Contents Acknowledgements VII Introduction 1 1. The theory of economic agent's self value 3 Abstract 3 1.1. Introduction 4 1.2. Real economic agent is not expected utility-maximizer 6 1.3. The self value theory 8 1.3.1. Self is never neutral 13 1.3.2. Self is illusory 15 1.4. Applying the theory of self value to existing puzzles 19 1.5. Conclusion 22 Reference 23 2. The development of Chinese stock market and its peculiarities 31 Abstract 31 2.1. Introduction 32 2.2. Brief history of Chinese stock markets 33 2.2.1. The establishment of the stock market in China 33 2.2.2. Launching two modern stock exchanges 34 2.3. Rapid development of the modern Chinese stock market 36 2.3.1. Chinese stock market is already a weak efficient market 38 2.3.1.1. Run test 40 2.3.1.2. C-J ratio test 41 2.3.1.3. Variance ratio test 44 2.4. The peculiarities of Chinese stock market 46 2.4.1. The remarkable disposition effect in Chinese stock market 46 2.4.2. The significant relation between private households' deposit amount and stock market movement 49 2.4.3. The week correlation between Chinese stock market and world major stock markets 52 2.4.4. The strong relation between Chinese stock market's regulation and liquidity 54 2.4.4.1. Introduction 54 2.4.4.2. The history of stock market regulation 57 2.4.4.3. Similarities and dissimilarities of the two exchanges 59 2.4.4.4. Measurement of liquidity 62 2.4.4.5. Turnover ratio and overdue speculation 63 2.4.4.6. The data 64 2.4.4.7. The empirical model 65 2.4.4.8. Summary 77 2.4.5. Chinese institutional investors do not behave like institutional investors 78 2.4.5.1. Introduction 78 2.4.5.2. Chinese institutional investors 81 2.4.5.4. The data 85 2.4.5.5. The empirical models 85 2.4.5.6. Summary 95 2.5. Conclusion 97 Reference 98 3. Momentum and contrarian strategies in Chinese stock market 110 Abstract 110.