Weak Form Efficient or Not? Tests of Random Walk Hypothesis
125
In Panel C of Tables 4.14 and 4.15, the percentages of individual shares that
have statistically significant test-statistics of variance ratios for monthly returns are
slightly larger than that in Panel B for weekly returns. However, the percentages of
rejections are still under 20%. Following the serial correlation coefficient tests and
runs tests, the variance ratio tests provide the evidence again that the monthly price
behaviour of China’s individual shares obey the random walk.
5.5 Conclusion
This chapter has comprehensively tested the random walk hypothesis to ...
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