Wan Yong
School of Management, Harbin Institute of Technology, Harbin, China
Zhang Da-Yong
Department of New Media and Arts, Harbin Institute of Technology, Harbin, China
Jiang Zhen-Huan
School of Management, Harbin Institute of Technology, Harbin, China
ABSTRACT
In this study, we study on the anomaly in Chinas stock market. There are many phenomena that cannot use the existing asset pricing model and the classical theories of capital market to explain in the stock market, especially the emerging markets. It has become a hot research issues to explore and provide a satisfactory explanation of these anomalies. Calculates the Chinas stock market rate of return, risk-free interest rate and rate of consumables growth based on the accumulation of market data, to find the actual change in relationship among these data. These prove that there are some phenomenon of higher equity premium and stock prices excess volatility in the China's stock market which validate existing puzzles of the equity premium and the excess volatility and the great long-term market volatility further verify that the Chinese stock market is inefficient market.
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How to cite this article
Wan Yong, Zhang Da-Yong and Jiang Zhen-Huan, 2013. Empirical Study on Chinas Stock Market Anomaly: Examining the Related Data of Aggregate Market. Information Technology Journal, 12: 8482-8487.
DOI: 10.3923/itj.2013.8482.8487
URL: https://scialert.net/abstract/?doi=itj.2013.8482.8487
DOI: 10.3923/itj.2013.8482.8487
URL: https://scialert.net/abstract/?doi=itj.2013.8482.8487
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