Testing the Weak Form of Efficiency on Chinese Stock Market

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86098394" target="_blank" >RIV/61989100:27510/16:86098394 - isvavai.cz</a>

Result on the web

<a href="https://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_19_final.pdf" target="_blank" >https://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_19_final.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Testing the Weak Form of Efficiency on Chinese Stock Market

Original language description

Efficient market hypothesis is one of possible analytical approaches to analyse a behavior of equities on financial markets. The basic idea of the efficient market hypothesis is based on determination of asset prices by relevant information. Thus, it is assumed that efficient market fully and accurately reflects all relevant information. The efficient market hypothesis has been a subject of many investigations that applied different approaches and methods. In this paper, we focused on testing the efficient market hypothesis in its weak form using data from Chinese stock market. Since China belongs to the world's largest economies the special aim of this paper is also to analyze empirically a potential influence of the global financial crisis of 2007-2009 years on the weak form of efficiency of the Chinese stock market. For the purpose of this paper there will be compared efficiency of Shanghai and Hong Kong stock markets in the form of random walk model using both linear and nonlinear statistical tests. These statistical tests delivered different results for both Hang Seng and Shanghai Composite indexes in all sub-periods. Hong Kong stock market became inefficient during the global financial crisis. Contrary to that, efficiency of Shanghai stock market in the crisis period cannot be explained by rational economic arguments.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

European Financial Systems 2016: proceedings of the 13th international scientific conference : June 27-28, 2016, Brno, Czech Republic

ISBN

978-80-210-8308-0

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

669-677

Publisher name

Masarykova univerzita

Place of publication

Brno

Event location

Brno

Event date

Jun 27, 2016

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

000385692200089