TY - JOUR
T1 - Further evidence on the efficiency of the Chinese stock markets
T2 - a note
AU - Fifield, Suzanne G. M.
AU - Jetty, Juliana
N1 - Copyright 2008 Elsevier B.V., All rights reserved.
PY - 2008/9/1
Y1 - 2008/9/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=47149107981&partnerID=8YFLogxK
U2 - 10.1016/j.ribaf.2008.02.002
DO - 10.1016/j.ribaf.2008.02.002
M3 - Article
AN - SCOPUS:47149107981
SN - 0275-5319
VL - 22
SP - 351
EP - 361
JO - Research in International Business and Finance
JF - Research in International Business and Finance
IS - 3
ER -