Table 5.4 Summary of serial correlation coefficient tests and Q-statistics for individual shares of the Shanghai market
102 The Efficiency of China’s Stock Market
Notes: 1. The tests on daily returns were conducted on 422 shares listed on the Shanghai market, including 373 A-shares and 49 B-shares.
2. The tests on weekly returns were conducted on 422 shares listed on the Shanghai market, including 373 A-shares and 49 B-shares.
3. The tests on monthly returns were conducted on 343 shares listed on the Shanghai market, including 302 A-shares and 41 B-shares.
4. Rejection means: rejection of the null hypothesis of a z
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month, and much more.