market. Panel A of each table presents the results of the tests on daily returns
including individual A-shares, B-shares and the combination of overall A-shares
and B-shares. Panel B and Panel C present the relevant results of tests on weekly
and monthly returns respectively. In every subsection of each Panel, the numbers
and percentages of the variance ratios with values greater than one are listed in the
first rows. The numbers and percentages of rejections of the null hypothesis under
the assumptions of homoscedasticity and heteroscedastieity are listed in the second
and third ...
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