Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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An Empirical Study on the Efficiency of the Chinese Stock Market

Authors
Jingyuan Luo1, Meng Zhang2, *, Yuxuan Zhang2
1Shandong University, School of Economics, Shandong, China
2Shandong University, School of Mathematics and Statistics, Shandong, China
*Corresponding author. Email: 201900820201@mail.sdu.edu.cn
Corresponding Author
Meng Zhang
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_99How to use a DOI?
Keywords
Efficient Markets Hypothesis; Unit Root Test; Run Test; Johansen Cointegration Test; Granger Causality Test
Abstract

This article conducts research on the daily closing prices and yields of the Shanghai Composite Index and the Shenzhen Composite Index from January 2, 2014 to January 2, 2020. Based on the random walk assumption, the unit root test, the run test and the autocorrelation test were used to examine the efficiency of Shanghai Stock Exchange and Shenzhen Stock Exchange respectively. According to the findings, both Shanghai and Shenzhen stock markets have reached weakform market efficiency. Because the three tests cannot prove whether there is a relationship between the Shanghai and Shenzhen stock markets, this article uses the Johansen cointegration test and the Granger causal test to determine whether the Shanghai and Shenzhen stock markets are joint weak-form market efficiency. The results reveal that there is no cointegration relation between the closing prices of Shanghai and Shenzhen Composite Index, but the daily yield of Shanghai and Shenzhen Composite Index can predict each other to some extent. Therefore, it is deduced that Shanghai and Shenzhen stock markets has not attained the joint weak-form market efficiency.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
978-94-6463-042-8
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_99How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jingyuan Luo
AU  - Meng Zhang
AU  - Yuxuan Zhang
PY  - 2022
DA  - 2022/12/29
TI  - An Empirical Study on the Efficiency of the Chinese Stock Market
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 690
EP  - 698
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_99
DO  - 10.2991/978-94-6463-042-8_99
ID  - Luo2022
ER  -