Market Segmentation and Stock Prices Discount in the Chinese Stock Market: Revisiting B-Share Discounts in the Chinese Stock Market

2007 ◽  
Author(s):  
Oliver M. Rui ◽  
Wenfeng Wu ◽  
Bong-Soo Lee
Keyword(s):  
Stock Market ◽  
Market Segmentation ◽  
Stock Prices ◽  
Chinese Stock Market

scholarly journals A Review of Market Segmentation and Inefficiencies of the Chinese Stock Market

2015 ◽  
Vol 4 (4) ◽  
pp. 18-28
Author(s):  
Shuang Feng ◽  
Jon Stewart
Keyword(s):  
Stock Market ◽  
Market Segmentation ◽  
Recent Literature ◽  
Emerging Market ◽  
Chinese Stock Market ◽  
Future Studies ◽  
Calendar Effects ◽  
Market Inefficiencies ◽  
The Past ◽  
Market Inefficiency

The Chinese stock market is an emerging market that has gained much importance over the past few decades. Because of this, it also serves as a great subject for studying market inefficiencies and anomalies. In this paper we provide a review of evidence regarding the development, efficiency and integration of the Chinese stock market. In particular, we review recent literature in the areas of market segmentation, cross-listings and calendar effects. This provides evidence of market inefficiency in China. We also pose questions that can be answered in future studies.

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

scholarly journals Modelling the Behaviour of Technicians and Fundamentalists in the Shanghai Stock Market

2009 ◽  
Author(s):  
Imad A. Moosa ◽  
Larry CF Li
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Formation ◽  
Chinese Stock Market ◽  
Price Effect ◽  
Daily Data ◽  
The Government

This paper provides empirical evidence on the role of fundamentalists and technicians in the Chinese stock market. Three econometric models are used to differentiate the stock price effect between the actions of traders who act on the basis of fundamental analysis and those acting on the basis of technical analysis. The models are estimated using randomly selected monthly and daily data on the stock prices of one hundred companies listed on the Shanghai Stock Exchange. The results reveal that both fundamentalists and technicians have roles to play in stock price formation, although technicians appear to play a more important role. This result holds even if the government intervention is allowed for. Some explanations are presented for the dominance of technicians.  

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