China
Further Evidence on the Evolution of Stock Markets in Transition Economies
Bibliographic Data
| ID | 10492903 |
|---|---|
| Authors | Xiaoming Li (0000-0002-5555-9034, Massey University, corresponding author) |
| Year | 2003 |
| Volume | 50 |
| Issue | 3 |
| Pages | 341-358 |
| Publication date | 2003-07-28 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Scottish Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0036-9292 • E-ISSN: 1467-9485 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/1467-9485.5003006 |
| OpenAlex | W2003582779 |
| Language | EN |
| Citations received | 1 |
| References cited | 16 |
We revisit the weak‐form efficiency of China's stock markets by examining its changing behaviour over the entire history of the Shanghai and Shenzhen Stock Exchanges. The Kalman Filter technique is applied to the system consisting of a time‐varying AR model and an asymmetric TGARCH equation. The estimates of predictability combined with other non‐quantifiable, evolutionary characteristics of the markets are used to infer on their efficiency. It is shown that, at their initial development stages, both the Shanghai and Shenzhen markets were inefficient. However, the past decade saw a steady convergence of the two markets towards efficiency. An abnormal leverage effect is detected for Shanghai, but no strong evidence is found that there exists the information transmission between the two markets
China · Econometrics · Economics · Emerging markets · Financial economics · Geography · Leverage (statistics · Leverage effect · Macroeconomics · Predictability · Stock (firearms · Volatility (finance · Complex Systems and Time Series Analysis · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Stock Market Forecasting Methods
| Citations per year | 0.05 |
|---|---|
| Citation span | 2005 - 2005 (1) |
| Highly cited | No |