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

Amelie Charles and Olivier Darné

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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
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00771080
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Published in Economic Systems, Elsevier, 2009, 33 (2), pp.117-126. ⟨10.1016/j.ecosys.2008.09.003⟩

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