| Summary: | 碩士 === 淡江大學 === 大陸研究所 === 90 === This study applies an event study methodology, in order to research the effects of permitting domestic residents to invest in the B-stock Market on the stock prices in China. This drastic policy change was announced on February 28, 2001 and this date is used as the event day. Eighty days, marked from —60 to +20, were taken as the research period. It is also empirically tested whether or not the stock market in China is ‘semi-strong form’ efficient.
With respect to the B-stock markets in Shanghai, Shenzhen, and the entire mainland China, we obtain the following major findings:
1. This event had significant impacts on the stock price. Within the four days since the event day, stock prices surely reacted to the information content of this policy announcement.
2. This event significant promoted the stock price. Within the four days since the event, there were abnormally positive returns in the Chinese stock market.
3. Before this event, investors could not apply this information to earn abnormal excess returns. No empirical finding supports that abnormal excess returns existed before that event.
4. Therefore, we cannot reject the null hypothesis that mainland China’s stock market is a ‘semi-strong form’ efficient market.
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