The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
AbstractThis study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992-2007. The hypothesis is tested with new multiple variance ratio tests - Whang-Kim subsampling and Kim's wild bootstrap tests - as well as the conventional multiple Chow-Denning test. We find that Class B shares for Chinese stock exchanges do not follow the random walk hypothesis, and therefore are significantly inefficient. The Class A shares seem more efficient.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Systems.
Volume (Year): 33 (2009)
Issue (Month): 2 (June)
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Chinese stock markets Market efficiency Random walk hypothesis Variance ratio test;
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