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Original Articles

Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore

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Pages 255-258 | Published online: 21 Aug 2006
 

Abstract

This study tests the random walk hypothesis for China, Hong Kong and Singapore. Using variance ratio tests, robust to heteroskedasticity and employing a recently developed bootstrap technique to customize percentiles for inference purposes it is found that Class A shares for Chinese stock exchanges and the Hong Kong equity markets are weak form efficient. However, Singapore and Class B shares for Chinese stock exchanges do not follow the random walk hypothesis, which suggests that liquidity and market capitalization may play a role in explaining results of weak form efficiency tests.

Notes

1 In February 2001 these markets have been released for Chinese investors and thus our data sample ends in December 2000.

2 The empirical tests on the return time series suggest that they are heteroskedastic. Results are not reported here to conserve space, but are available upon request from the authors.

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