An empirical analysis of the equity markets in China

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Abstract

This paper subjects the newly established stock markets in Shanghai and Shenzhen to tests of market efficiency, utilizing daily stock price data. Using a battery of tests, the study concludes that there are significant inefficiencies present on both exchanges. These can be traced to the unique structural and institutional problems that plague both exchanges. The study also tests for the presence of seasonal anomalies on both exchanges. The results show that there are significant negative weekend and positive holiday effects, but there is no evidence of a January effect or early January effect.

Original languageEnglish (US)
Pages (from-to)41-60
Number of pages20
JournalReview of Financial Economics
Volume8
Issue number1
DOIs
StatePublished - Jun 1999

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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