Title :
Does the split share structure reform improve China´s a-share market efficiency?
Author :
Yi, Ronghua ; Liu, Yun
Author_Institution :
Sch. of Econ. & Manage., China Jiliang Univ., Hangzhou, China
Abstract :
Different from previous articles about the effect of the split share structure reform on China´s A-share market efficiency, we employ the variance ratio test and select logarithmic earnings of daily closing price of Shanghai A-share index and Shenzhen A-share index as the object of our paper. Empirical results show that although the efficiency of A-share market in China is always weak-form efficient, A-share market efficiency is more efficient after split share reform.
Keywords :
share prices; stock markets; A-share market efficiency; China´s; Shanghai A-share index; Shenzhen A-share index; daily closing price; logarithmic earnings; split share structure reform; variance ratio test; Companies; Correlation; Educational institutions; Gaussian distribution; Indexes; Stock markets; market efficiency; split share structure reform; variance ratio tests;
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.2011.6010787
