Analysis of market efficiency for the Shanghai stock market over time
In this paper, we analyze market efficiency for the Shanghai stock market over time using a model-free method known as multifractal detrended fluctuation analysis. Through analyzing the change of scale behavior, we find that the price-limited reform improved the efficiency in the long term, but the influence in the short term was very minor. Employing the method of moving window, using three different measures we find that the Shanghai stock market became more and more efficient after the reform. We also implement the same procedure on volatility series and find the evidence of inefficiency.
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.
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.
Volume (Year): 389 (2010)
Issue (Month): 8 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
- Greenwald, Bruce C & Stein, Jeremy C, 1991.
"Transactional Risk, Market Crashes, and the Role of Circuit Breakers,"
The Journal of Business,
University of Chicago Press, vol. 64(4), pages 443-62, October.
- Greenwald, Bruce C. & Stein, Jeremy C., 1991. "Transactional Risk, Market Crashes, and the Role of Circuit Breakers," Scholarly Articles 3710666, Harvard University Department of Economics.
- Cajueiro, Daniel O & Tabak, Benjamin M, 2004. "The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 521-537.
- Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-99, June.
- Goodfellow, Christiane & Bohl, Martin T. & Gebka, Bartosz, 2009. "Together we invest? Individual and institutional investors' trading behaviour in Poland," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 212-221, September.
- Podobnik, Boris & Fu, Dongfeng & Jagric, Timotej & Grosse, Ivo & Eugene Stanley, H., 2006. "Fractionally integrated process for transition economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 465-470.
- Lim, Kian-Ping, 2007. "Ranking market efficiency for stock markets: A nonlinear perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 445-454.
- Tan, Lin & Chiang, Thomas C. & Mason, Joseph R. & Nelling, Edward, 2008. "Herding behavior in Chinese stock markets: An examination of A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 61-77, January.
- Serletis, Apostolos & Rosenberg, Aryeh Adam, 2007. "The Hurst exponent in energy futures prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 325-332.
- Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Testing for time-varying long-range dependence in volatility for emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 577-588.
- Lin, Anchor Y. & Swanson, Peggy E., 2008. "Foreigners' perceptions of U.S. markets: Do foreigners exhibit herding tendencies?," Journal of Economics and Business, Elsevier, vol. 60(3), pages 179-203.
- Tabak, Benjamin M. & Cajueiro, Daniel O., 2007. "Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility," Energy Economics, Elsevier, vol. 29(1), pages 28-36, January.
- Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.
- Hott, Christian, 2009. "Herding behavior in asset markets," Journal of Financial Stability, Elsevier, vol. 5(1), pages 35-56, January.
- Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo & Fernandez-Anaya, Guillermo, 2008. "Time-varying Hurst exponent for US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(24), pages 6159-6169.
- Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo, 2008. "Short-term predictability of crude oil markets: A detrended fluctuation analysis approach," Energy Economics, Elsevier, vol. 30(5), pages 2645-2656, September.
When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:389:y:2010:i:8:p:1635-1642. 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: (Shamier, Wendy)
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.