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Carpenter, Jennifer N. - 2018

China is the world's largest investor and greatest contributor to global economic growth by wide margins. The … that China's stock market has a crucial role to play. Since the reforms of the last decade, China's stock market has become …, growth stocks, and long shots, and they discount for illiquidity and market risk. China's stock market no longer deserves its …

Persistent link: https://www.econbiz.de/10012937683

The Real Value of China's Stock Market

Carpenter, Jennifer N. - 2018

This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals …. Price informativeness is significantly correlated with corporate investment efficiency. For international investors, China …

Persistent link: https://www.econbiz.de/10012929566

The Random Walk Hypothesis for Chinese Stock Markets : Evidence from Variance Ratio Tests

Charles, Amélie - 2009

This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992-2007. The hypothesis is tested with new multiple variance ratio tests – Whang-Kim subsampling and Kim's wild bootstrap tests – as well as...

Persistent link: https://www.econbiz.de/10013155962

Time-varying Efficiency and the Adaptive Market Hypothesis : Evidence from Chinese A-share Stock Market

Zhu, Zipei - 2019

With the continuous questioning of the efficient market hypothesis and the booming development of behavioral finance theory, the basic framework of financial economics becomes increasingly blurred. Meanwhile, the adaptive market hypothesis proposed by Lo (2004), underscoring time-varying market...

Persistent link: https://www.econbiz.de/10012860970

Pre-Close Transparency and Price Efficiency at Market Closing : Evidence from the Taiwan Stock Exchange

Chien, Cheng-Yi - 2013

This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...

Persistent link: https://www.econbiz.de/10013090127

A Study of Efficiency of the Indian Stock Market

Hawaldar, Iqbal Thonse - 2020

In this study, we used event study methodology to examine stock price reactions to quarterly earnings announcement. The study is based on a sample of 146 companies listed on Bombay Stock Exchange and December 2000 quarterly earnings announcements are taken event. The abnormal performance is...

Persistent link: https://www.econbiz.de/10012844606

Stock Market Efficiency : The Pakistan Stock Exchange Merger

Ali, Asad - 2019

This study examines the valuation, liquidity, volatility, and efficiency before and after the integration of Islamabad Stock Exchange (ISE) and Lahore Stock Exchange (LSE) with Karachi Stock Exchange (KSE) to form the Pakistan Stock Exchange (PSX). The firm level daily data is analyzed to...

Persistent link: https://www.econbiz.de/10012898354

Market Quality Breakdowns in Equities

Gao, Cheng - 2015

Breakdowns in market quality are extreme price movements that reverse once the market learns that nothing fundamental has occurred. The average daily breakdown frequency from 1993-2013 is 1.03%, with averages in 2010-2013 more than two-thirds lower at 0.34%. Breakups, extreme price increases,...

Persistent link: https://www.econbiz.de/10013036433

Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10003881575

Impact of the Introduction of Call Auction on Price Discovery : Evidence from the Indian Stock Market Using High-Frequency Data

Agarwalla, Sobhesh Kumar - 2012

Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of immediacy. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due...

Persistent link: https://www.econbiz.de/10013096649

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