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The Random Walk Hypothesis for Chinese Stock Markets : Evidence from Variance Ratio Tests

Charles, Amélie - 2009

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...

Persistent link: https://www.econbiz.de/10013155962