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

Charles, Amélie; Darné, Olivier

doi:10.1016/j.ecosys.2008.09.003

Cited by 51 publications

(21 citation statements)

References 38 publications

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“…Charles and Darné (2009) find that B-shares are significantly inefficient and A-shares seem more efficient. Wang, Liu, and Gu (2009) find that Shenzhen stock market was becoming more and more efficient.…”

Section: Literature Reviewmentioning

confidence: 78%

The Value and Size Effect — Are There Firm-Specific-Risks in China’s Domestic Stock Markets?

Wu¹

2011

IJEF

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The Fama-French three-factor asset pricing formula is applied to the Chinese A-share markets: Shanghai and Shenzhen Stock Exchanges (SSE and SZSE). The benchmark explanatory returns-value and size premiums are constructed and adopted in the cross-sectional regressions. Market beta has no explanatory power. There are some evidences of the value effect only for the SSE. No significant size effect was found. The results are robust with or without the influences of the exchange rate reform and the recent financial crisis. The model works better in general for the SSE than for the SZSE, regardless of the specifications. There may well be different fundamental forces in the two markets. The pricing regularities pervasive in most equity markets do not explain the Chinese markets sufficiently well.

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Section: Literature Reviewmentioning

confidence: 78%

The Value and Size Effect — Are There Firm-Specific-Risks in China’s Domestic Stock Markets?

Wu¹

2011

IJEF

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“…However, several academic research conducted on various international markets have evidence that asset returns do not follow a random walk and hence called for more nuanced conclusions challenging the random walk markets and therefore the efficiency hypothesis . The attack of the wave theory of efficiency has been supported by numerous empirical studies , mainly the work of Summers (1986), Fama and French (1988) , Hoque et al (2007) Lock (2008) and Charles and Darne (2013) inefficiency , the autocorrelation of returns. The objective of the study is to check the efficiency in its weak form in Korea stock exchange and check whether KS11follow random walk or not.…”

Section: Introductionmentioning

confidence: 99%

Testing the Random Walks in Korea Stock Exchange

Chaibi¹

2014

The Economics and Finance Letters

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“…China's financial system is undergoing a structural shift from a heavily regulated and almost exclusively bank-based system to one with much greater diversity of segments, including more developed stock markets (Charles and Darné, 2009). Retained earnings and, to a lesser extent, bank loans are generally still the main sources of financing of firms.…”

Section: Introductionmentioning

confidence: 99%