Fifield, S.G.M. and Jetty, J. (2008) Further evidence on the efficiency of the Chinese stock markets: a note. Research in International Business and Finance, 22(3), pp. 351-361. (doi: 10.1016/j.ribaf.2008.02.002)
Full text not currently available from Enlighten.
Abstract
This paper examines the efficiency of the Chinese A-share and B-share markets following the deregulation of the B-share market which widened ownership to include domestic investors. Applying parametric and non-parametric variance ratio tests to the daily data of 370 shares over 1996–2005, the paper finds that A-shares are more efficient than B-shares, although the efficiency of both markets has improved following the regulatory change. Overall, the results suggest that the Chinese stock markets are characterised by information asymmetry, although the timely access to high quality information that domestic investors enjoy has improved the efficiency of the B-share market.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Jetty, Dr Juliana |
| Authors: | Fifield, S.G.M., and Jetty, J. |
| Subjects: | H Social Sciences > HF Commerce |
| College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
| Journal Name: | Research in International Business and Finance |
| ISSN: | 0275-5319 |
| Published Online: | 29 February 2008 |
University Staff: Request a correction | Enlighten Editors: Update this record
Altmetric
Altmetric