Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency
學年 97
學期 2
出版（發表）日期 2009-04-24
作品名稱 Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency
作品名稱（其他語言）
著者 Hung, Jui-cheng
單位
出版者
著錄名稱、卷期、頁數 The Quarterly Review of Economics and Finance 49(3),　p.843-857
摘要 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.
關鍵字 Variance ratio test;Efficient market hypothesis;Chinese stock markets;Deregulation
語言 en
ISSN 1878-4259
期刊性質 國外
收錄於 SSCI NotTSSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版