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A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models

Abstract : The Chinese equity market is one of the emerging equity markets which offers an opportunity for international diversification, as a emerging markets, the Chinese stock markets are not mature. Since the 1990s, the reforms in regulations as well as in the attitudes of regulators have rendered the stock market more efficient. The progressive reform process of the stock market has improved the functioning of capital markets and implemented market-based mechanisms. China’s stocks pricing mechanism has been pushed toward a more market-oriented approach, in such cases, we expect an alteration in anomalies in the Chinese stock market. In this paper, we examine the daily data from the Shanghai Ashare market, and Shenzhen A-share market over the 2006-2019 period. It would seem that in the Chinese stock market, the seasonal anomalies persist. But at the same time, by employing the Hurst exponent analysis, we find that the Chinese stock markets had a trend of becoming more and more efficient after the reform in October 2011.
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Submitted on : Friday, March 19, 2021 - 9:27:35 AM
Last modification on : Thursday, April 1, 2021 - 5:05:10 PM

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Pierre Bertrand, Marie-Eliette Dury, Bing Xiao. A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models. Mathematical Methods in Economics and Finance, Department of Economics of the Ca' Foscari University of Venice, 2020, 13-14, pp.19-36. ⟨hal-03031766⟩

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