Darrat, Ali F; Zhong, Maosen - In: The Financial Review 35 (2000) 3, pp. 105-24
The main intention of this paper is to investigate, with new daily data, whether prices in the two Chinese stock exchanges (Shanghai and Shenzhen) follow a random-walk process as required by market efficiency. We use two different approaches, the standard variance-ratio test of Lo and MacKinlay...