By investigating the efficiency of China's stock market in accordance with the theoretical framework of the Efficient Market Hypothesis, this book focuses on weak form and semi-strong form market efficiency. Empirical tests have been intensively conducted on the random walk hypothesis, the presence of market seasonality and the price reaction to publicly released information. In addition The Efficiency of China's Stock Market provides a comparative analysis between China's stock market and other countries' stock markets.Tests of Seasonalities 6.1 Introduction The EMH suggests that the stock prices in an efficient market should not ... Cross (1973), French (1980) and Gibbons and Hess (1981) indicated that the mean return on Mondays is significantly negative and low on the U.S. stock market. ... Lakonishok and Smidt (1988) and Ariel ( 1990) provided evidence of high returns occurring on the trading days before holidays.
|Title||:||The Efficiency of China's Stock Market|
|Publisher||:||Ashgate Publishing, Ltd. - 2004|