Are China Stock Markets Efficient after the Global Financial Crisis?

The main intention of this paper is to re-examine the martingale difference hypothesis for the two Chinese exchanges (Shanghai and Shenzhen) with new daily data. The hypothesis is tested with a new spectral method from Kuan and Lee (2004). We found that the stock prices of China do not follow the MDH except the Class A shares for Shanghai stock exchange. And also, after we divided the whole sample period into general turbulence, pre-crisis, crisis and post-crisis periods, we found that the highest inefficiency occurred during the pre-crisis period, followed by crisis, post-crisis and general turbulence period, while both the mature overseas markets and the domestic markets have shown a better efficiency in general turbulence period.