The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests

Amélie Charles (1) , Olivier Darné (2)

1 Audencia Recherche
2 LEMNA - Laboratoire d'économie et de management de Nantes Atlantique

This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992-2007. The hypothesis is tested with new multiple variance ratio tests - Whang-Kim subsampling and Kim's wild bootstrap tests - as well as the conventional multiple Chow-Denning test. We find that Class B shares for Chinese stock exchanges do not follow the random walk hypothesis, and therefore are significantly inefficient. The Class A shares seem more efficient.

Mots clés: Chinese stock markets; Market efficiency; Random walk hypothesis; Variance ratio test

Domaines: Gestion et management

Amélie Charles, Olivier Darné. The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests. Economic Systems, 2009, 33 (2), pp.117-126. ⟨10.1016/j.ecosys.2008.09.003⟩. ⟨hal-00771080⟩