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

Amélie Charles and Olivier Darné

Economic Systems, 2009, vol. 33, issue 2, pages 117-126

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.

Keywords: Chinese; stock; markets; Market; efficiency; Random; walk; hypothesis; Variance; ratio; test (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecosys:v:33:y:2009:i:2:p:117-126

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