Investor Types, Financial Crisis and Price Efficiency: Evidence from China’s Stock Market
碩士 === 國立臺北大學 === 金融與合作經營學系 === 101 === This research aims to explore whether investors types, pool of investors, and financial crisis would affect the market price efficiency. Based on the theory of Jagadeesh and Titman(1993), this research used the profits of momentum strategy as market price effi...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61792565721239327991 |
| Summary: | 碩士 === 國立臺北大學 === 金融與合作經營學系 === 101 === This research aims to explore whether investors types, pool of investors, and financial crisis would affect the market price efficiency. Based on the theory of Jagadeesh and Titman(1993), this research used the profits of momentum strategy as market price efficiency indicators.
The results of this research found that there are four:
1. A-share market has a significant reversal phenomenon, B-share market has no significant momentum or reversal phenomenon.
2. B-share market price efficient than A-share market.
3. Pool of investors does not affect the market price efficiency.
4.The period of non-financial crisis’s price efficient than the period of financial crisis in A-share market and the B-share market
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