Economics at your fingertips  

Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency

Jui-Cheng Hung

The Quarterly Review of Economics and Finance, 2009, vol. 49, issue 3, 843-857

Abstract: This study employs single and multiple variance ratio tests to reexamine the weak-form efficient market hypothesis (EMH) of A- and B-shares on the Shanghai and Shenzhen exchanges in Chinese stock market. The study also examines the influence of the release of investment restriction of B-share markets on market efficiency. For the whole sample period, the weak-form EMH is only supported for Shanghai A-shares, and is not supported for the remaining shares. For the sub-sample period, the Shenzhen A-share and B-shares of both exchanges being rejected for the weak-form EMH in the earlier sample period are supported following the regulatory change. Rolling multiple variance ratio test statistic values provide additional evidence of weak-form EMH. The improvement of market efficiency can be explained by the increased liquidity and maturity accompanying deregulation and liberalization.

Keywords: Variance; ratio; test; Efficient; market; hypothesis; Chinese; stock; markets; Deregulation (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Series data maintained by Dana Niculescu ().

Page updated 2017-09-29
Handle: RePEc:eee:quaeco:v:49:y:2009:i:3:p:843-857