中国股票市场是弱式有效的吗——基于样本外预测的检验  

Is Chinese Stock Market Weakly Efficient?——Based on the Test of Out-of-Sample Forecast

作　　者：汪卢俊[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《当代经济科学》2014年第2期62-69,126,共8页Modern Economic Science

摘　　要：本文建立LSTAR-GARCH模型描述上证指数与深证成指的真实数据生成过程,在此基础上借助滚动分析进行样本外预测,通过对比真实数据生成过程与鞅假设下的预测效果,对中国股市的弱式有效性进行检验。研究发现,2005年4月29日股改之初,沪深股市均非弱式有效市场,2010年4月16日股指期货推出后,深圳股市有效性增强,逐渐达到弱式有效市场,但上海股市至今仍未达到弱式有效市场。同时,经济意义上的证据也支持这一结论,股指期货推出后,深证成指套利的可能性很小,但上证指数套利的空间依旧存在。研究结果表明股票市场的有效性仍有待增强。This paper establishes LSTAR-GARCH model to describe the real data generation process of Shanghai Composite Index and Shenzhen Component Index. On this basis,with the rolling analysis,it conducts out-of-sample forecast by comparing the prediction effect under the real data generation process and the Martingale hypothesis and tests the weak efficiency of Chinese stock market. The study finds that in the beginning of the stock reform on April 29,2005,the stock markets in Shanghai and Shenzhen are not weakly efficient markets. After introducing stock index futures on April 16,2010,the stock market in Shenzhen enhanced efficiency and gradually became a weakly efficient market. But the stock market in Shanghai has not become the weakly efficient market yet. At the same time,the evidence of economic sense also supports this conclusion. After introducing stock index futures,the Shenzhen Component Index's arbitrage possibility is very small,but arbitrage space still exists in the Shanghai Composite Index. The results show that the efficiency of stock market remains to be enhanced.

关 键 词：股票市场 弱式有效市场 LSTAR—GARCH模型 样本外预测 

分 类 号：F224[经济管理—国民经济] F832.51