The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies
Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form effi ciency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both linear...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publications
2009
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| Subjects: | |
| Online Access: | http://psasir.upm.edu.my/id/eprint/17368/ http://psasir.upm.edu.my/id/eprint/17368/1/The%20weak.pdf |
| _version_ | 1848843222554509312 |
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| author | Lim, Kian Ping Habibullah, Muzafar Shah Hinich, Melvin J. |
| author_facet | Lim, Kian Ping Habibullah, Muzafar Shah Hinich, Melvin J. |
| author_sort | Lim, Kian Ping |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form effi ciency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both linear and nonlinear serial dependencies in the adjusted returns series, and capture the persistence of dependency structures over time. The result shows that the adjusted returns series from both markets follow a random walk for long periods of time, only to be interspersed with brief periods of strong linear and/or nonlinear dependency structures. This suggests that there are certain time periods when new information is not fully refl ected into stock prices. Another interesting
finding is that the existence of serial dependencies in
both the Shanghai and Shenzhen Stock Exchanges follows one another closely after October 1997. It indicates that both markets respond in a similar way to infl uences from political, economic, social and institutional changes. |
| first_indexed | 2025-11-15T08:11:36Z |
| format | Article |
| id | upm-17368 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:11:36Z |
| publishDate | 2009 |
| publisher | SAGE Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-173682016-07-22T04:22:05Z http://psasir.upm.edu.my/id/eprint/17368/ The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies Lim, Kian Ping Habibullah, Muzafar Shah Hinich, Melvin J. Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form effi ciency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both linear and nonlinear serial dependencies in the adjusted returns series, and capture the persistence of dependency structures over time. The result shows that the adjusted returns series from both markets follow a random walk for long periods of time, only to be interspersed with brief periods of strong linear and/or nonlinear dependency structures. This suggests that there are certain time periods when new information is not fully refl ected into stock prices. Another interesting finding is that the existence of serial dependencies in both the Shanghai and Shenzhen Stock Exchanges follows one another closely after October 1997. It indicates that both markets respond in a similar way to infl uences from political, economic, social and institutional changes. SAGE Publications 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/17368/1/The%20weak.pdf Lim, Kian Ping and Habibullah, Muzafar Shah and Hinich, Melvin J. (2009) The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies. Journal of Emerging Market Finance, 8 (2). pp. 133-163. ISSN 0972-6527 Stock exchanges Stock exchanges - China Stocks - China 10.1177/097265270900800203 |
| spellingShingle | Stock exchanges Stock exchanges - China Stocks - China Lim, Kian Ping Habibullah, Muzafar Shah Hinich, Melvin J. The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies |
| title | The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies |
| title_full | The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies |
| title_fullStr | The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies |
| title_full_unstemmed | The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies |
| title_short | The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies |
| title_sort | weak-form efficiency of chinese stock markets : thin trading, nonlinearity and episodic serial dependencies |
| topic | Stock exchanges Stock exchanges - China Stocks - China |
| url | http://psasir.upm.edu.my/id/eprint/17368/ http://psasir.upm.edu.my/id/eprint/17368/ http://psasir.upm.edu.my/id/eprint/17368/1/The%20weak.pdf |