서강대학교

초록/요약

This paper examines whether the Chinese two stock markets have achieved weak-form efficiency. Market efficiency is tested with data divided three consecutive time periods to examine if the efficiency of Chinese stock market has changed over time. This paper also devises statistics to evaluates the level of inefficiency quantitatively. Closing prices of six daily price indices, Shanghai Composite Index, Shenzhen Component Index, Shanghai A-share Index, Shenzhen A-share Index, Shanghai B-share Index and Shenzhen B-share Index, from January 1993 to December 2009 are sampled. S&P 500 Index is also sampled to compare with the Chinese ones. The market efficiency hypothesis is tested by using the parametric unit root test, the non-parametric run test, and the GARCH(1,1) model with ordinary least square method (OLS). Empirical studies on the above six Chinese stock markets indices show that the efficiency market hypothesis cannot be rejected and Chinese stock markets have achieved weak-form efficiency. Shanghai Composite Index, Shanghai A-share Index Shanghai B-share Index and Shenzhen B-share Index are inefficient in the first time period; all indices are proved to be efficient in recent two time periods. However, S&P 500 Index shows a decreasing efficiency pattern, weak-form efficiency was rejected for last period but not for the first two periods.