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

  • Amélie Charles

    ()

    (Audencia Recherche - Audencia)

  • Olivier Darne

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

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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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
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00771080
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