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The Efficiency of China's Stock Market
The dominant seasonalities are the day-of-the-week effects, the month-of-the-
year effects and the holiday effects. Dummy variable models are usually used in
the tests of those seasonalities. If the mean return on the specific days is
statistically significant and economically significant, the predictable return pattern
can be used to earn abnormal returns. Thus, the market is not efficient.
3.4 Historical evidences on the weak form of market efficiency
As we previously indicated, in a weak form efficient market the stock prices should
fully reflect historical information. ...