The China A shares follow random walk but the B shares do not

The China A-Share stocks and the China B-Share stocks are common stocks issued by companies incorporated in China. These two classes of common stocks differ in the nationality of the investors each is restricted to by law. For the most part, the A shares, quoted in the Chinese yuan, or renminbi, are for Chinese nationals while the B shares, quoted in foreign currencies, are for non-Chinese nationals and residents of Macau, Hong Kong and Taiwan. This paper identified eighty-six companies issuing both the A and B shares and tested if these shares weekly returns follow a random walk. Employing the Lo and MacKinlay variance ratio test statistics, it is discovered that five times more B shares rejected the random walk as did the A shares. Moreover, both the Shenzhen and Shanghai B-Share indexes reject the random walk while neither the Shenzhen nor Shanghai A-Share index reject the random walk.

Testing the Weak-Form Market Efficiency Hypothesis for Canadian and Chinese Stock

The main empirical test methods for Weak-form efficiency market hypothesis can be divided into two categories: one is to test the randomness of stock prices; the other is to test the invalidity of technical analysis, which testing the predictability of earnings. This study mainly focused on the first category.To examining the hypothesis whether Canadian and Chinese stock markets are efficient in the weak form, two types of test are conducted. They are parametric and non-parametric tests. For Non-parametric test, we implement the Runs test and Kolmogrov–Smirnov goodness of fit test. For parametric test, autocorrelation (LBQ test), variance ratio and ARMA model have been chosen. The empirical analysis in this study uses daily closing prices of indices from Shanghai Stock Exchange (SSE) and Toronto Stock Exchange (TSX). To avoiding the biases of choosing testing period, we implemented the same tests among different sample periods for each market.The overall testing results are mixed from sample period to sample period for both markets. In general, for the early testing period, almost all testing techniques generate unfavoured results against the weak-form efficient market hypothesis (EMH) for both TSX and SSE. Several testing results based on more recent sample periods align with the assumption under the EMH, but it is still early to claim that either the Canadian or the Chinese stock market hasbecome the weak form efficient. More comprehensive testing results and analysis can be found under section 5 and 6

Effects of China's Collective Forestland Tenure Reform Policies on Forest Product Firm Values

China's collective forestland tenure reform has dramatically affected the business environment of domestic forest product firms. This study examines the impact of the said reform on the expected values of these firms, via the reaction of investors (as seen on the stock markets) towards the issuance of related policies. Based on signaling theory and the assumption that the Chinese stock markets are efficient in terms of work form, this study adopts an event study method and examines five policies during the 2003-2009 period. The numbers of forest product firms used in the examinations herein differ among the policies and range from 21 to 29. This study found that the policies have differentially affected the expected values of forest product firms and that the impact on firms lacking forestland holdings is generally more significant than that on firms that hold forestland. The findings of this study enhance our understanding of the effect of collective forestland tenure reform on the value of forest product firms; they also have implications on forest product firms as they work to adapt to the reform

Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index.

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index because over the last five years KSE 100 Index has shown substantial growth as compared to other emerging stock markets. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into sub-periods. The paper has made use of primarily Non-Parametric tests as well as parametric tests. For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weak-form efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has been found to be weak-form inefficient, but unlike other studies, our study illustrates how the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index

Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index.

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups: 1992-2012, 1992-1994, 1995-1997, 1998-2000, 2001-2003, 2004-2006, 2007-2009, 2010-2012 and 2013. The paper has made use of both Non-Parametric tests (Kolmogrov-Smirnov goodness of fitness test, Runs test and Phillips-Perron test) and Parametric tests (Auto-correlation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey-fuller test, Dickey-fuller GLS test, Jarque-Bera test, Kwiatkowski, Phillips, Schmidt and Shin test, Auto-regression and ARIMA model). For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weak-form efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has found to be weak-form inefficient, but the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index

Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index.

