作者
Eduardo Jose Araújo Lima, Benjamin Miranda Tabak
发表日期
2004/3/15
期刊
Applied Economics Letters
卷号
11
期号
4
页码范围
255-258
出版商
Taylor & Francis Group
简介
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.
引用总数
学术搜索中的文章
Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore
EJ Araújo Lima, BM Tabak - Applied Economics Letters, 2004