中美股票市场弱式有效性的比较研究  

Study on Comparison of Weak-form Efficiency of Stock Markets Between China and U.S.A.

作　　者：韩德宗[1] 虞红丹 

机构地区：[1]杭州商学院金融学院,浙江杭州310035 [2]南安普敦大学

出　　处：《财经论丛（浙江财经学院学报）》2002年第2期39-44,共6页

摘　　要：本文使用序列自相关分析、游程检验、滤嘴法则和自回归残差检验四种方法对上证A股综合股价指数、深证A股成份股价指数、道·琼斯工业平均数和NASDAQ综合股价指数的弱式有效性作了检验。结果表明 ,美国两个股票市场呈弱式有效性 ,中国两个股票市场还不能确认呈弱式有效性 ,本文对中国股市的信息传递机制提出了看法和建议。This paper makes tests of weak-form efficiency for SSE A Share Composite Index,SZSE A Share Component Index,Dow Jones Industrial Average and NASDAQ Composite Index by means of serial auto-correlation,run test,filter rule and auto-regression.The results show that two stock markets in U S A. present has weak-form efficiency,and it is not conformed whether two stock markets in China present weak-form efficiency,and brings up some views and suggestions about the mechanism of information transmission of stock markets in China.

关 键 词：中国 美国 股票市场 弱式有效性 报酬率 统计检验 信息传递机制 

分 类 号：F832.51[经济管理—金融学] F837.125