A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange

Material type: 文書・図像類

Author: Duan, Guoxiほか

Publisher: Graduate School of Economics, Osaka University

Publication date: 2021-12

Material Format: Paper

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Note (General)：: This paper studies market efficiency from weak form aspect using data of Shanghai Stock Exchange composite index (SSEC) and Shenzhen Stock Exchange co...

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Paper

Material Type: 文書・図像類
Title: A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange
Author/Editor: Duan, Guoxi
Tanizaki, Hisashi
Author Heading: Duan, Guoxi
Tanizaki, Hisashi
https://nrid.nii.ac.jp/nrid/1000060248101
Publication, Distribution, etc.: Graduate School of Economics, Osaka University
Publication Date: 2021-12
Publication Date (W3CDTF): 2021-12
Periodical title: Discussion Papers In Economics And Business
No. or year of volume/issue: 21-22
Volume: 21-22
Pages: 1-32
Text Language Code: eng
Subject Heading: stock market
market efficiency hypothesis
random walk
investment strategy
hypothesis test
Target Audience: 一般
Note (General): This paper studies market efficiency from weak form aspect using data of Shanghai Stock Exchange composite index (SSEC) and Shenzhen Stock Exchange composite index (SZSEC) under expected return theory. Some classical methods are used to examine the features of stock returns and a little evidence against mutually independency, random walk of returns, and sub-martingale of stock prices is found. A notion of a new simple statistical test based on information set for judgement of market efficiency is proposed. Through hypothesis tests, evidence indicating inefficient markets around 2008, 2011 and 2018 under expected return theory is found. It is a new finding that SZSEC is more sensitive to information and therefore may be more appealing to investors than SSEC. Moreover, there is an another new finding that when market extends in size the degree of whole market efficiency declines. From the relationship between market efficiency and volatility, volatility is not a very good criterion for market efficiency but some rough rules can be concluded to help investors make their decisions on what time to conduct their own strategies. Finally, the results suggest that it is the time to think about strategies.
References (URI): http://www2.econ.osaka-u.ac.jp/econ_society/dp/2122.pdf
URI
http://www2.econ.osaka-u.ac.jp/econ_society/dp/2122.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華