Weak Form Efficient or Not? Tests of Random Walk Hypothesis
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than in daily returns in Table 5.6 and in weekly returns in Table 5.7 in comparison
with relevant markets.
With the exception of the Q-statistics and LB-statistics, the percentages
rejection of zero serial correlation coefficients of monthly returns in China’s
markets are lower than those of some less developed countries, but close to those
of developed countries. This conclusion is based on the comparison of the
percentages of rejection in Panel C of Tables 5.4 and 5.5 with those in Table 5.8.
5.3 Runs tests
As a parametric test, the serial correlation ...
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