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 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. If you experience problems downloading a file, check if you have the proper application to view it first.

Random walk hypothesis - Wikipedia

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

Full text for ScienceDirect subscribers only As the access to this document is restricted, you may want to look for a different version under "Related research" further below or search for a different version of it. Bibliographic Info Article provided by Elsevier in its journal Economic Systems. Related research [Other version s available] Keywords: Chinese stock markets Market efficiency Random walk hypothesis Variance ratio test ; Other versions of this item: Evidence from variance ratio tests ," Post-Print hal, HAL.

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Firm-level evidence from China ," The North American Journal of Economics and Finance , Elsevier, vol. Lists This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS. Statistics Access and download statistics Corrections When requesting a correction, please mention this item's handle: See general information about how to correct material in RePEc.

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The Random Walk Hypothesis for Chinese Stock Markets: Evidence from Variance Ratio Tests by Amélie Charles, Olivier Darné :: SSRN

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