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Analysis of market efficiency for the Shanghai stock market over time

  • Wang, Yudong
  • Liu, Li
  • Gu, Rongbao
  • Cao, Jianjun
  • Wang, Haiyan
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    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.

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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 389 (2010)
    Issue (Month): 8 ()
    Pages: 1635-1642

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    Handle: RePEc:eee:phsmap:v:389:y:2010:i:8:p:1635-1642
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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