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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
Weak Form Efficient or Not? Tests o f Random Walk Hypothesis
97
but in reality they do not exactly satisfy this definition. In the case of non-trading,
the closing price of a share in a day may be the price at a different time of the day,
or a previous day. Therefore, the new information each day cannot be incorporated
into the closing prices, which results in unchanged prices and a correlated return
pattern. The non-trading hypothesis is evident in the China’s B-shares. The
non-trading phenomenon of B-shares will be detailed later.
Table 5.2 Serial correlation coefficients of returns in the CRSP value weighted
index for lag
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Publisher Resources

ISBN: 9781351146913