Evaluation the Weak-Form Efficient Exhibiting in Chinese Stock Market
Business School, University of Nottingham, Ningbo 315100, China
| Abstract: | Capital markets in developing economies have expanded quickly, while efficient market hypothesis (EMH) continues to be the foundation of current financial economics despite receiving a lot of criticism, and in particular the EMH's weak form has received the majority of attention throughout empirical testing. Importantly, the Chinese stock market is one of the quickly expanding and emerging market in world, and it shows unique characteristics compared with American and some European markets, such as retail accounts for the higher proportion than institutional investors and special monitoring and political rules issued by Chinese government. So it is valuable for investor to test this powerful decision method for the Chinese capital market. The study uses the CSI300 of the Chinese securities market, which is an index stock weighted by the market value of free float share capital, 300 stocks chosen for its largest market value, the best liquidity and the most representative from Shanghai and Shenzhen stock markets. Based on the daily data of the CSI300 Index from the year 2005 to 2022 that contains a total of 4340 observations, and further developed by drawing on international indexing techniques as a cross-market index for the rich experience in index preparation and publication, this paper uses five quantitative techniques, including the Breush-Godfrey LM test, the Ljungbox test to test serial correlation, the runs test, the Augment Dickey-Fuller (ADF) test, and the Phillips-Perron (PP) test to evaluate the weak-form efficient exhibits in Chinese stock market, which reveals the strength of administrative gradually reduced and the stock market greatly entering a new era where the market will play a leading role. |
| Keywords: | Chinese Stock Market; Efficient Market Hypothesis; Weak-Form Efficient |
| DOI: | 10.57237/j.wjmst.2023.04.005 |
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收稿日期: 2023-11-04
接受日期: 2023-12-20
在线出版日期: 2023-12-27
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