مدارک و شواهد از وابستگی بلندمدت در بازارهای سهام در آسیا: نقش نقدینگی و بازار محدودیت

In this paper, the efficient market hypothesis is tested for China, Hong Kong and Singapore by means of the long memory dependence approach. We find evidence suggesting that Hong Kong is the most efficient market followed by Chinese A type shares and Singapore and finally by Chinese B type shares, which suggests that liquidity and capital restrictions may play a role in explaining results of market efficiency tests.

The literature on market efficiency is vast as the theme is of interest for both practitioner and academics. Since it is a very intriguing issue, a big part of this literature focuses on seeking long memory dependence in asset returns. Actually, if the stock returns present long range dependence, the random walk hypothesis is not valid anymore and neither does the market efficiency hypothesis [1]. Moreover, the presence of long range dependence in asset returns contradicts the weak form of market efficiency which states that, under the information contained on the set formed by past returns, future returns are unpredictable [2]. This paper tests long-range dependence for three different countries: China, Hong Kong and Singapore. While the Chinese equity market is an emergent market which has two types of shares—one that is restricted to local investors (Class A shares) and other that is available only for foreign investors (Class B shares)—Hong Kong and Singapore are two developed economies. Thus, we have here a unique opportunity to test the effect of these differences of these two types of Chinese shares on the formation of the long-range dependence phenomena. In this paper, our measure of long-range dependence is the Hurst's exponent. Additionally, since market efficiency (predictability) seems to evolve over time [3], we measure this exponent statically (as the usual approach) and also dynamically. The rest of the paper is divided as follows. Our measure of long-range dependence considered here are introduced in Section 2. In Section 3, the data used in this work is presented. In Section 4, the methodology employed in this paper is presented. In Section 5, the empirical results of this work are exposed. Finally, Section 6 presents some conclusions of this work.

In this paper, we investigate the long-range dependence phenomena in three Asian markets, namely Hong Kong, Singapore and China, and find evidence that these markets present long range-dependence. We also build a ranking from lowest to highest inefficiency and find that liquidity and market capitalization may play a role in understanding results coming out from tests for long range dependence. These results suggest that more research is needed on testing for long range dependence for different markets and on increasing our understanding of the possible causes and origins of long range dependencies. Theoretical models that address these issues should be particularly welcome.