中国股票市场的弱式有效性检验:基于单位根方法  

Testing Chinese Stock Market's Weak-form Efficiency:A Root Unit Approach

作　　者：戴晓凤[1] 杨军 张清海[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《系统工程》2005年第11期23-28,共6页Systems Engineering

摘　　要：中国股票市场是否达到弱式有效一直是理论界讨论的重要课题,具有重要的理论价值和实践意义。由于股价指数时间序列的单位根检验能够满足鞅假定的要求,故较之随机游走检验对股票市场弱式有效性的验证更具合理性。本文采用单位根方法对中国股市开市以来的数据进行了有效性检验,并运用游程检验对之进行分年度检验,其结果除上海综合指数外,其他的指数都通过了检验,呈现出弱式有效。The problem of whether Chinese stock market meets the weak-form efficiency or not has been a very important topic for quite a long time, not only in theory but also in practice. Duing to the root unit test＇ s particularity,it can meet the hypothesis of martingale, so it may be more reasonable than the random walk test. This paper examines the market efficiency by using the daily data from the beginning of Chinese stock through the ADF test, and uses the run test to test every year data. The result shows that Chinese stock market has reached the weak-form efficient except for the SHANGHAI comprehensive index.

关 键 词：中国股市 ADF检验 游程检验 弱式有效 

分 类 号：F830[经济管理—金融学]