test_moissonnage_selune
type: Agent

The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
type: Distribution
access URL: https://hal.science/hal-00771080
format: HTML
issued: 2026-05-15T12:41:19.035964
modified: 2026-05-15T12:41:18.985116

The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
type: Dataset
contact point: Organization
  fn: CCSD
keyword: variance-ratio-test
keyword: journal-articles
keyword: random-walk-hypothesis
keyword: shsgestionhumanities-and-social-sciencesbusiness-administration
keyword: jel-c---mathematical-and-quantitative-methodscc1---econometric-and-statistical-methods-and-method
keyword: chinese-stock-markets
keyword: market-efficiency
keyword: infoeu-reposemanticsarticle
landing page: 0939-3625
description: 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.
issued: 2026-05-15T12:41:19.008334
language: en
modified: 2026-05-15T12:41:19.008339