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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| Format: | Proceeding Paper |
| Language: | English |
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2011
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| Online Access: | http://irep.iium.edu.my/8525/1/A_NOTE_ON_CHINESE_STOCK_MARKET_EFFICIENCY_IREP.pdf |