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论文作者:留学生论文网论文属性:硕士毕业论文 dissertation登出时间:2011-10-24编辑:anterran点击率:5848
论文字数:8936论文编号:org201110241035367042语种:英语 English地区:英国价格:$ 44
关键词:China stock market检测弱式市场效率中国证券交易所Testing the WeakMarket EfficiencyChina Stock ExchangeChina stock market
摘要:核心提示:China stock market-检测弱式市场效率的中国证券交易所-Testing the Weak -Form Market Efficiency of the China Stock Exchange
Testing the Weak -Form Market Efficiency of the China Stock ExchangeTable of contents
1 Introduction 5
1.1 Background 5
1.1.1 Stock market efficiency in developed economy and EMH 5
1.1.2 Overview of China stock market 5
1.2 research objective 6
2 Literature Review 7
2.1 Study in emerging markets on Random Walk Hypothesis 7
2.2 Evident in China 8
3 Methodology 10
3.1 Research hypothesis 10
3.2 sample and test method 10
3.3 Empirical Results 16
4 conclusions 21
5 Reference 22
6 Appendix 26
List of table
Table 1- summary of Descriptive Statistics 27
Table 2- result of ADF test 28
Table 3 summary of P-P test 30
Table 4- result of Ljung-Box Q Statistics 31
Table 4- result of Ljung-Box Q Statistics 33
Table 5- result of variance ratio test for the whole period 9/15/92-9/07/07 34
Table 6- result of variance ratio test for the sub-period 1992-1999 34
Table 7- result of variance ratio test for the sub-period 2000-2007 35
Table 8- Variance ratio tests based on ranks and signs for the whole period 36
Table 9 -Result of Variance ratio tests based on ranks and signs for 1992-1999 37
Table 10 Result of Variance ratio tests based on ranks and signs for 2000-2007 37
Table 11-result of Run test for Shanghai stock exchange 38
Table 13- mean return and Chi-square as well as F-statistic of each week 39
Table 14- mean return and Chi-square as well as F-statistic of each month 40
Abstract
Employed with the quantitative research methods, this dissertation probed into the analysis and application of Efficient Market Hypothesis (EMH) in Chinese stock market. It exams whether two stock index-Shanghai and Shenzhen SE composite price index follow a random walk by employing both parametric and non-parametric test. Seven different methods is used for the testing the daily return series in both market. The result reveals that Shanghai and Shenzhen stock exchange are weak-form inefficient and is moving to efficient. Meanwhile, Shanghai stock exchange is more efficient than Shenzhen stock exchange.
1 Introduction
1.1 Background
1.1.1 Stock market efficiency in developed economy and EMH
There is a significant increase in the integration of world capital markets at the 21th century. In light of pressure for incorporating developing economy stock markets into global investment strategies, studies on thin security markets have increased in importance. Central to investors and policymakers dealing with emerging stock markets are the knowledge of how efficiently those markets incorporate market information into stock prices. Conceptually, stock market efficiency implies that prices respond quickly and accurately to relevant information. Fama(1965) divided market efficiency into three categories: weak-form efficiency, semi-strong form efficiency and strong-form efficient. Weak-form efficiency assumption is often referred to as the Efficient Market Hypothesis (EMH). A weak form of the efficient market has been characterized as stock prices “fully reflect” all available information included in past prices (Fama, 1970). A random walk process characterizes an efficient stock exchange, which is a clue that returns of a stock market are unpredicta本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。