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Comparative Study of Market Inefficiency on the Sino-U.S. Stock Markets

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Book cover Proceedings of the Sixth International Conference on Management Science and Engineering Management

Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 185))

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Abstract

In this paper, we consider an autocorrelation of stock returns as a good proxy of degree of market inefficiency when we deal with the EMH in the weak sense. We check a time varying structure of autocorrelations of stock returns data based on the Moving Window method and estimate the time varying AR(1) coefficients by using a state space model. We use the monthly returns for the Shanghai A-share Index, B-Share index and S&P500 stock Index from 1992 to early 2012 as a sample. The result shows: the degree of market inefficiency varies through time; on the degree of market inefficiency, the Chinese stock market is greater than the U.S. stock market, A-share market is greater than the B-share market, and the market inefficiency between B-share market and the U.S. market has some linkage. Finally, we calculate the numerical measurement of relative market inefficiency on the Sino-U.S. Stock Markets.

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Acknowledgements

National Natural Science Foundation of China (NSFC) under project No. 70873115 and 71173203. The authors appreciate the support from National Natural Science Foundation of China (NSFC) under project No. 70873115 and 71173203. We are also thankful for the funding provided by Key Universities Research Institute of Humanities and Social Sciences in Zhejiang Province, China. Standardization and Intellectual Property Management.

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Authors and Affiliations

  1. College of Economics and Management, China Jiliang University, Hangzhou, 310018, People’s Republic of China

    Ronghua Yi & Yangbin Zhang

Authors
  1. Ronghua Yi
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  2. Yangbin Zhang
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Corresponding author

Correspondence to Yangbin Zhang .

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Editors and Affiliations

  1. Sichuan University, Chengdu, China, People's Republic

    Jiuping Xu

  2. Quaid-e-Azam University, Islamabad, Pakistan

    Masoom Yasinzai

  3. , LeBow College of Business, Drexel University, Peck PSR Center 204, Philadelphia, 19104, Pennsylvania, USA

    Benjamin Lev

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Yi, R., Zhang, Y. (2013). Comparative Study of Market Inefficiency on the Sino-U.S. Stock Markets. In: Xu, J., Yasinzai, M., Lev, B. (eds) Proceedings of the Sixth International Conference on Management Science and Engineering Management. Lecture Notes in Electrical Engineering, vol 185. Springer, London. https://doi.org/10.1007/978-1-4471-4600-1_19

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  • DOI: https://doi.org/10.1007/978-1-4471-4600-1_19

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  • Publisher Name: Springer, London

  • Print ISBN: 978-1-4471-4599-8

  • Online ISBN: 978-1-4471-4600-1

  • eBook Packages: EngineeringEngineering (R0)

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