| Titre : | A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models (2020) |
| Auteurs : | Pierre Bertrand ; Marie-Eliette Dury ; Bing Xiao |
| Type de document : | Article : Revues - Articles |
| Dans : | Mathematical Methods in Economics and Finance (Vol.13-14, 2018/2019) |
| Article en page(s) : | pp. 19-36 |
| Langues: | Anglais |
| Catégories : |
[Eurovoc] FINANCES > libre circulation des capitaux > marché financier > Bourse des valeurs [Eurovoc] GÉOGRAPHIE > Asie - Océanie > Extrême-Orient > Chine [JEL] G - Économie financière > G1 - Marchés financiers généraux [JEL] G - Économie financière > G1 - Marchés financiers généraux > G10 - Généralités [JEL] G - Économie financière > G1 - Marchés financiers généraux > G12 - Prix des actifs |
| Tags : | multifractional Brownian motion ; Hurst exponent ; efficient market hypothesis ; seasonal anomalies ; stock markets |
| Résumé : | The Chinese equity market is one of the emerging equitymarkets which offers an opportunity for international diversification, as a emerging markets, the Chinese stock markets are not mature. Since the1990s, the reforms in regulations as well as in the attitudes of regulatorshave rendered the stock market more efficient. The progressive reformprocess of the stock market has improved the functioning of capital markets and implemented market-based mechanisms. China’s stocks pricingmechanism has been pushed toward a more market-oriented approach,in such cases, we expect an alteration in anomalies in the Chinese stockmarket. In this paper, we examine the daily data from the Shanghai Ashare market, and Shenzhen A-share market over the 2006-2019 period.It would seem that in the Chinese stock market, the seasonal anomaliespersist. But at the same time, by employing the Hurst exponent analysis,we find that the Chinese stock markets had a trend of becoming moreand more efficient after the reform in October 2011. |
| Axe de recherche : | Financement du développement |
| En ligne : | https://hal.archives-ouvertes.fr/hal-03031766 |
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