A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test

This paper reexamines the efficiency Chinese stock market for the period December 1990 to February 2010 by extending recent work of Qian et al (2008)2 using the nonlinear unit root test developed by Kapetanios, Shin and Snell (2003)3 and Kruse (2010)4. In doing so, the nonlinearity test of Harvey, L...

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Main Author: Abdul Manap, Turkhan Ali
Format: Conference or Workshop Item
Language:English
Published: 2011
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Online Access:http://irep.iium.edu.my/8525/1/A_NOTE_ON_CHINESE_STOCK_MARKET_EFFICIENCY_IREP.pdf
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spelling my.iium.irep.85252013-03-20T01:49:29Z http://irep.iium.edu.my/8525/ A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test Abdul Manap, Turkhan Ali H Social Sciences (General) HA154 Statistical data HG4501 Stocks, investment, speculation This paper reexamines the efficiency Chinese stock market for the period December 1990 to February 2010 by extending recent work of Qian et al (2008)2 using the nonlinear unit root test developed by Kapetanios, Shin and Snell (2003)3 and Kruse (2010)4. In doing so, the nonlinearity test of Harvey, Leybourne, and Xiao (2008)5 is used to have an insight into the best specification of the model. The nonlinear unit root tests rejects the null hypothesis of unit root, suggesting that Shanghai stock markets is not weak form efficient, which is contrary to the findings of Qian et al (2008) . In addition, the estimated ESTAR models provide strong evidence that the Shanghai stock market is characterized by a slower speed of mean reversion process. This also may explain why Qian et al (2008) failed to reject the null hypothesis of unit root, since TAR models assume instantaneous change in regimes rather than smooth, which is a characteristic of many financial variables. 2011 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/8525/1/A_NOTE_ON_CHINESE_STOCK_MARKET_EFFICIENCY_IREP.pdf Abdul Manap, Turkhan Ali (2011) A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test. In: International conference on "China's Growth and the World Economy", 7-8 July, 2011, Perth, Australia . (Unpublished)
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
topic H Social Sciences (General)
HA154 Statistical data
HG4501 Stocks, investment, speculation
spellingShingle H Social Sciences (General)
HA154 Statistical data
HG4501 Stocks, investment, speculation
Abdul Manap, Turkhan Ali
A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test
description This paper reexamines the efficiency Chinese stock market for the period December 1990 to February 2010 by extending recent work of Qian et al (2008)2 using the nonlinear unit root test developed by Kapetanios, Shin and Snell (2003)3 and Kruse (2010)4. In doing so, the nonlinearity test of Harvey, Leybourne, and Xiao (2008)5 is used to have an insight into the best specification of the model. The nonlinear unit root tests rejects the null hypothesis of unit root, suggesting that Shanghai stock markets is not weak form efficient, which is contrary to the findings of Qian et al (2008) . In addition, the estimated ESTAR models provide strong evidence that the Shanghai stock market is characterized by a slower speed of mean reversion process. This also may explain why Qian et al (2008) failed to reject the null hypothesis of unit root, since TAR models assume instantaneous change in regimes rather than smooth, which is a characteristic of many financial variables.
format Conference or Workshop Item
author Abdul Manap, Turkhan Ali
author_facet Abdul Manap, Turkhan Ali
author_sort Abdul Manap, Turkhan Ali
title A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test
title_short A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test
title_full A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test
title_fullStr A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test
title_full_unstemmed A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test
title_sort note on chinese stock market efficiency: fresh evidence from non-linear unit root test
publishDate 2011
url http://irep.iium.edu.my/8525/1/A_NOTE_ON_CHINESE_STOCK_MARKET_EFFICIENCY_IREP.pdf
http://irep.iium.edu.my/8525/
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score 13.209306