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

Author

Listed:
  • Amélie Charles

    (Audencia Recherche - Audencia Business School)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes)

Abstract

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 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.

Suggested Citation

  • Amélie Charles & Olivier Darné, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Post-Print hal-00771080, HAL.
    • Handle: RePEc:hal:journl:hal-00771080
    DOI: 10.1016/j.ecosys.2008.09.003
    Note: View the original document on HAL open archive server: https://hal.science/hal-00771080
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