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- W2024374562 abstract "We examine market efficiency and the price-volume relation in Class A and Class B shares on the Shanghai exchange relative to the U. S. equity market. Variance ratios and runs tests for market efficiency support the hypothesis that both Class A and Class B markets follow a random walk. In addition, the augmented Dickey-Fuller test supports the null hypothesis that the Shanghai market follows a random-walk process with drift. We also find a significantly positive relation between changes in volume and absolute price returns in both Class A and Class B shares, which is consistent with studies on U.S. equity markets. However, when using signed returns, our results are stronger than most U.S. studies on price-volume relations. We find no significant difference between the price-volume correlations in Class A and Class B shares. However, the price-volume correlations in both Class A and Class B shares are significantly stronger than the price-volume correlation in the U.S. market. This suggests volume may be more important to information transmission in China than in the U. S. markets." @default.
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- W2024374562 date "1999-03-01" @default.
- W2024374562 modified "2023-09-23" @default.
- W2024374562 title "INFORMATION TRANSMISSION IN THE SHANGHAI EQUITY MARKET" @default.
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- W2024374562 doi "https://doi.org/10.1111/j.1475-6803.1999.tb00713.x" @default.
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