An empirical analysis of the equity markets in China |
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| Authors: | Rajen Mookerjee Qiao Yu |
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| Institution: | 1. AQR Capital Management, LLC, Two Greenwich Plaza, Greenwich, CT 06830, USA;2. University of Chicago, Booth School of Business, 5807 South Woodlawn Avenue, Chicago, IL 60637, USA;3. Department of Finance, Copenhagen Business School, A4.12, Solbjerg Plads 3, 2000 Frederiksberg, Denmark;4. Centre for Economic Policy Research (CEPR), London, UK;1. Finance School, Shandong Technology and Business University, 191 Binhai RD, Laishan Dist., Yantai 264005, China;2. Shandong Provincial University Financial Service Transformation Collaborative Innovation Center, 191 Binhai RD, Laishan Dist., Yantai 264005, China;1. China Academy of Financial Research, Zhejiang University of Finance & Economics, Hangzhou 310018, China;2. School of Accountancy, Zhejiang University of Finance & Economics, Hangzhou 310018, China |
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| Abstract: | This paper subjects the newly established stock markets in Shanghai and Shenzhen to tests of market efficiency, utilizing daily stock price data. Using a battery of tests, the study concludes that there are significant inefficiencies present on both exchanges. These can be traced to the unique structural and institutional problems that plague both exchanges. The study also tests for the presence of seasonal anomalies on both exchanges. The results show that there are significant negative weekend and positive holiday effects, but there is no evidence of a January effect or early January effect. |
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| Keywords: | Chinese equity markets Efficiency Seasonality |
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