Journal of Finance and Economics

Journal of Finance and Economics

ISSN: 2291-4951 (Print)    ISSN: 2291-496X (Online)

Volume 1 (2013), No. 1, Pages 1-9

DOI: 10.12735/jfe.v1i1p01

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Has Stock Market Efficiency Improved? Evidence from China

Thian Cheng Lim1  Wan Huang2  Jessica Lim Xiu Yun3  Dan Zhao1 

1Xi'an Jiaotong-Liverpool University, China
2Imperial College, London
3National University of Singapore, Singapore

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Stock market has been associated with economic growth through its role as a source of new private capital. On the other hand, economic growth may be the catalyst for stock market growth. The purpose of this paper is to investigate the efficiency of the two official stock markets in China. The sample includes the daily closing prices of A-share and B-share indexes in both the Shanghai and Shenzhen stock exchanges for the period of January 1st, 2006 to December 31st, 2010. Three different approaches are employed; namely, serial correlation test, runs test and variance ratio test. Statistical evidence from serial correlation test shows that returns are correlated in both Shanghai and Shenzhen indexes and therefore the markets are weak-form efficiency.

JEL Classifications: G15

Keywords: stock market; efficient market hypothesis, weak form, inefficient

To Cite this Article: Lim, T. C., Huang, W., Lim, J. X. Y., & Zhao, D. (2013). Has Stock Market Efficiency Improved? Evidence from China. Journal of Finance and Economics, 1(1), 1-9.

Copyright © Thian Cheng Lim et al.

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This article is published under license to Science and Education Centre of North America. This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International License.

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Has Stock Market Efficiency Improved? Evidence from China