This dissertation, "Investigating Stock Market Efficiency in China" by Hua, Zhang, 張華, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled Investigating Stock Market Efficiency in China submitted by Zhang Hua for the degree of Doctor of Philosophy at the University of Hong Kong in August 2002 Though voluminous studies have been conducted on the stock market efficiency in the U.S. and other developed countries, in China, there lacks a through and systematic study in this respect. This research aims to fill up the lacuna by exploring the important issue of market efficiency in China, with particular emphasis on (1) the earning announcement effect, (2) the size effect, (3) the stock return seasonality, (4) the day-of-the-week effect, (5) mutual fund performance, and (6) the close-end fund puzzle. Our main findings indicate that the Chinese stock market is largely inefficient and it also exhibit some distinctive characteristics in comparison with those documented in previous studies on the U.S. stock markets. First, for the earning announcement effect, it is found that stock prices underreact to earning announcement and stocks with good earning growth in general outperform those with bad earning growth. However, stocks with extreme bad earning news have the best performance after the announcement. Second, study on the size effect shows that stocks of smaller capitalization have higher returns than those of larger capitalization and size has explanatory power on cross-sectional difference in stock returns. Third, regarding the possible seasonality, though average daily returns of every month differ greatly in each year, stock returns do not possess a consistent seasonal pattern across years. As a result, regression analysis rejects the existence of a strong calendar effect in China. Forth, in smaller scale, we find that the day-of-the-week effect exists in China. More specifically, Tuesday return is significantly the lowest and Friday return is significantly the highest; moreover, trading in terms of volume and turnover rate also exhibits some weekly pattern. Fifth, study on mutual fund performance shows that the Chinese mutual funds indeed possess inside information. Though Jensen measures show that mutual funds on average do not have abnormal returns, the result from a 2- factor model that takes the size effect into account suggests that mutual funds' performance is superior. Finally, we examine the close-end fund discount in China. As a counter-example to market efficiency, the close-end fund puzzle in China can not be accounted for by traditional explanatory variables such as liquidity, management fee, and fund performance. Instead, we find that it is closely associated with investor sentiment. DOI: 10.5353/th_b2994654 Subjects: Stocks - Prices - China Stock exchanges - China Efficient market theory