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The Efficiency o f China’s Stock Market
(1 of 50) of the Shanghai B-shares, 2.35% (8 of 341) of the Shenzhen A-shares and
4% (2 of 50) of the Shenzhen B-shares reject randomness using the runs tests on
monthly returns. In aggregating A-shares and B-shares, the percentage of rejections
is 1.89% for all individual shares of the Shanghai market, 2.56% for all individual
shares of the Shenzhen market.
Several findings in the runs tests on individual shares of the Shanghai and
Shenzhen markets should be considered in order to obtain a comprehensive picture.
Firstly, the daily prices of most individual B-shares significantly depart ...