Missing Function of Price Discovery in Chinas Stock MarketBased on the Empirical Evidence of SSE 50 Index

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Journal of Northeastern University(Social Science) ›› 2013, Vol. 15 ›› Issue (5): 465-470.DOI: -

• Economics and Management • Previous Articles Next Articles

Missing Function of Price Discovery in Chinas Stock MarketBased on the Empirical Evidence of SSE 50 Index

SONG Yu-chen， JI Yu

(Research Center of Quantitative Economics， Jilin University， Changchun 130012， China)

Received:2013-03-04 Revised:2013-03-04 Online:2013-09-25 Published:2015-11-10
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Abstract

Abstract: Price discovery is a basic function of stock market. By adopting the mean reversion theory and STAR model， this study， based on the monthly data from January 2004 to December 2012， carries an empirical research to explore the price discovery function of the most representative SSE 50 Index. The results show that SSE 50 Index takes on a significant trend in the sample interval rather than the feature of mean reversion， and it lacks the basic function of price discovery. Thus， it can be concluded that the price discovery function of Chinas stock market does not operate well. Finally， the paper puts forward some countermeasures such as accelerating IPO market-oriented pricing and separating listing from issuing.

Key words: stock market, price discovery function, mean reversion, STAR mode

CLC Number:

F830.9

SONG Yu-chen， JI Yu. Missing Function of Price Discovery in Chinas Stock MarketBased on the Empirical Evidence of SSE 50 Index[J]. Journal of Northeastern University(Social Science), 2013, 15(5): 465-470.

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Missing Function of Price Discovery in Chinas Stock MarketBased on the Empirical Evidence of SSE 50 Index

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