期刊論文
| 學年 | 97 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2009-04-24 |
| 作品名稱 | Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency |
| 作品名稱（其他語言） | |
| 著者 | Hung, Jui-cheng |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | The Quarterly Review of Economics and Finance 49(3), p.843-857 |
| 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. |
| 關鍵字 | Variance ratio test;Efficient market hypothesis;Chinese stock markets;Deregulation |
| 語言 | en |
| ISSN | 1878-4259 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI NotTSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126745 ) |