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The Efficiency of China's Stock Market
book

The Efficiency of China's Stock Market

by Shiguang Ma
November 2017
Intermediate to advanced content levelIntermediate to advanced
302 pages
16h 35m
English
Routledge
Content preview from The Efficiency of China's Stock Market
Weak Form Efficient or Not? Tests o f 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=2 q=4
q=8
q=12
q=16
Panel A: Shanghai Stock Market Daily returns
Manufacturing
VR(q)
0.9377
0.9785 1.0355
1.0141
0.9893
1244
Z(q)
*-2.1951 -0.4046 0.4217
0.1317 -0.0852
Z‘(q)
*-2.0707 -0.1835 0.1950
0.0645
-0.0444
Commercial
VR(q)
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Publisher Resources

ISBN: 9781351146913