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Borges, M.R. (2008) Efficient Market Hypothesis in European Stock Markets. Technical Report, ISEG—School of Economics and Management, Department of Economics, University of Lisbon, Lisbon.

has been cited by the following article:

  • TITLE: Normality of the Stock Index Futures of China

    AUTHORS: Ning Wang, Yibo Chen, Bo Wang

    KEYWORDS: China’ Stock Market Random-Walk Hypothesis Statistical Test

    JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.1, January 31, 2018

    ABSTRACT: In this paper, we test the null hypothesis that the prices of stock index futures of China follow a random-walk process. Five hypothesis tests are applied to test the random-walk hypothesis (RWH). Each test uses both inter-day and intra-day returns. Compared with inter-day analysis, test results on intra-day data can describe the movements of intra-day markets more effectively, because intra-day analysis eliminates overnight news propagation, thus generating more precise conclusions on the intra-day market for intra-day traders. Three out of the five tests reject the RWH, whereas the other two cannot reject the RWH. Overall, the market is not fully efficient.