Are Chinese stock markets weak-form efficient?

This paper evaluates whether or not Chinese stock markets are weak-form efficient, based on analysis of daily data of the Shanghai “A”, Shanghai “B”, Shenzhen “A”, Shenzhen “B”, Hang Seng, and Dow Jones Industrial Average indices from 2002 to 2005. Tests of the random walk hypothesis reveal return predictabilities for the Chinese share indices together with some evidence of increased predictability in the most recent period. The results of this study support the assertion that despite continual financial liberalisation and unparalleled growth, China’s stock markets are still not weak-form efficient