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The Efficiency o f China’s Stock Market
A comprehensive review of the literature illustrates that even when one sort of
test (the serial correlation coefficient test, the runs test, the variance ratio test, etc.)
fails to reject the random walk hypothesis, the others may actually reject it. When
the monthly prices follow a random walk, the weekly prices or daily prices may
not. When the returns on stock prices are independent, the returns on indexes may
be dependent. Therefore, applying a variety of tests to different types of data and
comparing the results on the bases of similar sort of data and test implements will
improve ...