Asian money markets entered the financial crisis in better shape than markets in other regions due to a substantial build-up of savings and liquidity in their banking systems, as well as a greater domestic focus in most of the region’s markets. However, despite the higher liquidity and lower levels of global integration, the effects of the crisis in Asia were severe and followed a similar path observed in international markets. The further development of money markets, particularly in less developed economies, will require policies and initiatives that add liquidity and depth to attract broader participation from both domestic and international investors—including regional cooperation, a robust regulatory architecture, and foreign competition to expedite the development of less developed money markets. Risk management and liquidity assumptions also need to be enhanced to establish buffers that will withstand more severe and prolonged external shocks and disruptions to external financing.

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The Financial Crisis and Money Markets in Emerging Asia

During the 1990s, China's stock market was subordinated to industrial policy and as a result it did not facilitate the privatisation of listed firms. The majority of listed companies' shares were non-tradable and held by state organs. However, since 1997 an off-exchange market in these non-tradable shares has developed. State entities are deciding, in ever-greater numbers, to sell their holdings to private investors, and control rights over the firms involved often change as a result. This market is facilitating corporate restructuring which should lead to improved firm performance. This paper provides a sustained analysis of the non-tradable share market and reviews evidence on the impact of privatisation on firm performance.

The Privatisation Two-step at China's Listed Firms

In this article, we examine four specific hypotheses relating to commonality in liquidity on the Chinese stock markets. These hypotheses are (1) that market-wide liquidity determines liquidity of individual stocks; (2) that liquidity varies with firm size; (3) that sectoral-based liquidity affects individual stock liquidities differently; and (4) that commonality in liquidity has an asymmetric effect. Drawing on a two-year data set on the Shanghai and Shenzhen stock exchanges comprising over 34 million and 48 million transactions, respectively, we find strong support for commonality in liquidity and a greater influence of industry-wide liquidity in explaining liquidity of individual stocks. Moreover, our results suggest that of the three main sectors—financial, industrial, and resources—the industrial sector’s liquidity is most important in explaining individual stock liquidities. Finally, we do not find any evidence of size effects and document an asymmetric effect of market-wide liquidity on liq...

Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market

Publisher's version available on http://www.aabri.com/manuscripts/121167.pdf,This study investigates the Arbitrage Pricing Theory for the case of Zimbabwe using time
series data from 1980 to 2005 within a vector autoregressive (VAR) framework. The Granger
causality tests are conducted to establish the existence of causality among the variables like
inflation, exchange rate and Gross Domestic Product. The VAR estimates as shown by the
impulse response and variance decomposition together with the Granger causality test show that
there is unidirectional causality from Consumer Price Index to Stock Prices. Although the
Granger causality test has indicated that there is no causality between RGDP and Stock Prices,
the variance decomposition has shown that the real GDP explains deviations in the Stock Prices
in the long run. Granger causality tests found no meaningful relationships between Stock Prices and Exchange Rate but considering impulse response functions the effect is significant as early as the first period.,AABRI

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An Empirical Investigation of Arbitrage Pricing Theory: A case Zimbabwe

Purpose – The purpose of this paper is to examine the evolution of China's securities market regulation from 1980 to 2007 and the dual role of the government in this process.Design/methodology/approach – When the government is simultaneously the owner and regulator of the securities market, the evolution of securities market regulation follows a path of compulsory institutional change. China's Government authorities have played a dual role in this process by acting both as the securities market regulator and the controlling owner of the stock exchanges. The paper uses the evolution of China's securities market regulation from 1980 to 2007 to illustrate this theoretical framework.Findings – Using the case of China, this paper provides unique evidence of how securities regulation evolves in response to government direction and supervision if the government is both the owner and the regulator of the securities market.Originality/value – The paper offers insight into issues of securities market regulation in ...

The dual role of the government: securities market regulation in China 1980-2007

China has a highly active informal market in shares. The shares of over 1,000 companies are traded and some 3m investors take part in a market in corporate equities organised in various locales outside the two stock exchanges in Shanghai and Shenzhen. China's informal share market has appeared in a number of different guises since the establishment of the stock market in the late 1980s, partly as a result of the government's restrictions as to which type and what number of firms can publicly issue shares. While the central government has at various times attempted to close down these informal markets, they continue to flourish as shareholding firms seek to raise capital and owners of firms seek to transfer their ownership rights outside the bounds of the formal financial sector. This suggests that the government should move to formalise these markets, a move that would recognise the incipient demand for shares and allow the government to introduce a basic regulatory framework for a market which evidently can not be easily suppressed. This paper is divided into three parts. The first provides a brief historical overview of the development of informal share markets in reform China, from the kerb markets of the mid-1980s to the Internet-based brokers of 2003. The second section looks in detail at the organisation of the market today; how shares are issued, traded and settled. Third, and last, the paper identifies the problems inherent in the market at present and outlines the possibilities for its future.

Ti Liu

Papers

China's Informal Stock Market: How it Developed, how it Works and how it Might Grow