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Qian Liu and Shigeyuki Hamori |
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''The efficiency of the Chinese stock market and the role of market liberalization'' |
( 2010, Vol. 30 No.3 ) |
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This article tests for the random walk hypothesis in the four Chinese stock markets of Shanghai "A," Shanghai "B," Shenzhen "A," and Shenzhen "B" and explores the impact of the market liberalization that occurred in 2001 on the efficiency of these markets. Empirical results show that the market liberalization in 2001 has a significant effect on the efficiency of Chinese stock markets. |
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Keywords: Chinese stock markets; market liberalization; market efficiency; variance ratio tests |
JEL: F4 - Macroeconomic Aspects of International Trade and Finance: General O1 - Economic Development: General |
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Manuscript Received : Sep 05 2010 | | Manuscript Accepted : Sep 28 2010 |
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