کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979022 933317 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Analysis of market efficiency for the Shanghai stock market over time
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Analysis of market efficiency for the Shanghai stock market over time
چکیده انگلیسی

In this paper, we analyze market efficiency for the Shanghai stock market over time using a model-free method known as multifractal detrended fluctuation analysis. Through analyzing the change of scale behavior, we find that the price-limited reform improved the efficiency in the long term, but the influence in the short term was very minor. Employing the method of moving window, using three different measures we find that the Shanghai stock market became more and more efficient after the reform. We also implement the same procedure on volatility series and find the evidence of inefficiency.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 8, 15 April 2010, Pages 1635–1642
نویسندگان
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