The long-range dependence phenomena in asset returns: the Chinese case

Daniel O. Cajueiro and Benjamin Miranda Tabak ()

Applied Economics Letters, 2006, vol. 13, issue 2, pages 131-133

Abstract: This paper studies the segmented structure of the Chinese stock market, which is a unique opportunity to investigate the possible sources of the long-range dependence phenomena in asset returns. Using the Hurst's exponent evaluated by the Local Whittle method as the measure of long-range dependence, evidence is found supporting that while type B shares present strong evidence of the long-range dependence phenomena, type A shares present only weak evidence of such dependence. This result suggests that liquidity and information transmission play a role in explaining results of market efficiency tests.

Date: 2006
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