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
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;
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
DOI :
10.1109/AIMSEC.2011.6010237
