The Test of Shenzhen Stock Market Efficiency Based on Behavioral Asset Pricing Model

Author

Shao Xi-Juan ; Wu Li-ming

Author_Institution

Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou

fYear

2008

fDate

12-14 Oct. 2008

Firstpage

1

Lastpage

4

Abstract

Based on capital asset pricing model (CAPM), behavior asset pricing model (BAPM) and Ramiah & Davidson ´s(2003) theory, we test the efficiency of Shenzhen stock market by calculating the noise trader risk (NTR = beta^c-beta^b), the results show that the 15 stock portfolios´ NTR is not a significant zero, indicating that Shenzhen stock market is inefficient. In the process of testing we used BJS method, meanwhile made two adjustments on building of the dynamic volume index (DVI) when we used the BAPM: 1 replacing trading-volume with exchange rate as the criteria of selecting stock portfolio; 2 making stock portfolios more stable in short time. The modify dynamic volume index (MDVI) meet the principles and idea of building DVI, at the same time, improving the accuracy of estimate.

Keywords

exchange rates; Shenzhen; behavior asset pricing model; capital asset pricing model; exchange rate; modify dynamic volume index; noise trader risk; stock market efficiency; stock portfolios; Australia; Exchange rates; Filtering theory; Filters; Finance; Page description languages; Portfolios; Pricing; Stock markets; Testing;

fLanguage

English

Publisher

ieee

Conference_Titel

Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on

Conference_Location

Dalian

Print_ISBN

978-1-4244-2107-7

Electronic_ISBN

978-1-4244-2108-4

Type

conf

DOI

10.1109/WiCom.2008.2336

Filename

4680525