Analysis of market efficiency for the Shanghai stock market over time

Yudong Wang, Li Liu, Rongbao Gu, Jianjun Cao and Haiyan Wang

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 8, 1635-1642

Abstract: In this paper, we analyze market efficiency for the Shanghai stock market over time using a model-free method known as multifractal detrended fluctuation analysis. Through analyzing the change of scale behavior, we find that the price-limited reform improved the efficiency in the long term, but the influence in the short term was very minor. Employing the method of moving window, using three different measures we find that the Shanghai stock market became more and more efficient after the reform. We also implement the same procedure on volatility series and find the evidence of inefficiency.

Keywords: Market efficiency; Scale behavior; Hurst exponents; Multifractality degrees; DME (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:8:p:1635-1642

DOI: 10.1016/j.physa.2009.12.039

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