An Empirical Study of MEH in China's Stock Market
MEH (Market Efficiency Hypothesis) has been discussed for several decades in world wide with has proposed by Fama in his PHD dissertation in 1965. This paper examines whether the market is efficient and to what extent the market is efficient in China's Stock Market. For statistic tests are appl...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
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| Online Access: | https://eprints.nottingham.ac.uk/21309/ |
| _version_ | 1848792226214182912 |
|---|---|
| author | Li, Jing |
| author_facet | Li, Jing |
| author_sort | Li, Jing |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | MEH (Market Efficiency Hypothesis) has been discussed for several decades in world wide with has proposed by Fama in his PHD dissertation in 1965. This paper examines whether the market is efficient and to what extent the market is efficient in China's Stock Market. For statistic tests are applied involving unit root test, run test, serial correlation test and gradual efficiency test. According to the results of the tests on daily close price of eight indices in Shanghai stock exchange for five years, China's Stock market can be concluded to be weak form efficient and the efficiency is enhanced with the time. |
| first_indexed | 2025-11-14T18:41:02Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21309 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:41:02Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-213092017-10-12T12:15:32Z https://eprints.nottingham.ac.uk/21309/ An Empirical Study of MEH in China's Stock Market Li, Jing MEH (Market Efficiency Hypothesis) has been discussed for several decades in world wide with has proposed by Fama in his PHD dissertation in 1965. This paper examines whether the market is efficient and to what extent the market is efficient in China's Stock Market. For statistic tests are applied involving unit root test, run test, serial correlation test and gradual efficiency test. According to the results of the tests on daily close price of eight indices in Shanghai stock exchange for five years, China's Stock market can be concluded to be weak form efficient and the efficiency is enhanced with the time. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21309/1/2006lixjl24.pdf.MDI Li, Jing (2007) An Empirical Study of MEH in China's Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Li, Jing An Empirical Study of MEH in China's Stock Market |
| title | An Empirical Study of MEH in China's Stock Market |
| title_full | An Empirical Study of MEH in China's Stock Market |
| title_fullStr | An Empirical Study of MEH in China's Stock Market |
| title_full_unstemmed | An Empirical Study of MEH in China's Stock Market |
| title_short | An Empirical Study of MEH in China's Stock Market |
| title_sort | empirical study of meh in china's stock market |
| url | https://eprints.nottingham.ac.uk/21309/ |