WTO membership, ownership deregulation, and market efficiency: evidence from China

摘要

We assess the impact of accession to the World Trade Organization (WTO) and stock ownership deregulation on the presence of anomalies in stock returns in China. We partition our data into sub-periods that mirror WTO accession and Investor-Base Expansion (IBE) in all share markets. Unlike prior research, we consider all mainland and Hong Kong exchanges from market inception to 2008, and find that Chinese stock markets may have become increasingly more efficient. However, we also document a positive Friday and turn-of-the-year effects that we attribute to greater integration with world stock markets. The daily and monthly anomalies documented here may well guide global investors and portfolio managers to strategically time the market, take suitable short and long positions, and shuffle assets to possibly outperform the market.