Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.chieco.2011.08.003 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/8WOS source URL
其它资讯
摘要Groenewold et al. (2004) documented that the Chinese stock market is inefficient. In this paper, we revisit the efficiency problem of the Chinese stock market using time-series model based trading rules. Our paper distinguishes itself from previous studies in several aspects. First, while previous studies concentrate on the viability of linear forecasting techniques, we evaluate the profitability of the forecasts of the self-exciting threshold autoregressive model (SETAR), and compare it with the conventional linear AR and MA trading rules. Second, the findings of market inefficiency in earlier studies mainly rest on the statistical significance of the autocorrelation or regression coefficients. In contrast, this paper directly examines the profitability of various trading rules. Third, our sample covers an extensive period of 1991-2010. Sub-sample analysis shows that positive returns mainly concentrate in the pre-SOE reform period, suggesting that China's stock market has become more efficient after the reform. (C) 2011 Elsevier Inc. All rights reserved.
着者Chong TTL, Lam TH, Yan IKM
期刊名称China Economic Review
出版年份2012
月份3
日期1
卷号23
期次1
出版社Elsevier
页次122 - 137
国际标準期刊号1043-951X
电子国际标準期刊号1http://aims.cuhk.edu.hk/converis/portal/Publication/873-77http://aims.cuhk.edu.hk/converis/portal/Publication/81
语言英式英语
关键词Bootstrapping; Efficient market hypothesis; SETAR model; SOE reform
Web of Science 学科类别Business & Economics; Economics; ECONOMICS
