Stock Market Efficiency and International Market Integration -- Empirical Analysis with the Chinese CSI 1000 Index

Based on daily stock returns from 2016 to 2023, the study digs into the return pattern of the Chinese A share stock index. The study first adopts the ARMA framework for the analysis of serial correlation of daily stock return. The univariate analysis shows the positive autocorrelation of stock return, which indicates the momentum feature of the stock market in the short run and rejects the efficient market hypothesis. Then the study extends the autoregression model to ARDL regression with information from American and Japanese stock markets to test for the information spillover effect. The multivariate analysis shows evidence of stock market integration, as the Chinese stock market responds to the condition of regional and global markets. Moreover, the subsample analysis shows an improvement in Chinese stock market efficiency with reduced serial correlation. Meanwhile, the responsiveness of the Chinese stock market to international markets has been lower with COVID-19 as well.