مجلة الإقتصاد الجديد
Volume 6, Numéro 2, Pages 67-84
2015-06-01
Analyse De L'evolution De L'efficience Du Marche Des Actions De Shanghai:application Du Modele Garch-m(1,1) Et Tests De Ratio De Variance
Auteurs : Zoheir Guebli .
Résumé
This study is based on single and multiple variance ratio tests, and GARCH-M (1,1) model to revisit the weak form of the efficient market hypothesis (EMH) on A and B shares on the Shanghai exchanges in Chinese stock market. The study divides the period into four sub-period overlapping between them in order to capture a tendency or a departure toward the weak form of efficiency in their evolutions. The results show a rejection of the weak form of efficiency for A-shares and B-shares and are very sensitive to the past shocks.
Mots clés
This study is based on single and multiple variance ratio tests, and GARCH-M (1,1) model to revisit the weak form of the efficient market hypothesis (EMH) on A and B shares on the Shanghai exchanges in Chinese stock market. The study divides the period into four sub-period overlapping between them in order to capture a tendency or a departure toward the weak form of efficiency in their evolutions. The results show a rejection of the weak form of efficiency for A-shares and B-shares and are very sensitive to the past shocks.
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