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<p>This paper examines sector-level dynamics of weak-form efficiency in China’s equity market from 2005 to 2024, with particular attention to how major crises reshape informational efficiency. Using the rolling Wild Bootstrap Automatic Variance Ratio (WBAVR) test across eleven CSI 300 sectors, and validating results with rank-based variance ratio checks, we document pronounced heterogeneity in efficiency across industries and over time. Crisis-phase analysis shows that the Global Financial Crisis, the 2015 stock market crash, and the COVID-19 pandemic acted as stress tests that reshuffled sectoral efficiency rankings. Real Estate, Energy, Utilities, and Materials—sectors characterized by structural rigidity and heavy state involvement—exhibited persistent inefficiency and slow recovery, whereas Consumer Staples, Information Technology, Telecommunications, and Healthcare demonstrated greater resilience and quicker rebounds. Financials followed a mixed trajectory, declining during intervention-heavy periods but improving as fintech adoption and regulatory clarity advanced. These findings indicate that efficiency losses tend to cluster in policy-dependent sectors with institutional inertia, while technology- and demand-driven sectors adapt more rapidly. By revealing shifting efficiency leaders and laggards across crises, the study underscores the dynamic and non-permanent nature of market efficiency in China’s equity market, offering insights for policymakers sequencing reforms and for investors managing sectoral exposures under systemic stress.</p>

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Shifting Efficiency Leaders and Laggards: Evidence From China’s Sectoral Equity Market

  • 期刊论文

  • 发表日期：

    2026年1月14日

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  • Yaseen S. Alhaj Yaseen,
  • Jensen S. Brock,
  • Xi Rao,
  • Anis Mnif

摘要

This paper examines sector-level dynamics of weak-form efficiency in China’s equity market from 2005 to 2024, with particular attention to how major crises reshape informational efficiency. Using the rolling Wild Bootstrap Automatic Variance Ratio (WBAVR) test across eleven CSI 300 sectors, and validating results with rank-based variance ratio checks, we document pronounced heterogeneity in efficiency across industries and over time. Crisis-phase analysis shows that the Global Financial Crisis, the 2015 stock market crash, and the COVID-19 pandemic acted as stress tests that reshuffled sectoral efficiency rankings. Real Estate, Energy, Utilities, and Materials—sectors characterized by structural rigidity and heavy state involvement—exhibited persistent inefficiency and slow recovery, whereas Consumer Staples, Information Technology, Telecommunications, and Healthcare demonstrated greater resilience and quicker rebounds. Financials followed a mixed trajectory, declining during intervention-heavy periods but improving as fintech adoption and regulatory clarity advanced. These findings indicate that efficiency losses tend to cluster in policy-dependent sectors with institutional inertia, while technology- and demand-driven sectors adapt more rapidly. By revealing shifting efficiency leaders and laggards across crises, the study underscores the dynamic and non-permanent nature of market efficiency in China’s equity market, offering insights for policymakers sequencing reforms and for investors managing sectoral exposures under systemic stress.