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Analysis of market efficiency for the Shanghai stock market over time

Author

Listed:
  • Wang, Yudong
  • Liu, Li
  • Gu, Rongbao
  • Cao, Jianjun
  • Wang, Haiyan

Abstract

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.

Suggested Citation

  • Wang, Yudong & Liu, Li & Gu, Rongbao & Cao, Jianjun & Wang, Haiyan, 2010. "Analysis of market efficiency for the Shanghai stock market over time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1635-1642.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:8:p:1635-1642
    DOI: 10.1016/j.physa.2009.12.039
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    References listed on IDEAS

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