Weak Form Efficient or Not? Tests of 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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