Price Discovery from the Chinese A-Share Market: Trend Break Tests Using the Perron Mixed Model C

DOI

10.2991/icemet-16.2016.376How to use a DOI?

Keywords

break date, informationally efficient, shock, A-share market, trend function, unit root, time series.

Abstract

We argue that in 2007, the Chinese A-share market held a significant change in its entire progressing process. The China Petroleum listing may be a noteworthy event causing the trend change. The paper aims to test whether or not a structural break occurred in the stochastic trend of stock index data. We employed the Shanghai Composite Index and the Shenzhen Component Index series. Data spans the period from 1992M01 2014M12. Tests used the Perron mixed Model C. Integrated and break-date tests are data-dependent and treat the break point varibale to be endogenous. Tests suggest that a noteworthy trend shift in the Chinese A-stock market indeed took place in early 2007. Thus, a significant macroeconomic event that could change the market path may be perceived based on the stock index change. Further tests for two Sichuan and Chongqing real estate firm stock prices did not support a significant fiscal and tax rumor shock. Additionally, our finding indicates that the market responds quickly and markedly to a shock and thus to some extent the A-Share market follows the efficient market hypothesis (EMH). So, investors hardly benefit from transactions in the Chinese A-stock market simply by historical data.

Copyright

© 2016, 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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TY  - CONF
AU  - Gaolu Zou
AU  - Yan Xing
AU  - K.W. Chau
PY  - 2016/05
DA  - 2016/05
TI  - Price Discovery from the Chinese A-Share Market: Trend Break Tests Using the Perron Mixed Model C
BT  - Proceedings of the 2016 International Conference on Economy, Management and Education Technology
PB  - Atlantis Press
SP  - 1632
EP  - 1637
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemet-16.2016.376
DO  - 10.2991/icemet-16.2016.376
ID  - Zou2016/05
ER  -