An Empirical Study of MEH in China's Stock Market

Li, Jing (2007) An Empirical Study of MEH in China's Stock Market. [Dissertation (University of Nottingham only)] (Unpublished)

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (1MB)


MEH (Market Efficiency Hypothesis) has been discussed for several decades in world wide with has proposed by Fama in his PHD dissertation in 1965. This paper examines whether the market is efficient and to what extent the market is efficient in China's Stock Market. For statistic tests are applied involving unit root test, run test, serial correlation test and gradual efficiency test. According to the results of the tests on daily close price of eight indices in Shanghai stock exchange for five years, China's Stock market can be concluded to be weak form efficient and the efficiency is enhanced with the time.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 06 Mar 2008
Last Modified: 12 Oct 2017 12:15

Actions (Archive Staff Only)

Edit View Edit View