The Efficiency of China's Stock Market

Book description

By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.

Table of contents

  1. Cover
  2. Half Title
  3. Title
  4. Copyright
  5. Contents
  6. List of Figures
  7. List of Tables
  8. List of Abbreviations
  9. Preface
  10. Dedication
  11. 1 Introduction
    1. 1.1 Background of the study
    2. 1.2 Motivation of the study
    3. 1.3 Scope of the study
  12. 2 The Emergence, Development and Perspective of China's Stock Market
    1. 2.1 Introduction
    2. 2.2 Emergence of China's Stock Market
    3. 2.3 Development of China's Stock Market
    4. 2.4 Structure of China's stocks
    5. 2.5 Sectoral categories and provincial distribution of the shares (1/2)
    6. 2.5 Sectoral categories and provincial distribution of the shares (2/2)
    7. 2.6 Institutional framework and market regulations
    8. 2.7 Market performance
    9. 2.8 Prospects for China's Stock Market
    10. 2.9 Conclusion
  13. 3 The Theoretical and Empirical Perspectives of Efficient Stock Market
    1. 3.1 Introduction
    2. 3.2 Informational efficiency
    3. 3.3 Efficient market hypothesis (1/2)
    4. 3.3 Efficient market hypothesis (2/2)
    5. 3.4 Historical evidences on the weak form of market efficiency
    6. 3.5 Historical evidences on seasonal effects
    7. 3.6 Historical evidences on the semi-strong form of market efficiency
    8. 3.7 Historical evidences on the strong form of market efficiency
    9. 3.8 Conclusion
  14. 4 Statistical Expression and Design of Tests
    1. 4.1 Introduction
    2. 4.2 Statistical foundations (1/2)
    3. 4.2 Statistical foundations (2/2)
    4. 4.3 Categories of random walk tests
    5. 4.4 Design of tests for seasonal effects
    6. 4.5 Design of the event study (1/2)
    7. 4.5 Design of the event study (2/2)
    8. 4.6 The data
    9. 4.7 Conclusion
  15. 5 Weak Form Efficient or Not? Tests of Random Walk Hypothesis
    1. 5.1 Introduction
    2. 5.2 Tests of serial correlation coefficients (1/3)
    3. 5.2 Tests of serial correlation coefficients (2/3)
    4. 5.2 Tests of serial correlation coefficients (3/3)
    5. 5.3 Runs tests (1/2)
    6. 5.3 Runs tests (2/2)
    7. 5.4 Variance ratio tests (1/3)
    8. 5.4 Variance ratio tests (2/3)
    9. 5.4 Variance ratio tests (3/3)
    10. 5.5 Conclusion
  16. 6 Seasonally Anomalous or Not? Tests of Seasonalities
    1. 6.1 Introduction
    2. 6.2 Day-of-the-week effect tests for the Shanghai and Shenzhen markets (1/3)
    3. 6.2 Day-of-the-week effect tests for the Shanghai and Shenzhen markets (2/3)
    4. 6.2 Day-of-the-week effect tests for the Shanghai and Shenzhen markets (3/3)
    5. 6.3 Month-of-the-year effect tests for the Shanghai and Shenzhen markets (1/3)
    6. 6.3 Month-of-the-year effect tests for the Shanghai and Shenzhen markets (2/3)
    7. 6.3 Month-of-the-year effect tests for the Shanghai and Shenzhen markets (3/3)
    8. 6.4 Holiday effect tests for the Shanghai and Shenzhen stock markets (1/2)
    9. 6.4 Holiday effect tests for the Shanghai and Shenzhen stock markets (2/2)
    10. 6.5 Conclusion
  17. 7 Semi-strong Form Efficient or Not? Tests on the Announcements of Zero and Cash Dividends
    1. 7.1 Introduction
    2. 7.2 Announcement process and assessment criteria of market efficiency
    3. 7.3 Reaction of returns to the announcement of zero-dividend issues (1/4)
    4. 7.3 Reaction of returns to the announcement of zero-dividend issues (2/4)
    5. 7.3 Reaction of returns to the announcement of zero-dividend issues (3/4)
    6. 7.3 Reaction of returns to the announcement of zero-dividend issues (4/4)
    7. 7.4 Reaction of returns to the announcement of cash dividend issues (1/4)
    8. 7.4 Reaction of returns to the announcement of cash dividend issues (2/4)
    9. 7.4 Reaction of returns to the announcement of cash dividend issues (3/4)
    10. 7.4 Reaction of returns to the announcement of cash dividend issues (4/4)
    11. 7.5 Conclusion
  18. 8 Semi-strong Form Efficient or Not? Tests on the Announcements of Bonus and Rights Issues
    1. 8.1 Introduction
    2. 8.2 Reaction of returns to the announcement of bonus issues (1/3)
    3. 8.2 Reaction of returns to the announcement of bonus issues (2/3)
    4. 8.2 Reaction of returns to the announcement of bonus issues (3/3)
    5. 8.3 Reaction of returns to the announcement of rights issues (1/3)
    6. 8.3 Reaction of returns to the announcement of rights issues (2/3)
    7. 8.3 Reaction of returns to the announcement of rights issues (3/3)
    8. 8.4 Conclusion
  19. 9 Conclusion
    1. 9.1 Summary of the study
    2. 9.2 Policy implications (1/2)
    3. 9.2 Policy implications (2/2)
  20. Appendix (1/3)
  21. Appendix (2/3)
  22. Appendix (3/3)
  23. Bibliography (1/2)
  24. Bibliography (2/2)
  25. Index (1/3)
  26. Index (2/3)
  27. Index (3/3)

Product information

  • Title: The Efficiency of China's Stock Market
  • Author(s): Shiguang Ma
  • Release date: November 2017
  • Publisher(s): Routledge
  • ISBN: 9781351146913