The Chinese stock exchange market: operations and efficiency
The Chinese stock exchange market: operations and efficiency
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DOI：
10.1080/0960310042000180826
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发表时间：
2004-07
期刊：
影响因子：
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通讯作者：
H. Seddighi;W. Nian
中科院分区：
文献类型：
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作者：
H. Seddighi;W. Nian
自上世纪90年代初上海证券交易所和深圳证券交易所成立以来，中国证券市场发展迅速。截至2000年，国内上市公司数量已超过1000家，市值占GDP的比重达到33.4%左右。随着中国加入WTO，中国股票市场将成为全球投资者关注的焦点，并将在世界经济中发挥更重要的作用。本文的目的是提供中国证券交易市场的最新数据，并检验其有效性。为此，本文对上海证券交易所指数和8只在上海证券交易所上市的股票的每日数据进行了分析。检验过程包括三个过程：(1)使用Durbin - watson检验、Durbin ‘ h ’检验和拉格朗日乘数自相关检验来检验连续事件独立的模型假设；(2)使用单位根的Dickey-Fuller检验来检验事件同分布的假设；(3)使用ARCH检验检验残差是否包含一些隐藏的、可能是非线性的结构，如果发现股价中存在ARCH效应，则对第一差进行GARCH-M（1,1）模型拟合。
The Chinese stock market has developed rapidly since early 1990s, when the two stock exchanges, the Shanghai Securities Exchange and the Shenzhen Securities Exchange, were established. Until 2000, the number of listed domestic companies has reached over 1000, and market capitalization relative to GDP reached about 33.4%. As China joins WTO, the Chinese stock market will become a great concern of the global investors, and will play a more important role in the world economy. The purpose of this paper is to provide an up-to-data account of the Chinese stock exchange market and to test its efficiency. The daily data of the Shanghai Stock Exchange index and eight shares listed in the Shanghai Stock Exchanges are examined, for this purpose. The testing procedure involves three processes: (1) use the Durbin–Watson test, Durbin ‘h’ test, the Lagrange Multiplier test for autocorrelation to examine the assumption of the model that the successive occurrences are independent; (2) use the Dickey–Fuller tests for unit root to test the assumption that the occurrences are identically distributed; (3) use ARCH test to examine whether the residuals contain some hidden, possibly non-linear structure, and fit a GARCH-M(1,1) model to the first difference if the ARCH effect is found to be present in the share prices.