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The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests

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  • Amélie Charles

    ()
    (Audencia Recherche - Audencia)

  • Olivier Darne

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

Abstract

This 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 Info

Paper provided by HAL in its series Post-Print with number hal-00771080.

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Date of creation: 2009
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Publication status: Published, Economic Systems, 2009, 33, 2, 117-126
Handle: RePEc:hal:journl:hal-00771080

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Related research

Keywords: Chinese stock markets; Market efficiency; Random walk hypothesis; Variance ratio test;

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Cited by:
  1. Francesco Guidi & Rakesh Gupta, 2011. "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance finance:201113, Griffith University, Department of Accounting, Finance and Economics.
  2. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 19(4), pages 351-373, September.
  3. Luis A. Gil-Alana & Yun Cao, 2010. "Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 12/11, School of Economics and Business Administration, University of Navarra.
  4. Zhian Chen & Hai Jiang & Donghui Li & Ah Boon Sim, 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 46(6), pages 140-157, November.
  5. Gabe J. de Bondt & Tuomas A. Peltonen & Daniel Santabárbara, 2010. "Booms and busts in China's stock market: Estimates based on fundamentals," Banco de Espa�a Working Papers 1032, Banco de Espa�a.
  6. Huang, Ying Sophie & Wang, Yizhong, 2013. "Asset price, risk transfer and economic activities: Firm-level evidence from China," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 663-676.
  7. Hiremath, Gourishankar S & Bandi, Kamaiah, 2012. "Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns," MPRA Paper 48710, University Library of Munich, Germany.

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