Weak Form Efficient or Not? Tests of Random Walk Hypothesis
119
in q of 2 is less than one. The values of variance ratios in the interval q of 2 on
sector indexes were suggested by the relatively positive or negative first order
serial correlation coefficients in Table 5.3.
Table 5.13 Variance ratio tests for intervals 2, 4, 8, 12 and 16 on the sector
indexes of the Shanghai and Shenzhen markets
Obs.
q=2q=4
q=8
q=12
q=16
Panel A: Shanghai Stock MarketDaily returns
Manufacturing
VR(q)
0.9377
0.97851.0355
1.0141
0.9893
1244
Z(q)
*-2.1951-0.40460.4217
0.1317-0.0852
Z‘(q)
*-2.0707-0.18350.1950
0.0645
-0.0444
Commercial
VR(q)
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.