مجلة الإقتصاد الجديد
Volume 6, Numéro 2, Pages 67-84
2015-06-01
Auteurs : Zoheir Guebli .
This study is based on single and multiple variance ratio tests, and GARCH-M (1,1) model to revisit the weak form of the efficient market hypothesis (EMH) on A and B shares on the Shanghai exchanges in Chinese stock market. The study divides the period into four sub-period overlapping between them in order to capture a tendency or a departure toward the weak form of efficiency in their evolutions. The results show a rejection of the weak form of efficiency for A-shares and B-shares and are very sensitive to the past shocks.
This study is based on single and multiple variance ratio tests, and GARCH-M (1,1) model to revisit the weak form of the efficient market hypothesis (EMH) on A and B shares on the Shanghai exchanges in Chinese stock market. The study divides the period into four sub-period overlapping between them in order to capture a tendency or a departure toward the weak form of efficiency in their evolutions. The results show a rejection of the weak form of efficiency for A-shares and B-shares and are very sensitive to the past shocks.
Khouri Nabil
.
pages 752-762.
Khaled Mohamed
.
pages 104-119.
Hemche Omar
.
Maliki Samir B.
.
pages 42-56.
Nemiri Yaici Farida
.
pages 91-111.