249
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

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

&
Pages 1061-1064 | Published online: 06 Feb 2011
 

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.

Acknowledgements

This research was supported by the China National Science Fund 70932003 and NCET-08-0284. Our special thanks are given to Dr. Huifeng Pan for his Gauss codes and sincere help.

Notes

1Because it is consistent with the stylized fact that financial markets are usually more affected by the recent past events than by the remote past events.

2The details of descriptive statistics are not reported for simplicity.

3One interesting finding is that all indices, whether before or after split share structure reform, and their mean-adjusted returns all belong to white noise process, which reveal the market inefficiency before split share structure reform comes from nonlinear dependence. Some articles, based on the variance ratio test, claimed that Chinese stock market had been efficient before this reform, however, traditional variance ratio test cannot detect nonlinear-dependent components in mean and thus have limitations.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.