
78 The Efficiency of China’s Stock Market
(4.3.19)
where n q states the number of observations; S ( j ) is the heteroscedasticity-
consistent estimator, in which p t is the price of the security at time t; f t is the
average return. In order to facilitate comparison of this study with previous
research (Lo and MacKinlay 1988, Campbell et al 1997) on other markets, the q is
selected as 2,4, 8, and 16.
There are inherent relations between the serial correlation coefficient, the runs
and the variance ratio tests. A significantly positive serial correlation coefficient
implies that a trend exists ...