A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test

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A note on Chinese stock market efficiency: fresh evidence from non-linear unit root test

This paper reexamines the efficiency Chinese stock market for the period December 1990 to February 2010 by extending recent work of Qian et al (2008)2 using the nonlinear unit root test developed by Kapetanios, Shin and Snell (2003)3 and Kruse (2010)4. In doing so, the nonlinearity test of Harvey, L...

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Bibliographic Details
Main Author:	Abdul Manap, Turkhan Ali
Format:	Proceeding Paper
Language:	English
Published:	2011
Subjects:	H Social Sciences (General) HA154 Statistical data HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/8525/ http://irep.iium.edu.my/8525/1/A_NOTE_ON_CHINESE_STOCK_MARKET_EFFICIENCY_IREP.pdf

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