글로벌 금융위기 전후 중국 주식시장의 효율성 변화

This study conducts the Lo’s modified R/S analysis and the Geweke and Porter-Hudak (GPH) test using returns and volatility data of five composite stock price index of Chinese stock market (Shanghai Composite Stock Index, Shanghai A Index, Shanghai B Index, Shenzhen Component Index, and SSE180 Index) and 30 individual stocks among SSE180 Index from January 1, 2000 to December 31, 2014. December 31, 2007 is used as structural change point to analyze whether the long-memory property is inherent in the Chinese stock market movements before and after the global financial crisis. The empirical results based on the two long-memory detection techniques can be summarized as follows. First, long-memory property is inherent in both returns and volatility of five composite stock index. In addition, the dynamics of returns and volatility of 30 individual stock prices also have the long-memory property. Second, long-memory property in the return series are stronger than in the volatility series. Third, there’s no special difference in the degree of long-memory property before and after the global financial crisis. These findings imply that the global financial crisis did not cause a fundamental change in the efficiency of Chinese stock market.