Further evidence on the efficiency of the Chinese stock markets: a note

Suzanne G. M. Fifield, Juliana Jetty

    Research output: Contribution to journalArticle

    22 Citations (Scopus)

    Abstract

    This paper examines the efficiency of the Chinese A-share and B-share markets following the deregulation of the B-share market which widened ownership to include domestic investors. Applying parametric and non-parametric variance ratio tests to the daily data of 370 shares over 1996-2005, the paper finds that A-shares are more efficient than B-shares, although the efficiency of both markets has improved following the regulatory change. Overall, the results suggest that the Chinese stock markets are characterised by information asymmetry, although the timely access to high quality information that domestic investors enjoy has improved the efficiency of the B-share market.
    Original languageEnglish
    Pages (from-to)351-361
    Number of pages11
    JournalResearch in International Business and Finance
    Volume22
    Issue number3
    DOIs
    Publication statusPublished - 1 Sep 2008

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    Chinese stock market
    Market share
    Investors
    Ownership
    Information asymmetry
    Quality information
    Deregulation
    Variance ratio test
    Regulatory change

    Cite this

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    abstract = "This paper examines the efficiency of the Chinese A-share and B-share markets following the deregulation of the B-share market which widened ownership to include domestic investors. Applying parametric and non-parametric variance ratio tests to the daily data of 370 shares over 1996-2005, the paper finds that A-shares are more efficient than B-shares, although the efficiency of both markets has improved following the regulatory change. Overall, the results suggest that the Chinese stock markets are characterised by information asymmetry, although the timely access to high quality information that domestic investors enjoy has improved the efficiency of the B-share market.",
    author = "Fifield, {Suzanne G. M.} and Juliana Jetty",
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    Further evidence on the efficiency of the Chinese stock markets : a note. / Fifield, Suzanne G. M.; Jetty, Juliana.

    In: Research in International Business and Finance, Vol. 22, No. 3, 01.09.2008, p. 351-361.

    Research output: Contribution to journalArticle

    TY - JOUR

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    AU - Jetty, Juliana

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