DocumentCode
3166861
Title
Analysis of efficiency in Chinese stock market based on robust serial correlation test
Author
Zhang, ChengWei ; Shi, ChuanYu
Author_Institution
China Univ. of Min. & Technol. (Beijing), Beijing, China
fYear
2011
fDate
8-10 Aug. 2011
Firstpage
142
Lastpage
145
Abstract
This article analyzes efficiency in Chinese stock market based on the robust regression model considering serial correlation for the sample of daily return. We find that the Shanghai market has reached weak form efficiency, while Shenzhen market has not yet. We also analyze the impact of Price Limit Mechanism on market efficiency. The result indicates that the Price Limit Mechanism has reduced market efficiency for Shanghai market, but has no effect on Shenzhen market.
Keywords
regression analysis; stock markets; Chinese stock market; Shanghai market; Shenzhen market; market efficiency; price limit mechanism; robust regression model; robust serial correlation test; Analytical models; Correlation; Fluctuations; Robustness; Software; Stock markets; Heteroscedasticity; Market Efficiency; Price Limit Mechanism; Robustness; Serial Correlation;
fLanguage
English
Publisher
ieee
Conference_Titel
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location
Deng Leng
Print_ISBN
978-1-4577-0535-9
Type
conf
DOI
10.1109/AIMSEC.2011.6010237
Filename
6010237
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