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups: 1992-2012, 1992-1994, 1995-1997, 1998-2000, 2001-2003, 2004-2006, 2007-2009, 2010-2012 and 2013. The paper has made use of both Non-Parametric tests (Kolmogrov-Smirnov goodness of fitness test, Runs test and Phillips-Perron test) and Parametric tests (Auto-correlation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey-fuller test, Dickey-fuller GLS test, Jarque-Bera test, Kwiatkowski, Phillips, Schmidt and Shin test, Auto-regression and ARIMA model). For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weak-form efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has found to be weak-form inefficient, but the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index

The Evolution of Efficiency in the Chinese Stock Market

This dissertation examines the weak-form efficiency of the Chinese stock market and provides evidence on how the market efficiency evolved throughout the last three decades. The Shanghai Composite Index (SSEC) and the Shenzhen Component Index (SZSE) are the primary indicators of the Chinese stock market in this study. Both traditional economics and the complex systems’ methods are employed to evaluate market efficiency, with an additional focus on the effect of two parameter inputs (embedded dimension and noise filter) on entropy methods to improve their ability to detect phase transitions in stock market data. The traditional efficiency tests indicate that the Chinese stock market during the full sample period of 1990-2021 is inefficient, but some of the sub-sample periods indicate the weak-form efficiency, except for the ADF test. Meanwhile, the complex systems’ methods suggest that the level of randomness in returns increases over time. Additionally, I find that the bull periods of the Chinese market are less efficient than the bust periods, which may indicate that investors tend to commit more errors during the bull period. Generally, the study concludes that the complex systems’ methods provide a more comprehensive evaluation of the changes in the market efficiency than traditional methods. The empirical results suggest that the Chinese stock market is not completely efficient based on the traditional efficiency tests but the level of efficiency has improved over time based on the evidence of the complex systems’ analysis

Corporate governance structures, corporate entrepreneurship and firm performance: a study of Chinese listed firms

Corporate governance plays two broad important roles of (i) stewardship and accountability role, that is, it is a mechanism designed to monitor managers and enhance performance of the firm; and (ii) entrepreneurship, that is, providing the mechanisms that motivate managers to create and sustain corporate competitiveness, thereby optimizing shareholders’ wealth. China, a country that does not align with the Anglo-American or stakeholder models of corporate governance (CG), but which is a major economic force in the transition economy. It is steadily moving away from centralised planning of its innovation system by the state to an increasingly open system involving technology outsourcing and imports, and foreign investors’ involvement makes it an interesting context to examine the relationship between CG structures, corporate entrepreneurship (CE) and firm performance. Consequently, this thesis aims to investigate the effects of CG structures and CE on firm performance among Chinese listed firms. Specifically, its objectives are to examine the relationship between (1) CG and CE; (2) CG and firm performance; (3) CE and firm performance; and (4) whether CG and CE interact to influence firm performance in the Chinese listed firms. In addressing the research objectives, a multi-theoretical approach (i.e. agency, stewardship, and resource dependence theories) is used in this thesis to investigate the relationships between CG, CE and firm performance in Chinese listed firms. Several hypotheses were developed, and these are tested using panel regression models, in particular, the two-step system GMM. The panel analyses employ a data sample of 5,118 firm-year observations for Chinese listed firms covering the period 2007 – 2015. CG is operationalised using board and ownership structures; CE is measured using R&D intensity, patent applications and granted patents; and performance is measured using Tobin’s Q and return on assets (ROA). Several findings are reported. First, R&D intensity is negatively related to managerial ownership, but positively related to board size and CEO duality. Second, patent applications have a negative relationship with state ownership, but positively related to foreign and managerial ownership, and supervisory board size. Third, granted patents exhibit a negative association with state ownership and board size, and positive association with managerial ownership. Fourth, firm performance as measured by Tobin’s Q is positively related to one person acting as both CEO and chairman measured by CEO duality, but negatively related to board size and supervisory board size. Fourth, when firm performance is measured by ROA, it is positively related to board size and managerial ownership, but negatively related to the proportion of independent directors. Fifth, Tobin’s Q is positively related to R&D intensity, but negatively related to patent applications. Firm performance measured by ROA is negatively related to R&D intensity, but insignificantly related to patent applications and granted patents. Finally, when firm performance is measured by Tobin’s Q, R&D intensity interacts significantly with board size and CEO duality. The results also show that board size, supervisory board size and CEO duality moderate the relationship between patent applications and Tobin’s Q. Further, the results show that supervisory board and granted patents interact mutually to influence Tobin’s Q. However, with the exception of CEO duality and patent applications, no CG variables are found to significantly moderate the linkage between R&D intensity, granted patents and ROA. Taken together, this thesis first, extends the literature on the relationship between CG structures and CE in listed firms of a developing country with transitional economy and particular political and economic system. Second, impact of CG structures and CE on firm performance had also based on panel data. Third, this thesis provides the first evidence suggesting that CG structures and CE are complementary in how they impact on firm performance in the Chinese context. As the Chinese special two-tier board system and acceptance of non-state, foreign and managerial ownership are different from those in other countries, these empirical results had provided important managerial implications for the practice and are important for policy-makers seeking to improve CG in China