外汇市场的有效性假设和分形市场分析  

The Efficiency of the Foreign Exchan ge Market and Fractal Market Analysis

作　　者：侯永建[1] 周浩[2] 曹兴华[1] 

机构地区：[1]青岛大学经济学院,山东青岛266071 [2]青岛海洋大学管理学院,山东青岛266071

出　　处：《贵州财经学院学报》2002年第5期37-40,共4页Journal of Guizhou College of Finance and Economics

摘　　要：外汇市场有效性假设EMH的线性范式与现实市场状况并不相符。实证分析表明,外汇汇率变化不服从正态分布,而是服从分形分布;运用R/S方法对汇率变化进行分形分析后得出,外汇汇率变化不是一个随机游走的过程,而是一个有偏的随机过程,汇率价格之间不是相互独立的,而是具有状态持续性的,汇率价格的变动具有周期性。中央银行在干预外汇市场时,应考虑外汇汇率变化的“长期记忆”效应并采取相应措施,同时对微观结构主体在汇率波动中的作用加以重视。The linear paradigm of efficient foreign exchange market hypothesis(EMH)does not conform to market realities.Em-pirical analysis shows that changes in exchange rates do not follow norma l distribution but fractal distribu tion;fractal R /S analysis indicates that changes in exchange rates are not a random -walk ing process,but a biased random proc ess,that exchange prices are not independent of each other,but continuous in state,and that changes in exchange price s are cyclical.When intervening in foreign exchange market,central bank must take account of the'long -term memoryeffect of changes in exchange rate an d take corresponding countermeasur es,and put emphasis on the role of mic ro -entities in the fluctuation of exchange rates.

关 键 词：外汇市场 有效市场假设 分形分布 分形市场假说 汇率 中央银行 

分 类 号：F830.92[经济管理—金融学]