Dissertation > Excellent graduate degree dissertation topics show

Empirical Test on the Efficiency of China Government Bond Market

Author: NiuYuRui
Tutor: XuXinZhong
School: University of Foreign Trade and Economic
Course: International trade
Keywords: China government bond market Weak-form efficiency Semi-strong efficiency Inter-market Arbitrage Weekend Effect
CLC: F224
Type: PhD thesis
Year: 2007
Downloads: 637
Quote: 4
Read: Download Dissertation

Abstract


From four aspects including weak form efficiency test、semi-strong form efficiency test、no-arbitrage equilibrium test and market anomaly test, this paper researched the information efficiency of China government bond market. The empirical results shows that the information efficiency of China bond market is low. The market does not achieve complete weak form efficiency , and does not achieve semi-strong efficiency as well.On the weak form efficiency test, this paper studied monthly return series of different maturity portfolios using autocorrelation test、run test and variance ration test.In light of the presence of significant autocorrelation in some series , we can reject Random Walk Hypothesis .On the semi-strong efficiency test , this paper used regression method and event study method. Results tell us that macro economic variables can not forecast government bond month returns ; results also tell us that government bond price can react to macro announcement rapidly, but there are long lags in this reaction, which means government bond market has not achieve semi-strong efficiency.No-arbitrage equilibrium is the necessary result in an efficient market. But the empirical results show there are significant arbitrage opportunities between the inter-bank market and exchange market. As a complement to the weak form efficiency test , this paper test the“Weekend effect”in government bond market. The results show the presence of significant“Weekend effect”, but this anomaly can be interpreted by“Settlement Regime Hypothesis”, so the“Weekend effect”can not be used to reject the weak form efficiency hypothesis.

Related Dissertations

  1. Research on the Evolution of Chinese Stock Market Efficiency,F832.51
  2. Comparison and Analysis of NO2, O3 and SO2 in Atmosphere in Urban and Rural Areas of Nanjing,X51
  3. Studies on Traders’ Interactions in Chinese Futures Markets,F224
  4. Behavioral Finance:the Development Path and the Evidence from China’s Stock Market,F832.5
  5. A Study of the Price Performance on the Stock Market of China,F830.91
  6. The Empirical Study on Weak-form Efficency and the Forecasting Capability of Technical Analysis in Chinese Securities Market,F224
  7. A Demonstration on Market Efficiency of Chinese Stock Market,F224
  8. A Research on Weak Form Efficiency of China’s Stock Market Based on Moving Average Rules,F224
  9. At this stage empirical test of the effectiveness of the Chinese stock market,F224
  10. Research on Value at Risk in Measuring Financial Market Risk and its Applications,F224
  11. An Empirical Study of the Weak-form Efficiency of the Chinese Stock Market,F832.5
  12. Enterprise property right system and market efficiency,F832.51;F224
  13. The Empirical Study on Efficiency in Chinese Capital Market,F832.5
  14. Research of the Subjective Model of Returns Distribution Based on the Behavioral Finance Theories,F224
  15. Semi - strong efficiency of the Chinese stock market,F832.51
  16. Theory and Empirical Analysis of Real Estate Market Efficiency,F224
  17. The Test of Weak Form Efficiency in Chinese Capital Market and the Asymmetric Analysis of Market Volatilities,F832.5
  18. An Empirical Study on the Yield Curve and the Distribution of the Yield of Chinese Treasury Securities,F812.5
  19. K Company’s Improving Planning and Forecasting for the Reasonable Allocation of Inventory,F224
  20. Empirical Study on the Top Management Turnover and Performance of Listed Companies in China,F224
  21. A Study about the Stock Index Future’s Influence on the Stock Market,F224

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile