Date of Award

Spring 2023

Degree Type

Open Access Dissertation

Degree Name

Economics, PhD


School of Social Science, Politics, and Evaluation

Advisor/Supervisor/Committee Chair

Thomas D. Willett

Dissertation or Thesis Committee Member

Levan Efremidze

Dissertation or Thesis Committee Member

Graham Bird

Terms of Use & License Information

Terms of Use for work posted in Scholarship@Claremont.

Rights Information

© 2023 Qiyun Li


Chinese stock market, Complex systems' methods, Entropy methods, Randomness, Traditional methods, Weak-form efficiency

Subject Categories



This dissertation examines the weak-form efficiency of the Chinese stock market and provides evidence on how the market efficiency evolved throughout the last three decades. The Shanghai Composite Index (SSEC) and the Shenzhen Component Index (SZSE) are the primary indicators of the Chinese stock market in this study. Both traditional economics and the complex systems’ methods are employed to evaluate market efficiency, with an additional focus on the effect of two parameter inputs (embedded dimension and noise filter) on entropy methods to improve their ability to detect phase transitions in stock market data. The traditional efficiency tests indicate that the Chinese stock market during the full sample period of 1990-2021 is inefficient, but some of the sub-sample periods indicate the weak-form efficiency, except for the ADF test. Meanwhile, the complex systems’ methods suggest that the level of randomness in returns increases over time. Additionally, I find that the bull periods of the Chinese market are less efficient than the bust periods, which may indicate that investors tend to commit more errors during the bull period. Generally, the study concludes that the complex systems’ methods provide a more comprehensive evaluation of the changes in the market efficiency than traditional methods. The empirical results suggest that the Chinese stock market is not completely efficient based on the traditional efficiency tests but the level of efficiency has improved over time based on the evidence of the complex systems’ analysis.



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