A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models

Pierre Bertrand (), Marie-Eliette Dury () and Bing Xiao ()
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Pierre Bertrand: LAPSCO - Laboratoire de Psychologie Sociale et Cognitive - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique, LMBP - Laboratoire de Mathématiques Blaise Pascal - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique
Marie-Eliette Dury: CERDI - Centre d'Études et de Recherches sur le Développement International - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique
Bing Xiao: CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA [2017-2020] - Université Clermont Auvergne [2017-2020]

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Abstract: The Chinese equity market is one of the emerging equitymarkets which offers an opportunity for international diversification, asa emerging markets, the Chinese stock markets are not mature. Since the1990s, the reforms in regulations as well as in the attitudes of regulatorshave rendered the stock market more efficient. The progressive reformprocess of the stock market has improved the functioning of capital markets and implemented market-based mechanisms. China's stocks pricingmechanism has been pushed toward a more market-oriented approach,in such cases, we expect an alteration in anomalies in the Chinese stockmarket. In this paper, we examine the daily data from the Shanghai Ashare market, and Shenzhen A-share market over the 2006-2019 period.It would seem that in the Chinese stock market, the seasonal anomaliespersist. But at the same time, by employing the Hurst exponent analysis,we find that the Chinese stock markets had a trend of becoming moreand more efficient after the reform in October 2011.

Keywords: Seasonal anomalies; Stock markets; Efficient market hypothesis; Hurst exponent; Multifractional Brownian motion (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-cna and nep-fmk
Note: View the original document on HAL open archive server: https://hal.science/hal-03031766
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Published in Mathematical Methods in Economics and Finance, 2020, 13-14 (1), pp.19-36

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