This paper introduces the theory of market efficiency simply and surveys various methods and results of week form market efficiency test of China.Then we test the sample and propose to test the week form market effici...This paper introduces the theory of market efficiency simply and surveys various methods and results of week form market efficiency test of China.Then we test the sample and propose to test the week form market efficiency test of China using the wild bootstrap variance ratio test which has been found to exhibit better small sample properties.The results are conducted with moving sub-sample windows and found that Shanghai market has been efficient of week form but Shenzhen market hasn’t been efficiency of week form.展开更多
文摘This paper introduces the theory of market efficiency simply and surveys various methods and results of week form market efficiency test of China.Then we test the sample and propose to test the week form market efficiency test of China using the wild bootstrap variance ratio test which has been found to exhibit better small sample properties.The results are conducted with moving sub-sample windows and found that Shanghai market has been efficient of week form but Shenzhen market hasn’t been efficiency of week form.
