中国股票市场有效性的复合评价  

An Empirical Study on the Validity of China Stock Markets

作　　者：朱孔来[1] 李静静[2] 

机构地区：[1]济南大学管理学院,山东济南250022 [2]中国银行业监督管理委员会莱芜监管分局,山东莱芜271100

出　　处：《数理统计与管理》2013年第1期145-154,共10页Journal of Applied Statistics and Management

摘　　要：本文以2000年1月4日至2011年4月1日的上证综指(000001)和深圳综指(399106)的日收盘价和日收益率为研究对象,根据随机游走假设,采用对数动态自回归模型、游程检验和单位根检验,对上海股票交易所和深圳股票交易所的市场有效性分别进行检验,结果表明沪深两市都基本达到弱式有效。由于上述检验无法证明两股市之间是否存在影响,价格水平是否互相包含,因此有必要验证沪深两市是否为联合有效。本文采用Johansen协整检验和Granger因果关系检验,结果表明上证综指的日收益率对深圳综指的日收益率有一定的预测作用,但沪深两市的价格不存在长期均衡关系,因此可判断沪深股市基本达到联合的弱式有效。This paper takes day closing price and returns of Shanghai Composite index （000001） and Shenzhen Composite （399106） from January 4, 2000 to April 1, 2011 as research object. According to random walk hypothesis, by using logarithm dynamic auto-regression model, run test and unit root test, through testing the validity of Shanghai and Shenzhen stock exchange market, it concludes that both have reached to the weak efficiency. But the test cannot prove that the mutual influence between them exists and the prices overlap, it＇s necessary to justify whether the two markets are efficiency jointly. Through the Johansen cointegration test and the Granger causality test, it can be proved that the returns of Shanghai has a slight role in prediction on the Shenzhen, however, there is no long-term and harmonious relationship between Shanghai and Shenzhen stock markets. Based on this, the two market are weak efficiency jointly.

关 键 词：有效市场假说 游程检验 单位根检验 JOHANSEN协整检验 GRANGER因果关系检验 

分 类 号：O212[理学—概率论与数理统计] F830[理学—数学]