淡江大學機構典藏:Item 987654321/126745
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    题名: Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency
    作者: Hung, Jui-cheng
    关键词: Variance ratio test;Efficient market hypothesis;Chinese stock markets;Deregulation
    日期: 2009-04-24
    上传时间: 2025-03-20 09:22:36 (UTC+8)
    出版者: Elsevier
    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.
    關聯: The Quarterly Review of Economics and Finance 49(3),　p.843-857
    DOI: 10.1016/j.qref.2009.04.005
    显示于类别:[財務金融學系暨研究所] 期刊論文

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