Lim, Kian-Ping; Habibullah, Muzafar Shah; Hinich, Melvin J. - In: Journal of Emerging Market Finance 8 (2009) 2, pp. 133-163
Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form efficiency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both...