Download or read book An Empirical Study on Evolving Market Efficiency for China s Stock Markets written by Xiao-Ming Li and published by . This book was released on 2000 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Chinese Stock Market written by Nicolaas Groenewold and published by Edward Elgar Publishing. This book was released on 2004-01-01 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: '. . . this book succeeds in its mission of analysing the efficiency, predictability and profitability of the Chinese stock market. It is strongly recommended to scholars. It is additionally recommended to practitioners involved in the market, sharing its prosperity and avoiding the possible risk. This book is also recommended to the students who want to learn the systematic application of econometric modelling to market efficiency analysis.' - Shiguang Ma, Economic Record The emergence of a stock market in China only occurred a decade ago and it remains something of an unknown quantity to many observers and traders outside of the country. This book provides an extensive historical and empirical analysis of the Chinese stock-market, the development of which is an integral part of the process of economic modernization that began in China in the late 1970s.
Download or read book The Evolution of the Stock Market in China s Transitional Economy written by Jianxun Chen and published by Edward Elgar Publishing. This book was released on 2002-01-01 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'The book The Evolution of the Stock Market in China's Transitional Economy by Chien-Hsun Chen and Hui-Tzu Shih offers valuable insights into the evolution and development of the Chinese stock market. The book was written with an important mission in mind - how to develop an efficient financial system that facilitates innovation and spontaneous evolution of the society.' - Guojun Wu, Journal of Asian Business 'Chien-Hsun Chen and Hui-Tzu Shih have produced an informative and insightful study of China's stock market development. In The Evolution of the Stock Market in China's Transitional Economy, the reader will find a straightforward account of the development of China's stock markets that further clarifies the role China's capital markets will play in the country's financial future.' - Mark T. Fung, The China Business Review The establishment of the Shanghai Stock Exchange in December 1990 was a landmark in China's institutional transformation. With this in mind, the authors consider the factors relating to institutional change - such as changes in the financial system, the scale and structure of stock market, operational efficiency and the regulatory system of the stock market. During the course of its development the Chinese stock market has experienced speculation, dramatic fluctuations and violations of market regulations of frequent and diverse natures. There is therefore, urgent need for the discussion contained within this volume of best procedure policies for the establishment of a properly ordered and regulated market. The authors assess the operational performance of listed companies, and changes in the external environment such as the impact of China's accession to the WTO on the stock market. The authors find that WTO accession will have a more serious impact on the more heavily protected agricultural sector and on capital-intensive industries such as automobile, instruments, cotton and wheat to name a few. They argue that the fundamental reason for the inefficiency of China's stock market is the weakness of the competitive mechanism leading to imperfect competition and rent-seeking activity. This book will be of great interest to academics and researchers of Asian studies and money and finance. Multinational enterprise managers, as well as brokers, dealers, business economists and others involved in the global financial markets will also find this book of value.
Download or read book The Efficiency of China s Stock Market written by Shiguang Ma and published by Routledge. This book was released on 2017-11-30 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.
Download or read book China s Evolving Stock Market Efficiency Reconsidered written by Xiaoming Li and published by . This book was released on 2007 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following recent studies on evolving stock markets in some of the European transition economies, we revisit the weak-form efficiency of China's stock markets by examining its changing behavior over the entire history of the Shanghai and Shenzhen Stock Exchanges for which data are available. The Kalman Filter estimation technique is applied to the system consisting of a time-varying AR(2) model and an asymmetric ARCH equation. The estimates of predictability combined with other non-quantifiable, evolutionary characteristics of the markets are used to infer on their efficiency. Our research shows that, at their initial development stages, both the Shanghai and Shenzhen markets were inefficient, but the latter is less so than the former. However, the past decade clearly saw a steady convergence of the two markets towards efficiency, owing to the improvements in the market infrastructure, market liquidity, regulation enforcement, and so on.
