Impact of Financial Crisis upon Chinese Capital Market Efficiency--An Empirical Study based on Three-factor Model

摘要：

　　Using monthly data of A shares listed on Shanghai Stock Exchange from July 1994 to March 2012,this paper researches on the efficiency of Chinese capital market pre and post the financial crisis and compares the changes,based on the Fama- French three-factor model (FF-3).Empirical results show that the intercept of FF-3 is not quite significant both before and after the financial crisis,which indicates that Chinese capital market is effective in the long-run; the interpretive capacity of the market factor and size factor increases significantly after the crisis,and at meanwhile,R2 of FF-3 also improves,proving that the efficiency of Chinese capital market develops after the financial crisis.All the above conclusions provide empirical evidence that the financial crisis plays an active role in stimulating the capital market efficiency.

关键词： financial crisis capital market efficiency Fama-French three-factor model FF-3

作者: ZHANG Dahai

作者单位: School of Information Science and Engineering,Dalian Polytechnic University,Dalian,China,116034

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 299-304

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）