Did Financial Reforms Improve Shanghai and Shenzhen Stock Markets Performance?

Marie-Eliette Dury and Bing Xiao

Chapter 10 in Institutional Change and China Capitalism:Frontier of Cliometrics and its Application to China, 2022, pp 257-299 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The Chinese equity market is one of the emerging equity markets which offers an opportunity for international diversification. Since the 1990s, the Chinese equity market has changed substantially in two ways: both the size of listed companies and the size of the market itself have increased, in addition the institutional and individual investors have become more mature. The reforms in regulations as well as in the attitudes of regulators have rendered the stock market more efficient. In addition, it would be a question of promoting sustainable development in China. In such cases, we expect an alteration in anomalies in the Chinese stock market. In this chapter, we examine the daily data from the Shenzhen A-share market and the Shanghai A-share market over the 1995–2019 period. Despite the disappearance of some seasonal effects, we find a strong Chinese New Year effect and a negative Thursday effect in Shenzhen and Shanghai stock markets. However, we observe that Chinese stock markets become more efficient and more market-oriented, especially after the reform of October 2011. Both the upward and downward adjustments have increased the return.

Keywords: China; Macroeconomics; Cliometrics; Institutional Economics; Complexity; Economics; International Trade; Applied Econometrics; Econometrics; Empirical Finance; Behavioral Finance; Economic History; Sociology; Gender Studies (search for similar items in EconPapers)
JEL-codes: B1 B2 F10 F15 F4 N15 O11 P1 (search for similar items in EconPapers)
Date: 2022
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