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The Shanghai stock market: Tests of ...

Kent State University.

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The Shanghai stock market: Tests of weak-form efficiency and co-integration with the Greater China stock markets.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	The Shanghai stock market: Tests of weak-form efficiency and co-integration with the Greater China stock markets./
Author:	Hsiao, Jung-Lieh.
Description:	260 p.
Notes:	Director: Richard J. Curcio.
Contained By:	Dissertation Abstracts International56-12A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9612373

The Shanghai stock market: Tests of weak-form efficiency and co-integration with the Greater China stock markets.
Hsiao, Jung-Lieh.

The Shanghai stock market: Tests of weak-form efficiency and co-integration with the Greater China stock markets. - 260 p.

Director: Richard J. Curcio.

Thesis (Ph.D.)--Kent State University, 1996.

The purpose of this dissertation was (1) to test for weak-form market efficiency on the Shanghai Securities Exchange (SSE), the main stock market for the People's Republic of China, and (2) to test for co-integration among the Greater China (GC) stock markets including Shanghai, Shenzhen, Hong Kong and Taiwan.Subjects--Topical Terms:

626650
Economics, Finance.

The Shanghai stock market: Tests of weak-form efficiency and co-integration with the Greater China stock markets.
LDR:04097nam 2200325 a 45 001 934402
005 20110509
008 110509s1996 eng d
035 $a (UnM)AAI9612373
035 $a AAI9612373
040 $a UnM $c UnM
100 1 $a Hsiao, Jung-Lieh. $3 700220
245 1 0 $a The Shanghai stock market: Tests of weak-form efficiency and co-integration with the Greater China stock markets.
300 $a 260 p.
500 $a Director: Richard J. Curcio.
500 $a Source: Dissertation Abstracts International, Volume: 56-12, Section: A, page: 4883.
502 $a Thesis (Ph.D.)--Kent State University, 1996.
520 $a The purpose of this dissertation was (1) to test for weak-form market efficiency on the Shanghai Securities Exchange (SSE), the main stock market for the People's Republic of China, and (2) to test for co-integration among the Greater China (GC) stock markets including Shanghai, Shenzhen, Hong Kong and Taiwan.
520 $a The GC Economy, in terms of total trade, now ranks third in the world. The World Trade Organization is projecting that by the year 2020, the GC Economy will surpass all others. Development of the capital markets of the GC will be of critical importance in financing this enormous forecasted growth. Thus, understanding the stock markets of the GC in terms of their informational efficiency and pricing interrelationships is of great interest not only to academicians, but also to investors, portfolio managers, regulators, and government policy makers.
520 $a Studies have been published regarding weak-form efficiency in both the Hong Kong and Taiwan stock markets. The results indicate that the Hong Kong stock market is weak-form efficient but such is not the case for Taiwan. However, to date, no rigorous research has been published on either the efficiency of the SSE or the co-integration of the GC stock markets. It was the intention of this research to gain basic insights on these critical topics.
520 $a To test for weak-form efficiency on the SSE, both informal and formal techniques were employed. First, a detailed description of the organization and regulatory structure of the SSE was compiled. The characteristics of such were then compared and contrasted with the standard profile of an informationally efficient stock market. Second, formal tests of weak-form efficiency were implemented including autocorrelation tests, runs-tests, and variance-ratio tests. To examine the co-integration of the GC stock markets, preliminary unit-root tests were conducted, followed by application of the Johansen-Juselius Multivariate test.
520 $a The results, regarding efficiency, indicate that the SSE is not weak-form efficient. This was true for both A and B shares, when market-index prices were used and the conclusion was confirmed by all three tests of weak-form efficiency. Further, the weak-form efficiency of the SSE did not improve over the time period examined in this study. A number of policy changes are warranted to correct this situation. Efficiency test results were more mixed for individual securities.
520 $a Regarding co-integration among the GC stock markets, the results indicate that the A-share markets of Shanghai and Shenzhen are not cointegrated with each other, nor with the Hong Kong and Taiwan stock markets. However, the B-share markets of Shanghai and Shenzhen are cointegrated with the Hong Kong and Taiwan stock markets, as well as with each other's markets.
520 $a The potential for investors to exploit this cointegration seems to exist. However, more research will need to be conducted on this issue. Also, diversifying through international investment in Shanghai, Shenzhen, Hong Kong and Taiwan would seem to be less effective in reducing risk because of the cointegration that exists between these markets.
590 $a School code: 0101.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Kent State University. $3 1017419
773 0 $t Dissertation Abstracts International $g 56-12A.
790 $a 0101
790 1 0 $a Curcio, Richard J., $e advisor
791 $a Ph.D.
792 $a 1996
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=9612373