IDEAS home Printed from https://ideas.repec.org/a/wsi/rpbfmp/v17y2014i04ns0219091514500234.html
   My bibliography  Save this article

Multiscaling and Stock Market Efficiency in China

Author

Listed:
  • Thomas A. Thiele

    (School of Management, Walden University, Minneapolis, MN 55401, USA)

Abstract

China has taken important steps to reform its economy and capital markets in the past 20 years. Despite these efforts there is a lack of quantitative evidence on how these measures have impacted price returns in the stock exchanges. The purpose of this research was to determine the randomness of Chinese equity returns and to measure the scaling property of volatility over time. The main assumption of the Efficient Market Hypothesis is that security returns follow the path of a random walk and that volatility scales with the square root of time. This notion was tested by analyzing daily stock returns of the Shanghai- and Shenzhen Composite Indexes between 1990 and 2013. The Kolmogorov–Smirnov (KS) test rejected the log-normal distribution and random walk hypothesis. The measuredHurstexponents revealed a multiscaling property of fractal Brownian motion and indicated the presence of long-range dependence. The findings also showed that the degree of persistence and cycle length has reduced over time.

Suggested Citation

  • Thomas A. Thiele, 2014. "Multiscaling and Stock Market Efficiency in China," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-22.
    • Handle: RePEc:wsi:rpbfmp:v:17:y:2014:i:04:n:s0219091514500234
    DOI: 10.1142/S0219091514500234
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219091514500234
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219091514500234?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dongwei Su, 2003. "Chinese Stock Markets:A Research Handbook," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4602, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Qi Deng & Zhong-guo Zhou, 2016. "The pricing of first day opening price returns for ChiNext IPOs," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 249-271, August.
    2. Ma, Pengcheng & Li, Daye & Li, Shuo, 2016. "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 163-176.
    3. Oksana Kim, 2016. "Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross-Listed on the London Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-36, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Su, Dongwei, 2004. "Adverse-selection versus signaling: evidence from the pricing of Chinese IPOs," Journal of Economics and Business, Elsevier, vol. 56(1), pages 1-19.

    More about this item

    Keywords

    Hurstexponent; rescaled range analysis; efficient market hypothesis; long-range dependence; multiscaling; Shanghai Stock Exchange; Shenzhen Stock Exchange;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:17:y:2014:i:04:n:s0219091514500234. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.