Outline: There are three stock markets now active in China: Hang Seng (Hong Kong), Shenzhen and Shanghai. The purpose of this project is to determine whether
the stock markets are efficient. In other words, do the returns follow a random walk?
Methodology: The project will require use of a variety of unit root tests and
cointegration econometric techniques. A good paper that describes the background to the stock markets in China is Chan et al. (2007), and the empirical methodology to be
used is described in Liu et al. (1996).
Data: The period of interest and the frequency of the data (e.g., daily, weekly time
intervals) can be determined in consultation with the supervisor. Data is available on the stock markets website or Yahoo Finance.
Reading
Chan, K., H. Fung and S. Thapa, 2007. “China Financial Research: A Review and Synthesis.” International Review of Economics and Finance 16 (3): 416-428.
Liu, X., H. Song and P. Romilly, 1996. “Are Chinese Stock Markets Efficient? A Cointegration and Causality Analysis,” Applied Economics