Testing the Weak Form of Efficiency on Chinese Stock Market

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Testing the Weak Form of Efficiency on Chinese Stock Market

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Testing the Weak Form of Efficiency on Chinese Stock Market

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

8

Strana od-do

669-677

Název nakladatele

Masarykova univerzita

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

27. 6. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000385692200089