Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)

Research on the Validity of China's Stock Market Based on Random Walk Test

Authors
Fengrui Liu, Xiaohui Hu, Fuchang Li
Corresponding Author
Fuchang Li
Available Online December 2018.
DOI
https://doi.org/10.2991/febm-18.2018.40How to use a DOI?
Keywords
Market efficiency; Weak-Form market efficiency; Random walk test; First-order autoregressive
Abstract

China's stock market has been in existence for nearly 30 years since its inception, and there have been many problems at the same time of rapid development, such as frequent skyrocketing and imperfect regulatory systems.The issue of stock market validity is one of the focuses of scholars.We use the random walk test to analyze the 6704 trading days of the Shanghai Composite Index from December 17, 1990 to May 18, 2018 and SZSE Component Index for 6617 trading days for the holidays and non-trading days from April 3, 1991 to May 18, 2018.It is concluded that the initial stage of China's stock market is an ineffective market, and then gradually shifts to a weak effective market. The current market situation can be roughly identified as a weak-form market efficiency.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
December 2018
ISBN
978-94-6252-623-5
ISSN
2352-5428
DOI
https://doi.org/10.2991/febm-18.2018.40How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Fengrui Liu
AU  - Xiaohui Hu
AU  - Fuchang Li
PY  - 2018/12
DA  - 2018/12
TI  - Research on the Validity of China's Stock Market Based on Random Walk Test
BT  - Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018)
PB  - Atlantis Press
SP  - 171
EP  - 174
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-18.2018.40
DO  - https://doi.org/10.2991/febm-18.2018.40
ID  - Liu2018/12
ER  -