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The efficiency of the Chinese stock market and the role of market liberalization

Author

Listed:
  • Qian Liu

    (Kobe University)

  • Shigeyuki Hamori

    (Kobe University)

Abstract

This article tests for the random walk hypothesis in the four Chinese stock markets of Shanghai "A," Shanghai "B," Shenzhen "A," and Shenzhen "B" and explores the impact of the market liberalization that occurred in 2001 on the efficiency of these markets. Empirical results show that the market liberalization in 2001 has a significant effect on the efficiency of Chinese stock markets.

Suggested Citation

  • Qian Liu & Shigeyuki Hamori, 2010. "The efficiency of the Chinese stock market and the role of market liberalization," Economics Bulletin, AccessEcon, vol. 30(3), pages 2524-2532.
    • Handle: RePEc:ebl:ecbull:eb-10-00551
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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P232.pdf
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    More about this item

    Keywords

    Chinese stock markets; market liberalization; market efficiency; variance ratio tests;
    All these keywords.

    JEL classification:

    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development

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