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

  • Charles, Amélie
  • Darné, Olivier

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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Article provided by Elsevier in its journal Economic Systems.

Volume (Year): 33 (2009)
Issue (Month): 2 (June)
Pages: 117-126

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Handle: RePEc:eee:ecosys:v:33:y:2009:i:2:p:117-126
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