Stock Market Efficiency Papers

CN's Blog

Sunday, October 21. 2007

Posted by CN Chen in Economics Honors Thesis

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Stock Market Efficiency Papers

I found the following few papers to be of interest:

International Stock Market Efficiency and Integration: A Study of Eighteen Nations by Chan, Gup, and Pan
Testing Efficiency of the Latvian Stock Market: An Evolutionary Perspective by Timur Mihailov
An Empirical Test of German Stock Market Efficiency by Lindsay Gillette
Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange by Ozer Balkiz
Testing for Market Efficiency in Emerging Markets: Evidence from the Athens Stock Exchange by George Filis
Testing Stock Market Efficiency Using Neural Networks: Case of Lithuania by Marius Januskevicius

Also, I read this interesting article regarding the "Shanghai Premium", a disturbing fact that stocks listed on both the Chinese stock market and either the Hong Kong or US stock market (or all three) exhibit a heavy premium (in the neighborhood of 50-100%) for the Chinese stocks, even though the fundamental value of these stocks are the same. It's really more of a supply/demand issue since Chinese investors aren't yet allowed to participate in foreign stock exchanges or sell short Chinese stocks.

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Hey, just wondering why you were looking at Hang Seng (or were going to, according to earlier posts).. is it because you want to look at the "Shanghai premium" issue?

I guess that thing about a particular stock exchange premium is very interesting, because although it is S-D issue, I wonder whether a more or less similar (although to a much lesser degree, im sure) thing happens at all with stockss of a same company listed both in NYSE and HSE, or LSE and NYSE, whatever.. not consistently, but sometimes?

#1 Meesun on 2007-10-23 16:36 (Reply)

I will post a journal entry in response to your question. I actually did some research and found some triple-listed stocks (NYSE, HSE, and SSE) and calculated their premiums.

#1.1 CN on 2007-10-23 17:18 (Reply)

In response to your other questions, I chose the HK market because after a quick search I found could gather the most data for it. I think it will be a good starting place for my research, but I also don't intend to do all of my regressions on just one market. The "Shanghai premium" was something I found through my research, but it will be difficult to examine because it is so recent and new data is coming in everyday.

#1.2 CN on 2007-10-23 18:08 (Reply)

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