Chinese Stock Exchange Market

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Financial Markets
APC313

Prepared by: TRAN THI MAI THANH Student ID: 119107003/1

Submission Date: 26th April, 2012

_________________________________________________________________ Number of Words: Part A: 2,250 Part B: 2,280

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Part A: Chinese Stock Exchange Market and Efficiency

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Table of Contents
TABLE OF CONTENTS ............................................................................................................................... 3 INTRODUCTION .......................................................................................................................................... 4 I. 1. 2. OPERATION AND ACTIVITIES OF CHINESE STOCK EXCHANGE MARKET ......................... 5 OPERATION ............................................................................................................................................... 5 ACTIVITIES................................................................................................................................................ 6 2.1. 2.2. 2.3. II. 1. 2. Listing ............................................................................................................................................... 7 Trading ............................................................................................................................................. 7 Delisting ............................................................................................................................................ 8

TESTING EFFICIENCY OF CHINESE STOCK EXCHANGE MARKET (CSEM) ......................... 8 THEORETICAL LITERATURE .................................................................................................................... 8 IS CSEM EFFICIENT OR NOT? ................................................................................................................. 9 2.1. 2.2. Efficiency of A- B-share market ........................................................................................................ 9 Efficiency and Phenomenon ............................................................................................................ 10

CONCLUSION AND RECOMMENDATION ............................................................................................ 13 REFERENCES ............................................................................................................................................. 14

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Introduction

In recent years, Chinese Stock Exchange Market has blazing performance with highspeed development. Therefore, its efficiency is one of most concerned issues of not only Chinese economists but also worldwide ones. This paper includes two main parts in order to estimate the efficiency of Chinese Stock Exchange Market based on empirical studies. Firstly, the first part will cover the operation and activities involved in this markets – which built up the development as well as characteristics of Chinese Stock Exchange Market. The second part reminds some related theoretical literature of Efficient Market Hypothesis (EMH). Various empirical studies also collected and shown out to evaluate the efficiency of this market. From those points of view, recommendations will be clearly listed to help this emerging market improve its efficiency in the future.

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I. Operation and Activities of Chinese Stock Exchange Market 1. Operation According to Tan (2005, p.4), “the China Stock Exchange Market (CSEM) consists of one regulator, one clearing company, two stock exchanges, and numerous securities exchange companies”. From the consolidation of China Securities Regulation Commission and the State Council Securities Committee in 1998, the China Securities Regulation Commission (CSRC) became the direct competent regulator and authority of the security market in China (Tan, 2005; CSRC, 2007). In 2001, the China Securities Depositary and Clearing Company was established to play the role of central...
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