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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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publications
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/17368/1/The%20weak.pdf http://psasir.upm.edu.my/id/eprint/17368/ |
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