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Empirical Research On Semi-strong Efficient Hypothesis In China Market

Posted on:2005-03-16Degree:MasterType:Thesis
Country:ChinaCandidate:Y L LiuFull Text:PDF
GTID:2156360125958593Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Efficient financial market is such market, in witch its bonds' prices always affect the information that we can gotten. When this hypothesis is well-known, Fama(1970) build a new idea that the non-time-efficient information can't make profit, and he divide this information into three types, and on basis of this theory, he put forward three-type efficient: weak-strong efficient ,semi-strong efficient and strong efficient. In the semi-strong market, we can't get any extra profit by any public information.In financial market, capital reorganization often interview with listed companies' capital structure change and business orientation adjustment, and have important influent on the companies' earning ability. The bond's price and the bond market are fair to every investors or not, which is decided by whether the information about reorganization is full public on time. In this paper, we try to study two points: In the first part, we use the bond market's reaction to capital reorganization event to test whether our market is semi-strong or not. In the second part, we use time-series analysis to find whether the Chinese bond market's efficiency is improved step by step when the bond law forwards.Through our study, we can make some decisions: First, on the basis of research of capital reorganization event's proclaim effect, we can conclude our market efficiency is unstable and our bond market have a newly market's character. Second, from the time- series analysis, investors' attitude was followed by that order: optimism, wariness and pessimism. Third, bond law has some impaction on improvement of market efficiency. Fourth, different types of capital reorganization have different influent on the company value. That is the company capital's selling can make its value up, exchange of the company's capital has little influence on it, buying the capital has negative influence on it.
Keywords/Search Tags:Efficient Market Hypothesis, Semi-strong Efficient, Capital Reorganization, Event Study
PDF Full Text Request
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