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

Suzanne G. M. Fifield, Juliana Jetty

    Research output: Contribution to journalArticlepeer-review

    32 Citations (Scopus)


    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
    Issue number3
    Publication statusPublished - 1 Sept 2008


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