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

2015

Articles Scientifiques Et Publications

ASJP

Autre

Université Djilali Bounaama - Khemis Miliana

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-clès:

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.

Publié dans la revue: مجلة الإقتصاد الجديد

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