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An empirical analysis of the equity markets in China

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  • Mookerjee, Rajen
  • Yu, Qiao

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  • Mookerjee, Rajen & Yu, Qiao, 1999. "An empirical analysis of the equity markets in China," Review of Financial Economics, Elsevier, vol. 8(1), pages 41-60, June.
  • Handle: RePEc:eee:revfin:v:8:y:1999:i:1:p:41-60
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    References listed on IDEAS

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    1. Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 187-201, June.
    2. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
    3. Levine, Ross & Zervos, Sara, 1996. "Stock Market Development and Long-Run Growth," World Bank Economic Review, World Bank Group, vol. 10(2), pages 323-339, May.
    4. Peter Fortune, 1991. "Stock market efficiency: an autopsy?," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 17-40.
    5. Corrado, Charles J. & Schatzberg, John, 1990. "A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A. Correction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 411-415, September.
    6. Smirlock, Michael & Starks, Laura, 1986. "Day-of-the-week and intraday effects in stock returns," Journal of Financial Economics, Elsevier, vol. 17(1), pages 197-210, September.
    7. Bookstaber, Richard M & McDonald, James B, 1987. "A General Distribution for Describing Security Price Returns," The Journal of Business, University of Chicago Press, vol. 60(3), pages 401-424, July.
    8. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    9. Branch, Ben & Chang, Kyungchun, 1985. "Tax-Loss Trading, Is the Game Over or Have the Rules Changed?," The Financial Review, Eastern Finance Association, vol. 20(1), pages 55-69, February.
    10. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    11. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
    12. Branch, Ben, 1977. "A Tax Loss Trading Rule," The Journal of Business, University of Chicago Press, vol. 50(2), pages 198-207, April.
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    Citations

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    Cited by:

    1. Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
    2. P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
    3. Charles, Amélie & Darné, Olivier, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Economic Systems, Elsevier, vol. 33(2), pages 117-126, June.
    4. Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82.
    5. Sun, Xiao-Qian & Cheng, Xue-Qi & Shen, Hua-Wei & Wang, Zhao-Yang, 2011. "Distinguishing manipulated stocks via trading network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3427-3434.
    6. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    7. Jason D. Mitchell & Li L Ong, 2006. "Seasonalities in China's Stock Markets; Cultural or Structural?," IMF Working Papers 06/4, International Monetary Fund.
    8. Groenewold, Nicolaas & Tang, Sam Hak Kan & Wu, Yanrui, 2003. "The efficiency of the Chinese stock market and the role of the banks," Journal of Asian Economics, Elsevier, vol. 14(4), pages 593-609, August.
    9. Cano Berlanga, Sebastian & Giménez Gómez, José M. (José Manuel), 2016. "On Chinese stock markets: How have they evolved along time?," Working Papers 2072/267085, Universitat Rovira i Virgili, Department of Economics.
    10. Rousseau, Peter L. & Xiao, Sheng, 2007. "Banks, stock markets, and China's `great leap forward'," Emerging Markets Review, Elsevier, vol. 8(3), pages 206-217, September.
    11. Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
    12. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
    13. Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012. "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, vol. 23(1), pages 122-137.
    14. Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011. "Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010)," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 153-162.
    15. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," ESTUDIOS GERENCIALES, UNIVERSIDAD ICESI, November.
    16. Aumeboonsuke, Vesarach & Dryver, Arthur L., 2014. "The importance of using a test of weak-form market efficiency that does not require investigating the data first," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 350-357.
    17. Brown, Philip & Mitchell, Jason, 2008. "Culture and stock price clustering: Evidence from The Peoples' Republic of China," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 95-120, January.
    18. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
    19. Marie-Eliette Dury & Bing Xiao, 2018. "Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models," Working Papers hal-01709321, HAL.
    20. Majumder, Debasish, 2014. "Asset pricing for inefficient markets: Evidence from China and India," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 282-291.
    21. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
    22. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
    23. Yu, Qiao & Du, Bin & Sun, Qian, 2006. "Earnings management at rights issues thresholds--Evidence from China," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3453-3468, December.
    24. Xiao-Qian Sun & Xue-Qi Cheng & Hua-Wei Shen & Zhao-Yang Wang, 2011. "Distinguishing manipulated stocks via trading network analysis," Papers 1110.2260, arXiv.org.
    25. Zhou, Wei-Xing & Yuan, Wei-Kang, 2005. "Inverse statistics in stock markets: Universality and idiosyncracy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 433-444.

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