Market Efficiency in the Chinese Stock Market: A Comparative Study with the UK and Germany

Guo Dongqi (2025) Market Efficiency in the Chinese Stock Market: A Comparative Study with the UK and Germany. Pénzügyi és Számviteli Kar.

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Absztrakt (kivonat)

This study examines whether the equity markets of Germany, the United Kingdom and China exhibit weak-form efficiency over the 2015–2024 period. The analysis is grounded in the Efficient Market Hypothesis (Fama, 1970), which argues that under weak-form efficiency, historical price information is fully reflected in current valuations. Consequently, return patterns should resemble a random-walk process, meaning that past price movements do not provide consistent predictive value for future returns. To ensure consistency across markets, daily closing prices for the Shanghai Composite Index (SSEC), the FTSE 100, and the DAX 40 are collected and converted into daily logarithmic returns. This allows the data to be analysed on a comparable scale across the three markets. The evaluation relies on several commonly used statistical methods. These include the runs test, autocorrelation testing, the Ljung-Box Q test, the variance ratio test, and unit root procedures such as the Augmented Dickey-Fuller (ADF) test and the KPSS test. These tools are applied to determine whether stock returns behave randomly or show evidence of predictable patterns. The initial results suggest that the FTSE 100 and the DAX 40 behave more consistently with weak-form efficiency. In contrast, the SSEC shows stronger fluctuations and occasional signs of serial dependence. This pattern may relate to differences in market maturity, liquidity levels, and the dominance of retail investors in the Chinese market, which often leads to more pronounced volatility and short-term inefficiencies. The findings contribute to the literature by providing an updated and methodologically consistent comparison across developed and emerging markets. Additionally, they provide information on how market structures, regulations, and openness affect informational efficiency to investors and policymakers.

Intézmény

Budapesti Gazdasági Egyetem

Kar

Pénzügyi és Számviteli Kar

Tudományterület/tudományág

NEM RÉSZLETEZETT

Szak

Pénzügy és Számvitel

Mű típusa:	diplomadolgozat (NEM RÉSZLETEZETT)
Kulcsszavak:	business, Chinese stock, EMH, financial market, UK/Germany
SWORD Depositor:	User Archive
Felhasználói azonosító szám (ID):	User Archive
Rekord készítés dátuma:	2026. Júl. 09. 11:14
Utolsó módosítás:	2026. Júl. 09. 11:14

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