Does news on real Chinese GDP growth impact stock markets?

Real GDP growth in China follows a random walk. Also, it has often been suggested that China “cooks its books”, that is to say that governmental officials in China manipulate economic statistics such as GDP growth rate to present the outside world a rosy picture (Foreign Policy, September 3, 2009). If such unreliability is known to stock traders, news on GDP should not impact stock market fluctuations or their volatility. We test this hypothesis for 12 series with daily stock market returns for the years 2006 to and including 2009.