基于EMH的厦门市商品住宅市场有效性测度的实证分析  

Empirical Analysis on Measurement of the Effectiveness of Commercial Housing Market in Xiamen Based on EMH

作　　者：叶青[1] 孙宇[1] 叶培桐 

机构地区：[1]华侨大学土木工程学院,福建厦门361021

出　　处：《建筑经济》2015年第5期74-77,共4页Construction Economy

基　　金：中央高校基本科研业务费专项资金资助项目"精益建造理论及其在建筑工程中的应用研究"(JB-ZR1162);华侨大学高层次人才科研启动项目"价值流程图技术在精益建造中的应用研究"(12BS131);泉州市科技计划项目"看板BIM在施工阶段应用的关键技术研究"(2013Z31);国家留学基金资助青年骨干教师出国研修项目(20133050)

摘　　要：基于有效市场假说（EMH）,以2006~2013年厦门市商品住宅月均价为样本,对商品住宅市场的有效程度进行多角度测算。结果显示,价格序列存在单位根和严重的自相关,且游程检验的Z统计值不大于99%显著水平下的临界值,表明厦门市商品住宅价格对市场信息反映程度较低,市场尚未达到弱式有效。Taking commercial housing market in Xiamen as the research object,the paper selects 2006~2013 monthly average price of Xiamen commercial housing as samples,calculates the effectiveness of Xiamen commercial housing market from multi-angle. The results show that price series have unit root and serious selfcorrelation,runs test Z-statistic are not greater than the critical value in 99% significant level. These indicate that commercial housing price in Xiamen has low reflection degree to market information and the market has not reach weak-form market efficiency.

关 键 词：有效市场假说 商品住宅市场 ADF检验 游程检验 

分 类 号：F407.9[经济管理—产业经济]