 INFORMATION TRANSMISSION IN THE SHANGHAI EQUITY MARKETD. Michael Long, Janet D. Payne and Chenyang Feng Journal of Financial Research, 1999, vol. 22, issue 1, 29-45 Abstract: We examine market efficiency and the price‐volume relation in Class A and Class B shares on the Shanghai exchange relative to the U. S. equity market. Variance ratios and runs tests for market efficiency support the hypothesis that both Class A and Class B markets follow a random walk. In addition, the augmented Dickey‐Fuller test supports the null hypothesis that the Shanghai market follows a random‐walk process with drift. We also find a significantly positive relation between changes in volume and absolute price returns in both Class A and Class B shares, which is consistent with studies on U.S. equity markets. However, when using signed returns, our results are stronger than most U.S. studies on price‐volume relations. We find no significant difference between the price‐volume correlations in Class A and Class B shares. However, the price‐volume correlations in both Class A and Class B shares are significantly stronger than the price‐volume correlation in the U.S. market. This suggests volume may be more important to information transmission in China than in the U. S. markets. Date: 1999 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:22:y:1999:i:1:p:29-45 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC. |
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