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Did Financial Reforms Improve Shanghai and Shenzhen Stock Markets Performance?

In: Institutional Change and China Capitalism Frontier of Cliometrics and its Application to China

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  • Marie-Eliette Dury
  • Bing Xiao

Abstract

The Chinese equity market is one of the emerging equity markets which offers an opportunity for international diversification. Since the 1990s, the Chinese equity market has changed substantially in two ways: both the size of listed companies and the size of the market itself have increased, in addition the institutional and individual investors have become more mature. The reforms in regulations as well as in the attitudes of regulators have rendered the stock market more efficient. In addition, it would be a question of promoting sustainable development in China. In such cases, we expect an alteration in anomalies in the Chinese stock market. In this chapter, we examine the daily data from the Shenzhen A-share market and the Shanghai A-share market over the 1995–2019 period. Despite the disappearance of some seasonal effects, we find a strong Chinese New Year effect and a negative Thursday effect in Shenzhen and Shanghai stock markets. However, we observe that Chinese stock markets become more efficient and more market-oriented, especially after the reform of October 2011. Both the upward and downward adjustments have increased the return.

Suggested Citation

  • Marie-Eliette Dury & Bing Xiao, 2022. "Did Financial Reforms Improve Shanghai and Shenzhen Stock Markets Performance?," World Scientific Book Chapters, in: Antoine Le Riche & Antoine Parent & Lei Zhang (ed.), Institutional Change and China Capitalism Frontier of Cliometrics and its Application to China, chapter 10, pages 257-299, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800611238_0010
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    More about this item

    Keywords

    China; Macroeconomics; Cliometrics; Institutional Economics; Complexity; Economics; International Trade; Applied Econometrics; Econometrics; Empirical Finance; Behavioral Finance; Economic History; Sociology; Gender Studies;
    All these keywords.

    JEL classification:

    • P1 - Political Economy and Comparative Economic Systems - - Capitalist Economies
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • N15 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Asia including Middle East
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • F10 - International Economics - - Trade - - - General
    • B2 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925
    • B1 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925
    • F15 - International Economics - - Trade - - - Economic Integration

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