Market Efficiency and Price Forecast of Individual Shares

Tianshu Liu

International Area Studies Review, 2010, vol. 13, issue 1, 205-226

Abstract: ‘Beat the Market’ is the desire of people. It is also momentum of the development of economics and finance theories. China stock market is an emerging market and size development before 2000 is very fast. Whether China stock market is weak-form has not been drawn one consistent conclusion. Purpose of this study is to explore price movement characters of an individual share and how to use ultra-high frequency data to model share price movement. This study proposes an approach to transit ultra-high frequency data into high frequency data. Then, high frequency data is used to conduct region and whole term analysis. Study shows that region analysis reveals share price movement characteristic further and prediction power of a model in different regions is different. This study proposes a region analysis and selection forecast approach.

Keywords: High Frequency Data; Autoregressive Conditional Heteroskedasticity; Efficient Market Hypothesis; Threshold ARCH; Ultra-high frequency (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:sae:intare:v:13:y:2010:i:1:p:205-226

DOI: 10.1177/223386591001300111

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