Further evidence on the efficiency of the Chinese stock markets: A note

被引：25
作者：
Fifield, Suzanne G. M. [1 ]
Jetty, Juliana [2 ]
机构：
[1] Univ Dundee, Sch Accounting & Finance, Dundee DD1 4HN, Scotland
[2] Univ Glasgow, Dept Accounting & Finance, Glasgow G12 8QQ, Lanark, Scotland
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2008年 / 22卷 / 03期
关键词：
Chinese stock markets; Market efficiency; Variance ratio tests;
D O I：
10.1016/j.ribaf.2008.02.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the efficiency of the Chinese A-share and B-share markets following the deregulation of the B-share market which widened ownership to include domestic investors. Applying parametric and non-parametric variance ratio tests to the daily data of 370 shares over 1996-2005, the paper finds that A-shares are more efficient than B-shares, although the efficiency of both markets has improved following the regulatory change. Overall, the results suggest that the Chinese stock markets are characterised by information asymmetry, although the timely access to high quality information that domestic investors enjoy has improved the efficiency of the B-share market. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：351 / 361
页数：11
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