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Efficiency of Chinese Stock Market Exchange

Author: LiuZuoZuo
Tutor: XuJiaGen
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Fama-French Three Factor Model Capital Asset Pricing Model Market Efficiency
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 427
Quote: 0
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Abstract


This study examines the performance of Fama-French Three Factor Model in Shanghai Stock Exchange of China and compare the the regression result with Capital Asset Pricing Model. We collect736equities from Shanghai Stock Exchange, ranging from January1996to December2010. In line with the method of the study of Fama French (1993), we divide the sample into different size and book-to-market groups, and then regress the model. The result shows that the Fama-French Three Factor Model does a better job than Capital Asset Pricing Model in Shanghai Stock Exchange of China. Further, the size and book-to-market factors play more important role than before though market factor still explain most cross-section return. In addition, rather than the small-firm effect documented by many researches, little evidence of small-firm effect is presented in this study and the big size companies tend to generate higher return than small size firms do. Moreover, we observe the small-firm February effect in this study, which probably is caused by the Chinese Lunar New Year.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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