Using Wavelets to Test the Efficiency of China's Stock Market.
详细信息
- 作者：Liu-Ferrara ; Ann.
- 学历：Doctor
- 年：2013
- 导师：Hoehn,Lilburn,eadvisorSharifzadeh,Mohammadecommittee memberAubey,Robertecommittee member
- 毕业院校：Walden University
- Department：Applied Management and Decision Sciences.
- ISBN：9781303155598
- CBH：3565607
- Country：USA
- 语种：English
- FileSize：8773252
- Pages：191
文摘
Researchers have identified inefficiencies in the Chinese stock market and recommended further empirical tests. The purpose of this quantitative study was to determine (a) the characteristics of assets returns in the Chinese market and (b) the impact of government&rsquo；s stock market regulation reform to the market efficiency. The problem that this research addressed was the lack of quantitative data to explain the market inefficiency in China. The efficient market hypothesis (EMH),a core proposition of modern asset pricing models,suggests that security return follows a random walk with a lognormal probability distribution. For this study,6 hypotheses examined daily,continuous returns of Shanghai and Shenzhen A-Share Indexes from 2002 to 2011,including subtime periods 2002-2006 and 2007-2011 to separate pre- and post-stock market reform that took place in 2005-2006. Normality test and descriptive statistics were employed,short-term and long-term memories were used,and Hurst exponent were examined through all data series. The results showed that all 6 hypotheses were rejected at a 5% significance level,and the reform improved the level of market efficiency. These finding indicated that the Chinese stock market was still inefficient,although the reform has effectively increased the efficiency of the continuous returns. China needs to continue improving the market efficiency in order to build a healthy financial market and grow the economy. The positive social impact of this research is that it increases the transparency of China&rsquo；s stock market and improves investors&rsquo； confidence level in investing in Chinese stocks,thus drawing more liquidity to China to stimulate the growth of the country&rsquo；s economy.