Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore

Eduardo Jose Araujo Lima and Benjamin Tabak

Applied Economics Letters, 2004, vol. 11, issue 4, 255-258

Abstract: This study tests the random walk hypothesis for China, Hong Kong and Singapore. Using variance ratio tests, robust to heteroskedasticity and employing a recently developed bootstrap technique to customize percentiles for inference purposes it is found that Class A shares for Chinese stock exchanges and the Hong Kong equity markets are weak form efficient. However, Singapore and Class B shares for Chinese stock exchanges do not follow the random walk hypothesis, which suggests that liquidity and market capitalization may play a role in explaining results of weak form efficiency tests.

Date: 2004
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DOI: 10.1080/13504850410001674911

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