Testing of the Non-linearity Random Walk in Stock Market
Hu Shen · Zhongyang Caizheng Jinrong Xueyuan xuebao · 2003
China' s stock market index yield does not obey normal school hypothesis, accord with random walk fundamentally and possess the characteristics of the infirmness of the market. It is more obvious that the randomicity of time sequence of Shanghai stock market index yield than in Shenzhen stock market. It is the irrational factors in market structure and the investors behaviour.