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Market efficiency for two classes of stocks in China: state owned and private companies
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
2012 (English)Independent thesis Advanced level (professional degree), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The fast-growing economy in China attracts the world’s interests, which includes the Chinese stock markets. The market efficiency of Chinese stock markets is widely discussed by researchers in different approaches. The involvement of government in stock markets is a unique case in the financial world.

 

By this paper, we are answering the question that is the degree of market efficiency of stat-owned companies different from that of private companies in Chinese stock markets. This will bring us knowledge about Chinese stock markets as well as the impact from ownership, market value and management styles on market efficiency.

 

To clarify the influence from government involvement in stock markets, we select 938 stocks distinguished by ownership structure. This quantitative study is preceded on daily data from 2007 to 2011. We use auto correlation, Chi-square test, and linear regression together with Spearman’s correlation to test our hypothesis. The degree of market efficiency of each ownership group is examined and compared to each other. Market efficiency related to ownership and market capitalization are inspected if they are anomaly factors in Chinese markets.

 

The empirical results indicate that the degree of market efficiency of state-owned companies is significantly different from the degree of market efficiency of private-owned companies in China. The market capitalization is one of the existing anomaly factors in Chinese stock markets, as well as it is correlated with degree of market efficiency to some extent. For state-owned enterprises, active management on stock market does not provide a better market efficiency compared to passively managed companies.

Place, publisher, year, edition, pages
2012. , 78 p.
Keyword [en]
Efficient Market Hypothesis, Random Walk, Degree of Market efficiency, Anomaly, Chinese stock markets, State-owned enterprises, Ownership, Market Capitalizations.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-61803OAI: oai:DiVA.org:umu-61803DiVA: diva2:572027
Educational program
Study Programme in Business Administration and Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-11-26 Created: 2012-11-26 Last updated: 2012-11-26Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf