A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange

Duan, Guoxi; Tanizaki, Hisashi

Discussion Papers In Economics And Business, 2021, 21-22, 1-32

Number of Access:308（2025-08-15 06:45 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/11094/85467

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Title
A Study on Market Efficiency Using Data from Shanghai Stock Exchange and Shenzhen Stock Exchange
Creator
CreatorName
Duan, Guoxi
NRID
1000060248101 1000060248101
researchmap permalink
read0034558 read0034558
Scopus Author ID
7004095028 7004095028
CreatorName
Tanizaki, Hisashi
Subject
stock market
market efficiency hypothesis
random walk
investment strategy
hypothesis test
Abstract
This paper studies market efficiency from weak form aspect using data of Shanghai Stock Exchange composite index (SSEC) and Shenzhen Stock Exchange composite index (SZSEC) under expected return theory. Some classical methods are used to examine the features of stock returns and a little evidence against mutually independency, random walk of returns, and sub-martingale of stock prices is found. A notion of a new simple statistical test based on information set for judgement of market efficiency is proposed. Through hypothesis tests, evidence indicating inefficient markets around 2008, 2011 and 2018 under expected return theory is found. It is a new finding that SZSEC is more sensitive to information and therefore may be more appealing to investors than SSEC. Moreover, there is an another new finding that when market extends in size the degree of whole market efficiency declines. From the relationship between market efficiency and volatility, volatility is not a very good criterion for market efficiency but some rough rules can be concluded to help investors make their decisions on what time to conduct their own strategies. Finally, the results suggest that it is the time to think about strategies.
Publisher
Graduate School of Economics, Osaka University
Source Title
Discussion Papers In Economics And Business
Volume (Issue)
21-22
Page
1-32
Date of Issued
2021-12
Language
English
Handle URL
https://hdl.handle.net/11094/85467
NCID
AA1160366X
Relation.references
URI
http://www2.econ.osaka-u.ac.jp/econ_society/dp/2122.pdf
Access Rights
metadata only access
Category
ディスカッション／ワーキング・ペーパー DP/WP
Discussion Papers In Economics And Business