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Has split share structure reform improved the efficiency of the Chinese stock market?

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  • Xindan Li
  • Bing Zhang

Abstract

Split share structure reform brings about fundamental changes to the Chinese stock market. This article compares the market efficiency before and after this reform. The generalized spectral derivative method is applied, which can capture linear and nonlinear serial dependence, and has stronger power against departures from market efficiency. The results show that although the markets were inefficient before the split share structure reform, they have reached the weak-form efficiency after that. This fundamental reform has improved the Chinese stock market efficiency.

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  • Xindan Li & Bing Zhang, 2011. "Has split share structure reform improved the efficiency of the Chinese stock market?," Applied Economics Letters, Taylor & Francis Journals, vol. 18(11), pages 1061-1064.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:11:p:1061-1064
    DOI: 10.1080/13504851.2010.524604
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    Cited by:

    1. Luo, Yan & Ren, Jinjuan & Wang, Yizhi, 2015. "Misvaluation comovement, market efficiency and the cross-section of stock returns: Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 390-412.

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