IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

China: Further Evidence on the Evolution of Stock Markets in Transition Economies

  • Xiao-Ming Li

We revisit the weak-form efficiency of China's stock markets by examining its changing behaviour over the entire history of the Shanghai and Shenzhen Stock Exchanges. The Kalman Filter technique is applied to the system consisting of a time-varying AR model and an asymmetric TGARCH equation. The estimates of predictability combined with other non-quantifiable, evolutionary characteristics of the markets are used to infer on their efficiency. It is shown that, at their initial development stages, both the Shanghai and Shenzhen markets were inefficient. However, the past decade saw a steady convergence of the two markets towards efficiency. An abnormal leverage effect is detected for Shanghai, but no strong evidence is found that there exists the information transmission between the two markets. Copyright (c) Scottish Economic Society 2003.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=sjpe&volume=50&issue=3&year=2003&part=null
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.

Volume (Year): 50 (2003)
Issue (Month): 3 (08)
Pages: 341-358

as
in new window

Handle: RePEc:bla:scotjp:v:50:y:2003:i:3:p:341-358
Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292

More information through EDIRC

Order Information: Web: http://www.blackwellpublishing.com/subs.asp?ref=0036-9292

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bla:scotjp:v:50:y:2003:i:3:p:341-358. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

or (Christopher F. Baum)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.