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The Efficiency of China’s Stock Market
Following the introduction, Section 4.2 lays down the statistical foundation of
this study in which the martingale, fair game and random walk models are
redefined. Section 4.3 details the tests of the random walk hypothesis. Section 4.4
illustrates and describes the tests of seasonal effects. Section 4.5 discusses the
event studies. The last section, 4.6, summarizes this chapter.
4.2 Statistical foundations
O p ti m a l e s t im a te s a n d f o r e c a s t s c o n d i t i o n e d o n in fo r m a t io n s e ts
As previously mentioned, under the efficient market ...