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

Amelie Charles and Olivier Darné

Post-Print from HAL

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.science/hal-00771080
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Published in Economic Systems, 2009, 33 (2), pp.117-126. ⟨10.1016/j.ecosys.2008.09.003⟩

Downloads: (external link)
https://hal.science/hal-00771080/document (application/pdf)

Related works:
Journal Article: The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00771080

DOI: 10.1016/j.ecosys.2008.09.003

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().