Empirical study on weak-form efficiency of Chinese stock market based on bull and bear markets
1It has always been a concern of investors and regulators whether the stock market is efficient or not.This study focuses on the differences in the characteristics of stock market efficiency between bull and bear market phase, thus putting forward suggestions.We find that bear markets tend to be more effective than the bull market through the unit root test and sequence correlation test on the stock data of Shanghai composite index in the past 20 years.At the same time, it is suggested that the efficiency of Chinas stock market has not increased obviously with time going by so there is still a long way to go for the development of Chinas stock market.
stock market cycle market efficiency sequence correlation stationarity
Surui Yao Yue Wang
Department of Information Management,School of Information, Central University of Finance and Economics, Beijing, China
国际会议
郑州
英文
412-418
2018-09-21（万方平台首次上网日期，不代表论文的发表时间）