The efficiency of the Chinese stock market and the role of market liberalization

Qian Liu () and Shigeyuki Hamori
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Qian Liu: Kobe University

Economics Bulletin, 2010, vol. 30, issue 3, 2524-2532

Abstract: This article tests for the random walk hypothesis in the four Chinese stock markets of Shanghai "A," Shanghai "B," Shenzhen "A," and Shenzhen "B" and explores the impact of the market liberalization that occurred in 2001 on the efficiency of these markets. Empirical results show that the market liberalization in 2001 has a significant effect on the efficiency of Chinese stock markets.

Keywords: Chinese stock markets; market liberalization; market efficiency; variance ratio tests (search for similar items in EconPapers)
JEL-codes: F4 O1 (search for similar items in EconPapers)
Date: 2010-09-28
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