The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies

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The weak-form efficiency of Chinese Stock Markets : thin trading, nonlinearity and episodic serial dependencies

Motivated by the shortcomings of earlier Chinese efficiency studies, the present paper re-examines the weak-form effi ciency of Shanghai and Shenzhen Stock Exchanges. Specifically, our adopted methodologies mitigate the confounding effect of thin trading on return autocorrelation, detect both linear...

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Bibliographic Details
Main Authors:	Lim, Kian Ping, Habibullah, Muzafar Shah, Hinich, Melvin J.
Format:	Article
Language:	English
Published:	SAGE Publications 2009
Subjects:	Stock exchanges Stock exchanges - China Stocks - China
Online Access:	http://psasir.upm.edu.my/id/eprint/17368/ http://psasir.upm.edu.my/id/eprint/17368/1/The%20weak.pdf

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