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An empirical analysis of the equity markets in China

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  • Rajen Mookerjee
  • Qiao Yu

Abstract

This paper subjects the newly established stock markets in Shanghai and Shenzhen to tests of market efficiency, utilizing daily stock price data. Using a battery of tests, the study concludes that there are significant inefficiencies present on both exchanges. These can be traced to the unique structural and institutional problems that plague both exchanges. The study also tests for the presence of seasonal anomalies on both exchanges. The results show that there are significant negative weekend and positive holiday effects, but there is no evidence of a January effect or early January effect.

Suggested Citation

  • Rajen Mookerjee & Qiao Yu, 1999. "An empirical analysis of the equity markets in China," Review of Financial Economics, John Wiley & Sons, vol. 8(1), pages 41-60.
    • Handle: RePEc:wly:revfec:v:8:y:1999:i:1:p:41-60
    DOI: 10.1016/S1058-3300(99)00006-3
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    References listed on IDEAS

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    Cited by:

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    2. Bolek Monika & Gniadkowska-Szymańska Agata & Lyroudi Katerina, 2022. "Covid-19 Pandemic and Day-of-the-week Anomaly in Omx Markets," Central European Economic Journal, Sciendo, vol. 9(56), pages 158-177, January.

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