کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
983445 1480467 2009 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency
چکیده انگلیسی

This study employs single and multiple variance ratio tests to reexamine the weak-form efficient market hypothesis (EMH) of A- and B-shares on the Shanghai and Shenzhen exchanges in Chinese stock market. The study also examines the influence of the release of investment restriction of B-share markets on market efficiency. For the whole sample period, the weak-form EMH is only supported for Shanghai A-shares, and is not supported for the remaining shares. For the sub-sample period, the Shenzhen A-share and B-shares of both exchanges being rejected for the weak-form EMH in the earlier sample period are supported following the regulatory change. Rolling multiple variance ratio test statistic values provide additional evidence of weak-form EMH. The improvement of market efficiency can be explained by the increased liquidity and maturity accompanying deregulation and liberalization.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 3, August 2009, Pages 843–857
نویسندگان
,