Empirical research on the efficiency of Chinese stock market based on the CSI 300 index series

Author

Yang, Fan ; Li, Dong ; Wang, Jiahua

Author_Institution

Coll. of Econ. & Manage., Nanjing Univ. of Aeronaut. & Astronaut., Nanjing, China

Volume

2

fYear

2010

fDate

9-10 Oct. 2010

Firstpage

447

Lastpage

450

Abstract

In this paper, we firstly review the development process of the Efficient Market Hypothesis. Then by using statistics analysis, normality test and R/S analysis method, we analyze the characteristics of the sequence of daily return of CSI300 index. The sequence follows a “leptokurtic and fat-tail” and a biased distribution. The Hurst exponent is 0.6817, more than 0.5, indicating the CSI300 index return series is not a random sequence, but a persistent sequence with long memory. So, we can come to the conclusion: the Chinese stock market is not fully in coincidence with the theory of Random Walk and not an efficient market at present stage.

Keywords

statistical distributions; statistical testing; stock markets; CSI300 index return series; Chinese stock market efficiency; Hurst exponent; R/S analysis method; biased distribution; daily return; efficient market hypothesis; fat-tail distribution; leptokurtic distribution; normality test; random walk; statistics analysis; Biological system modeling; EMH; FMH; R/S analysis; normality test;

fLanguage

English

Publisher

ieee

Conference_Titel

Future Information Technology and Management Engineering (FITME), 2010 International Conference on

Conference_Location

Changzhou

Print_ISBN

978-1-4244-9087-5

Type

conf

DOI

10.1109/FITME.2010.5656174

Filename

5656174