我国沪市弱式有效性实证研究  

The Empirical Test of the Weak-Form Efficiency of the Shanghai Stock Market

作　　者：廖宜静[1] 吴瑜琪 LIAO Yijing WU Yuqi(Anhui Agricultural University,Hefei Anhui 23003)

机构地区：[1]安徽农业大学,安徽合肥230036

出　　处：《山东农业工程学院学报》2017年第5期47-51,共5页The Journal of Shandong Agriculture and Engineering University

摘　　要：证券市场有效性代表着证券市场的运行效率及配置效率,研究有效性对投资者的投资决策以及监管者的监管手段有着重要意义。本文以检验股票市场是否符合随机游走特征为根本目标,选取2011年1月至2016年12月期间的上证综合指数每日收盘价,利用序列相关、单位根及游程检验对我国沪市的弱式有效性进行实证研究。模型结果显示,我国沪市已达到明显的弱式有效。The efficiency of security market represents it＇s operating efficiency and allocafive effects. It is of great significance to study the effectiveness of the market to benifit investors＇ decisions and regulators＇ supervision. This paper will focus on weither the Shanghai stock market follows the Random-Walk-Model or not, and use the day＇s closing price of Shanghai Composite Index adopts the testing for serial correlation, unit root test and run test. Model market has already achieved the weak-form efficiency. ranged from 2011 to 2016, mainly results show that Shanghai security

关 键 词：沪市 弱式有效 上证指数 序列相关检验 单位根检验 游程检验. 

分 类 号：F830.91[经济管理—金融学]