Are Stock Markets of China Weak-Form Efficient?——A Research from Data Mining
Qiujun Lan · Zhongguo guanli kexue · 2005
Most test methods on stock market efficiency are based on some statistical models from a whole viewpoint and can't discover some predictive local patterns.Thus,the conclusion ofmarket is efficientmay be trustless.This paper applies a new time series data mining method——TSEOPM to detect local omen patterns,and verifies weak-form efficiency of China stock markets.The result indicates local patterns mined by TSEOPM can bring excess returns.Stock markets of China are not weak-form efficientis concluded.