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Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore

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  • Eduardo Jose Araujo Lima
  • Benjamin Miranda Tabak

Abstract

This study tests the random walk hypothesis for China, Hong Kong and Singapore. Using variance ratio tests, robust to heteroskedasticity and employing a recently developed bootstrap technique to customize percentiles for inference purposes it is found that Class A shares for Chinese stock exchanges and the Hong Kong equity markets are weak form efficient. However, Singapore and Class B shares for Chinese stock exchanges do not follow the random walk hypothesis, which suggests that liquidity and market capitalization may play a role in explaining results of weak form efficiency tests.

Suggested Citation

  • Eduardo Jose Araujo Lima & Benjamin Miranda Tabak, 2004. "Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 255-258.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:4:p:255-258
    DOI: 10.1080/13504850410001674911
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    References listed on IDEAS

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