  China's stock market is the largest emerging market all over the world. It is
widely accepted that the Chinese stock market is far from efficiency and it
possesses possible linear and nonlinear dependence. We study the predictability
of returns in the Chinese stock market by employing the wild bootstrap
automatic variance ratio test and the generalized spectral test. We find that
the return predictability vary over time and significant return predictability
is observed around market turmoils. Our findings are consistent with the
Adaptive Markets Hypothesis and have practical implications for market
participants.
