Peter J. (Peter Joseph) Henry Birdseye Weil. Sloan School of Management. Sloan School of Management. Sloan School of Management. Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008. Includes bibliographical references (leaves 44-45). This paper examines the stock prices of Chinese companies dual-listed in the A and H share markets between January 2006 and March 2008. While most previous studies have concluded that the A share market does not have significant exposure to the Hong Kong market, I find that following the introduction of the Qualified Domestic Institutional Investor regime in May 2006 the premium in the A share market corresponds closely with the value of an exchange option calculated using a modified version of Margrabe's formula. The explanation for this result is simply that the current prices of dual-listed securities in Shanghai are reflecting both a fundamental value for the security and the expected value of arbitrage profits available by trading in Hong Kong. I consider the theoretical basis for this result by reference to recent work in behavioral finance by DeMarzo, Kaniel and Kremer (2004) and (2007), and discuss the implications for both policymakers and traders. by Peter J. Curley. M.B.A. 2009-01-30T16:47:10Z 2009-01-30T16:47:10Z 2008 2008 Thesis http://hdl.handle.net/1721.1/44441 294908357 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 58 leaves application/pdf a-cc--- Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Curley, Peter J. (Peter Joseph) Valuing the premium in Chinese stock markets using exchange options |
| title | Valuing the premium in Chinese stock markets using exchange options |
| title_full | Valuing the premium in Chinese stock markets using exchange options |
| title_fullStr | Valuing the premium in Chinese stock markets using exchange options |
| title_full_unstemmed | Valuing the premium in Chinese stock markets using exchange options |
| title_short | Valuing the premium in Chinese stock markets using exchange options |
| title_sort | valuing the premium in chinese stock markets using exchange options |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/44441 |
| work_keys_str_mv | AT curleypeterjpeterjoseph valuingthepremiuminchinesestockmarketsusingexchangeoptions |