Are Chinese Stock Markets Efficient? Outline: There are three stock markets now active in China: Hang Seng (Hong Kong), Shenzhen and Shanghai. The purpose of this project is to determine whether the...

Are Chinese Stock Markets Efficient?

Outline:

There are three stock markets now active in China: Hang Seng (Hong Kong), Shenzhen and Shanghai. The purpose of this project is to determine whether the stock markets are efficient. In other words, do the returns follow a random walk?

Methodology:

The project will require use of a variety of unit root tests and cointegration econometric techniques. A good paper that describes the background to the stock markets in China is Chan et al. (2007), and the empirical methodology to be used is described in Liu et al. (1996).

Data:

The period of interest and the frequency of the data (e.g., daily, weekly time intervals) can be determined in consultation with the supervisor. Data is available on the stock markets website or Google Finance.