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China's Stock Market Efficiency Study

Posted on:2002-08-05Degree:DoctorType:Dissertation
Country:ChinaCandidate:Y G ZhouFull Text:PDF
GTID:1116360062475209Subject:Finance
Abstract/Summary:PDF Full Text Request
The dissertation subjects China's stock markets to tests of market efficiency, based on intuitive judgment, empirical and theoretical analysis. The study concluded that there are significant inefficiency present on Shanghai and Shenzhen stock exchanges. These can be traced to unique institutional problems that plague their evolution in the backdrop of China's stock markets. The dissertation is organized as follows.Section 1 gives an overview of China's economic reforms with the framework of institutional change and draws some concluding remarks that are theoretical guidance for research on China's stock markets.Section 2 portrays evolution and development of China's stock markets, a typical case study of China's economic reforms. It is the first to put forward the Hypothesis of Three Stages concerning institutional change of China's stock markets.Section 3 assesses the performance of China's stock markets. It is no doubt that there are great achievements in the last two decades. On the other hand, it appears that China's stock markets are not intuitively efficient, using statistical profile.Section 4 discusses Efficient Market Hypothesis and adopts a new tool, Generalized Spectral Analysis, for empirical research. The results obtained here cast some new sight on this topic. The China's stock markets are not weakly efficient.Section 5 utilizes several ideologies on market efficiency to explore the China's stock markets. The substandard schools, such as Technical Analysis, Chaos, Noises and Microstructure Theory, Behavioral Finance, can be divided into four categories, hi highlight of these theories, the author aims to depict a Chinese model to explain market inefficiency, especially form micro-utility base perspective. Anyway, there is still a long way to go.Section 6 summarizes the China's stock markets are not efficient based on statistical, empirical and theoretical evidences. The fundamental reason is due to path independence of institutional change.
Keywords/Search Tags:China's stock markets, Eefficiency
PDF Full Text Request
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