Yan, Isabel K. and Chong, Terence and Lam, Tau-Hing (2011): Is the Chinese Stock Market Really Efficient. Forthcoming in: China Economic Review
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Groenewold et al (2004a) documented that the Chinese stock market is inefficient. In this paper, we revisit the efficiency problem of the Chinese stock market using time-series model based trading rules. Our paper distinguishes itself from previous studies in several aspects. First, while previous studies concentrate on the viability of linear forecasting techniques, we evaluate the profitability of the forecasts of the self-exciting threshold autoregressive model (SETAR), and compare it with the conventional linear AR and MA trading rules. Second, the finding of market inefficiency in earlier studies mainly rest on the statistical significance of the autocorrelation or regression coefficients. In contrast, this paper directly examines the profitability of various trading rules. Third, our sample covers an extensive period of 1991-2010. Sub-sample analysis shows that positive returns mainly concentrate in the pre-SOE reform period, suggesting that China’s stock market has become more efficient after the reform.
|Item Type:||MPRA Paper|
|Original Title:||Is the Chinese Stock Market Really Efficient|
|Keywords:||Efficient Market Hypothesis; SETAR Model; Bootstrapping; SOE reform|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Isabel Yan|
|Date Deposited:||06. Dec 2011 11:55|
|Last Modified:||11. Feb 2013 16:37|
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