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
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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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
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 8, 15 April 2010, Pages 1635–1642
نویسندگان
Yudong Wang, Li Liu, Rongbao Gu, Jianjun Cao, Haiyan Wang,