A Weak-form Efficiency Testing of Chinas Stock Markets
The main purpose of this paper is to test the degree of development of Chinas stock market, as well as its stage. Utilizing the GARCH amended model and the AR-X-GARCH (1,1) model; we analyzed whether the opportunity for excess returns in Chinas stock markets exists, and tested the randomness of the returns series in Chinas stock market. Finally, we concluded that Chinas two stock markets in Shenzhen and Shanghai have not reached the significant excess rate of return opportunities, but the stock markets as a whole have not reached the level of the weakform efficiency. At the same time, we can see that Chinas stock market is gradually maturing. This can provide a good guide to understand the degree of development of Chinas stock market, as well as its stage.
efficient market hypothesis GARCH model weak-form efficiency
Xianming Wen Kexi Li Lin Liang
School of Economics and Management, Changsha University of Science & Technology, Changsha hunan 410004, China
国际会议
黄山
英文
514-517
2010-05-28（万方平台首次上网日期，不代表论文的发表时间）