中国A股市场有效性的实证研究——基于小波降噪技术的分析  

A Study of China's A Stock Market Efficiency Based on Wavelet Denoising Techniques

作　　者：朱乾龙[1] 张成[1] 唐敏[2] 郭路[3] 

机构地区：[1]中国人民大学经济学院 [2]北京北广科技股份有限公司战略发展部 [3]中国社会科学院经济研究所

出　　处：《统计教育》2010年第5期24-30,共7页Statistical education

摘　　要：为了验证中国A股市场的有效性,本文首先利用小波降噪技术对上海和深圳证券市场的收益率序列进行降噪处理,分离出随机项;然后对随机项进行相关性检验;最后基于收益率序列的方差比变化来判断中国股票市场各年度的有效性。研究结果表明:(1)上证和深证指数序列的随机项是彼此相关的,中国A股市场是非有效的;(2)我国股票市场的波动性在总体上是逐步降低的,市场对于信息反映的有效性是逐步加强的;(3)当市场处于牛、熊市的不同阶段时,市场的有效性是不同的。This paper tests China＇s A Stock Market efficiency by virtue of wavelet denoising techniques. Rate of return series are denoised so as to separate the random term. Then the correlation analysis of the random term is conducted. Finally the yearly efficiency of the market is examined through variance ratio comparison of the return rate series. Empirical results show following major conclusions. First, the random items of the Shanghai and Shenzhen idex are correlated with each other, and China＇s A Stock Market is not efficient. Second, the volatility of the market is decreasing, indicating higher and higher efficiency of market to information. Third, market efficiency is different with respect to different phases of market development.

关 键 词：A股 有效市场 小波降噪技术 方差比 相关性 

分 类 号：O174.2[理学—数学]