Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 邓克勤教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S1049-0078(03)00097-6 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/25Scopus source URL
其它资讯
摘要This paper examines the weak market efficiency and the role of the banks in the Chinese stock market. We consider both A and B shares traded on the Shanghai and Shenzhen stock exchanges using daily data for seven indexes for the period 1992-2001. We begin by an examination of the weak EMH and find evidence of departures from weak efficiency in the form of predictability of returns on the basis of their own past values. Over the period as a whole this was most marked for the B shares in both the exchanges and absent altogether in the index for the 30 leading stocks on the Shanghai market, suggesting that previously reported predictability may simply reflect thin trading. We go on to examine whether the efficiency was affected when banks were excluded from the stock market in 1996 and subsequently re-admitted in early 2000. We find that efficiency tended to be adversely affected when the banks were excluded. ? 2003 Elsevier Inc. All rights reserved.
着者Groenewold N., Tang S.H.K., Wu Y.
期刊名称Journal of Asian Economics
出版年份2003
月份8
日期1
卷号14
期次4
出版社Elsevier BV
出版地Netherlands
页次593 - 609
国际标準期刊号1049-0078
语言英式英语
关键词Banks, Chinese stock market, Efficient markets hypothesis, Predictability
