Is the Chinese stock market really inefficient?

Chong, Terence Tai Leung; Lam, Tau-Hing; Yan, Isabel K.

doi:10.1016/j.chieco.2011.08.003

Cited by 58 publications

(34 citation statements)

References 42 publications

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“…With the integration of international stock markets, the understanding of efficiency in emerging financial markets has become more important. Indeed, many recent studies examined the validity of the RWH in emergent economies including Brazil (Ely, 2011), Africa (Collins et al, 2011), China (Chong et al, 2012), India (Gupta and Basu, 2007), and Portugal (Borges, 2011). They reported unconformity with random walk hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Do MENA stock market returns follow a random walk process?

Lahmiri¹

2013

ijiec

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In this research, three variance ratio tests; namely the standard variance ratio test, the wild bootstrap multiple variance ratio test, and the non-parametric rank scores test are adopted to test the random walk hypothesis (RWH) of stock markets in Middle East and North Africa (MENA) region using most recent data from January 2010 to September 2012. The empirical results obtained by all three econometric tests show that the RWH is strongly rejected for Kuwait, Tunisia, and Morocco. However, the standard variance ratio test and the wild bootstrap multiple variance ratio test reject the null hypothesis of random walk in Jordan and Kingdom of Saudi Arabia (KSA), while non-parametric rank scores test do not. We may conclude that Jordan and KSA stock market are weak efficient. In sum, the empirical results suggest that return series in Kuwait, Tunisia, and Morocco are predictable. In other words, predictable patterns that can be exploited in these markets still exit. Therefore, investors may make profits in such less efficient markets.

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Section: Introductionmentioning

confidence: 99%

Do MENA stock market returns follow a random walk process?

Lahmiri¹

2013

ijiec

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“…That will enable us to evaluate the effectiveness of different government policies, which could lead to very important research results for both policy makers and academic researchers in Asia. 16 It is beyond the scope of this paper to review this emerging literature, among others, see Brunnermeier Table 2 Ex-R Ex-R-tutta…”

Section: Discussionmentioning

confidence: 99%

“…Those differences can be caused by financial constraints, beliefs, behavioral factors, allocation of attention or other factors. 16 Future research should explore how to identify the reasons behind the different responses.…”

Section: Discussionmentioning

confidence: 99%

The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?

Chang

Chen

Leung

2012

Regional Science and Urban Economics

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“…Similarly, Groenewold, Tang, and Yanrui (2004) documented the inefficiency of the China Stock Market. Chong, Lam, and Yan (2012) documented market efficiency Post-SOE reform in China. Their results evidenced that abnormal returns and abnormal profits occur in the pre-SOE reform period.…”

Section: Literature Reviewmentioning

confidence: 99%