Doctoral thesis of Philosophy: The diversification benefits and the risk and return relationships in the Chinese A-share market

With a view of providing investors with a better understanding of the risk and return relationship in the A-share market over the past decade, this thesis adapts several empirical models to the circumstances in China and conducts four empirical analyses. The analysis is undertaken employing the returns on the Chinese A-share market, the Chinese B-share market and the Hong Kong H-share market together with a series of developed stock markets. It emphasizes the diversification potential in the A-share market and investigates the role of a domestic beta, some global betas and several firm-specific characteristics in explaining stock variations in A-shares.