학술논문
A Study on Market Efficiency with the Indexes of SSEC and SZSEC of China
이용수 4
- 영문명
- A Study on Market Efficiency with the Indexes of SSEC and SZSEC of China
- 발행기관
- 한국유통과학회
- 저자명
- Guo Xi DUAN Hisashi TANIZAKI
- 간행물 정보
- 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 9 No.9, 1~8쪽, 전체 8쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2022.10.31
무료
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국문 초록
영문 초록
This paper studies market efficiency from a weak form aspect using opening and closing prices of the Shanghai stock exchange composite index (SSEC) and Shenzhen stock exchange composite index (SZSEC) under the expected return theory. Classical methods (autocorrelation and runs test) are used to examine the features of stock returns, and little evidence against mutual independence of returns is found. We predict daily returns of SSEC and SZSEC with AR(p) and VAR(p) models (in this paper, p = 5 is taken as a one-week lag) and perform a virtual experiment on two indexes based on the predicted value of daily returns from AR(p) or VAR(p) model. From the results of AR(p) and VAR(p) for two indexes, we attempt to find out how the market efficiency level changes when the information from the other market is under consideration as we check the market efficiency level in one market. We find that SSEC in 2014–2016 and SZSEC in 2015–2016 are inefficient from the result of autocorrelation, that SSEC in 2016 and SZSEC in 2013 are not efficient from the result of runs test, that the stock market is efficient except 2005, 2009, 2010 and 2017 in SSEC and 2005, 2016 and 2017 in SZSEC and that SSEC is more influenced by SZSEC but SSEC influences SZSEC less from the result of the virtual experiment.
목차
1. Introduction
2. Methodology
3. Data
4. Empirical Results
5. Conclusion
References
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