A Study on the Efficiency of Stock Markets in China: Comparative Analysis among Three Exchanges

• 발행기관: 한국자료분석학회
• 저자명: 김용민(Yong-Min Kim) 권예경(Ye-Kyung Kwon)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.21 No.5, 2253~2264쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2019.10.31

영문 초록

This paper examines and compares the efficiency of the Chinese stock exchange markets with its Shanghai, Shenzhen and Hong Kong stock exchanges for the period 2016-2018. The daily returns of the market indices and 30 stocks including the top 10 largest market capitalization stocks in each market are used to test the random walk hypothesis using the Lo-MacKinlay variance ratio tests and multiple variance ratio tests. The results of the study reveal that the daily return of Hong Kong stock market index followed the random walk process while the indices of the two mainland stock markets are believed not to follow the random walk, indicating that the Hong Kong stock market is weak-form efficient while the two other stock markets are not. As for the individual stocks listed on the three stock exchange markets, all the sample stocks in the Hong Kong stock market are shown to be weak-form efficient whereas evidence of weak-form informational inefficiency was found in sample stocks in both Shanghai and Shenzhen stock markets.

목차

1. Introduction

2. Methodology

3. Data analysis

4. Empirical results

5. Summary and conclusions

References

키워드

Chinese stock market efficient market hypothesis multiple variance ratio tests random walk process