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Taylor & Francis. This book was released on 2016-10-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Download or read book A Retrospect and Prospect on the Development of China s Stock Market written by You Wu and published by . This book was released on 2010 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The purpose of this research is to investigate the development and performances of the Chinese stock markets and the relationship between China's stock market development and economic growth. In theoretical discussions, we review some previous studies about the relationship between financial development and economic growth, then highlight the role of stock markets in economic activity, illustrate channels that have been identified by the theoretical research through which stock markets can influence economic growth, and finally summarize the previous empirical evidence. Following this, we focus on the development course of China's stock market, analyze its characteristics, and discuss the problems caused by the market’s system flaws. In empirical analysis, we investigate actual performance of the Chinese stock markets, using the time series analysis techniques, and discuss particularly the relationship between stock market development and economic growth. The empirical results are consistent with our theoretical discussions that a policy-oriented stock market is less efficient and is, to a certain extent, unlikely to produce a significant and positive effect on economic growth. Given that one of the most important barriers to the development of China’s stock market might be administrative interference of the government, this study finally addresses some corrective policy changes which may exert positive influence on the future development of China’s stock market."--P. ii.
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Physica. This book was released on 2010-02-04 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Download or read book Asia Pacific Financial Markets written by Suk-Joong Kim and published by Elsevier. This book was released on 2007-12-12 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.
Download or read book Structural Changes in Chinese Stock Market written by Jiajia Fu and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: China's stock market has gone through major structural changes since its inception in early 1990s. In this survey article, we review the empirical literature that document these important structural changes and published in 15 leading accounting and finance journals from 1998 to 2013. In analyzing this literature we focus on the 'distinctiveness' of Chinese stock market compared with developed stock markets (e.g., U.S) and the research opportunities generated by the China setting. Key themes include China's share issue privatization reforms, the political connections in private owned companies, characteristics of Chinese listed companies and their governance, the regulatory environment reforms in China, and the evolving role played by auditors and other information intermediaries.
Download or read book The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Evaluation of Market Efficiency in the Chinese Stock Market Using a Behavioural Volatility Model written by Ezra Gentleman and published by . This book was released on 2011 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This study examines the relevance of the efficient markets paradigm in the context of the Chinese market since its inception. Risk characteristics of Chinese stock markets have been evaluated from the traditional volatility (GARCH) models as well as behavioural (STAR GARCH) models. The use of the STAR GARCH model offers perspective into the non-market risks which have been taking place since the stock markets inception and contribute to the literature by creating a greater understanding of the strategic behavior of investors. The study found that strategic behaviour is not static and has undergone dynamic shifts over time as a number of policy changes and structural shifts have taken place. As such Market efficiency has been tested with the findings concluding that the STAR GARCH model has in most cases provided superior results to the conventional GARCH models used. Conclusions regarding market efficiency in China were not strongly supported with empirical evidence in this study."--P. ii.
Download or read book China s Evolving Stock Market Efficiency Reconsidered written by Xiao-Ming Li and published by . This book was released on 2001 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Study on Causal Relationships Between China and World Major Stock Markets written by Tao Yang and published by . This book was released on 2013 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Development and Efficiency in Emerging Stock Markets written by Kamil Yilmaz and published by . This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1990s emerging stock markets evolved from small and shallow into sizeable and liquid markets integrated with the world financial system. This paper empirically studies the conjecture that the relationship between market development and efficiency can be possibly captured by the weak-form market efficiency tests applied to moving subsample windows. The variance-ratio-based multiple comparison test (MCT) is applied to weekly and daily returns for 21 emerging stock markets over the 1988-2000 period. For each country, the MCT is used to test for random walk in subsample windows with fixed starting-point and moving end-points as well as those with fixed end-point and moving starting-points. Tests on both weekly and daily return series indicate that over time there is a move toward market efficiency. In those markets that showed rapid development, it becomes difficult to reject the random walk hypothesis as observations pertaining to earlier periods are dropped from the sample. However, in Mexico and the East Asian countries stock price behavior started to diverge from RW behavior soon after the reversal of portfolio equity flows during the financial crises that affected these countries.
Download or read book Efficiency Cointegration and Contagion in Equity Markets written by A. S. M. Sohel Azad and published by . This book was released on 2009 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines whether the three East Asian stock markets, namely those of China, Japan and South Korea are individually and/or jointly efficient and whether the cointegrated markets have contagion from one to the other market(s). While the individual market efficiency is examined through testing for random walk hypothesis, the joint market efficiency is examined through testing for cointegration and contagion hypotheses. The study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market but not for Japanese and South Korean stock markets. However, the joint market efficiency is found to be strongly rejected for all these markets under the cointegration sense. We take a simple case of contagion and find that although there is a long-term relationship among these three markets, the contagion hypothesis could not be rejected only between Japanese and South Korean stock markets indicating short-run portfolio diversification benefits from these two markets.
