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Further evidence on the efficiency of the Chinese stock markets: A note

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  • Fifield, Suzanne G.M.
  • Jetty, Juliana
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    Abstract

    This paper examines the efficiency of the Chinese A-share and B-share markets following the deregulation of the B-share market which widened ownership to include domestic investors. Applying parametric and non-parametric variance ratio tests to the daily data of 370 shares over 1996-2005, the paper finds that A-shares are more efficient than B-shares, although the efficiency of both markets has improved following the regulatory change. Overall, the results suggest that the Chinese stock markets are characterised by information asymmetry, although the timely access to high quality information that domestic investors enjoy has improved the efficiency of the B-share market.

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    File URL: http://www.sciencedirect.com/science/article/B7CPK-4RY8STP-2/2/184670bddcedd84a7e5d065279298676
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    Bibliographic Info

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 22 (2008)
    Issue (Month): 3 (September)
    Pages: 351-361

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    Handle: RePEc:eee:riibaf:v:22:y:2008:i:3:p:351-361

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    Web page: http://www.elsevier.com/locate/ribaf

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    References

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    1. Chien-Liang Chiu & Mingchih Lee & Chun-Da Chen, 2005. "Removal of an investment restriction: the 'B' share experience from China's stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 15(4), pages 273-285.
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    Cited by:
    1. Mobarek, Asma & Fiorante, Angelo, 2014. "The prospects of BRIC countries: Testing weak-form market efficiency," Research in International Business and Finance, Elsevier, vol. 30(C), pages 217-232.
    2. Al-Hajieh, Heitham & Redhead, Keith & Rodgers, Timothy, 2011. "Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets," Research in International Business and Finance, Elsevier, vol. 25(3), pages 345-356, September.
    3. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    4. Amélie Charles & Olivier Darne, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Post-Print hal-00771080, HAL.
    5. Koutmos, Dimitrios & Song, Wei, 2014. "Speculative dynamics and price behavior in the Shanghai Stock Exchange," Research in International Business and Finance, Elsevier, vol. 31(C), pages 74-86.
    6. Xu, Lilai & Oh, K.B., 2011. "The stock market in China: An endogenous adjustment process responding to the demands of economic reform and growth," Journal of Asian Economics, Elsevier, vol. 22(1), pages 36-47, February.

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