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Title: An empirical analysis of the equity markets in China
Authors: Mookerjee, R.
Yu, Q. 
Keywords: Chinese equity markets
Issue Date: Jun-1999
Citation: Mookerjee, R., Yu, Q. (1999-06). An empirical analysis of the equity markets in China. Review of Financial Economics 8 (1) : 41-60. ScholarBank@NUS Repository.
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. © 1999 Elsevier Science Inc.
Source Title: Review of Financial Economics
ISSN: 10583300
Appears in Collections:Staff Publications

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