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The Efficiency of China's Stock Market
book

The Efficiency of China's Stock Market

by Shiguang Ma
November 2017
Intermediate to advanced content levelIntermediate to advanced
302 pages
16h 35m
English
Routledge
Content preview from The Efficiency of China's Stock Market
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 ...
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Publisher Resources

ISBN: 9781351146913