Dissertation
Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Shanghai stock market and the effectiveness of the Hong Kong securities market

Author ZuoZuo
Tutor ZhuangQiShan
School Fudan University
Course World economy
Keywords Shanghai Composite Index Hang Seng Index Information Efficiency
CLC F224
Type Master's thesis
Year 2008
Downloads 257
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This thesis starts with the introduction of Shanghai stock market,Hong Kong stock market and efficient market hypothesis.It then tries to compare the information efficiency between Shanghai and Hong Kong stock markets with 2002-2007 Shanghai Composite Index and Hong Seng Index trading data.The model used is a modified GARCH(1,1) model and the data is processed with Excel and run with Stata.The empirical result of the daily trading data shows that the information spread process did not have a significant effect on either Shanghai stock market or Hong Kong stock market. However,the daily trading data of Shanghai Composite Index shows sign of the day-of-the-week effect and seasonality effect,though not significant at 5%significance level.These effects are not excluded from our data and could potentially bias our empirical result.The empirical result of the weekly trading data doesn’t show significant effect on Hong Kong or Shanghai stock market either.The effect increases greatly however for Shanghai stock market and is significant at 10%level.Our empirical result shows that the Shanghai stock market has improved in terms of information efficiency,which is contray to the result of Liu and Morimune(2005) and other previous studies of Shanghai stock market.Although our result shows that the information efficiency of Shanghai stock market has improved a lot,it still indicates that compared to developed stock markets like Hong Kong stock market,it is still less efficient given the information spread process effect significant at 10%significance level.

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