数字货币市场是否达到了弱式有效?——基于广义谱方法的检验  

Have Cryptocurrency Markets Reached Weak-form Ef?ciency? A Generalized Spectral Approach

作　　者：潘慧峰[1,2] 蔡显军 孙伟 张书宇 PAN Hui-feng;CAI Xian-jun;SUN Wei;ZHANG Shu-yu

机构地区：[1]对外经济贸易大学金融学院 [2]对外经济贸易大学智慧金融科技研究中心 [3]攀枝花学院经济管理学院 [4]中南财经政法大学文澜学院

出　　处：《科学决策》2019年第5期1-13,共13页Scientific Decision Making

基　　金：国家自然科学基金项目(项目编号:71871060)

摘　　要：数字货币市场近些年逐渐吸引了投资者注意,随着交易量的增大和交易者的增加,很多投资者进入这个市场试图获得超额收益,对于这样缺乏基本面信息而主要靠量价信息驱动的市场,检验市场弱式有效不仅对投资具有重要意义,也为评价市场信息效率提供了依据。本文选取OKEX交易所成交量最大的数字货币BCH、BTC、EOS、ETH和ITC的现货和期货合约、芝加哥交易所的期货合约2017年至2019年4月的日度数据,采用广义谱方法检验了世界主要数字货币市场是否达到了弱式有效,此方法可以检验收益率序列存在的非线性序列依赖,并允许存在各种未知形式的条件异方差。广义谱检验结果表明:交易量较高的现货和期货合约均已达到弱式有效,OKEX交易所期货合约的有效性高于现货,芝加哥期货合约由于低成交量反而未达到弱式有效。In recent years, the cryptocurrency markets have gradually attracted the attention of investors. With the increase in trading volume and traders, many investors have entered this markets, attempting to obtain abnormal return. These markets lack fundamental information and mainly depend on price-volume information. The study of weak-form market efficiency not only has important implication for investment, but also help evaluating market information efficiency.This paper chooses the spot and futures contracts of BCH, BTC, EOS, ETH and ITC, which have the largest turnover on the OKEX exchange, and the futures contract of the Chicago Stock Exchange. The daily data are ranging from 2017 to April 2019. In this article, we use the generalized spectral method to test whether the world’s major cryptocurrency markets are weakform efficient. This method can detect the non-linear serial dependence and allow for various unknown forms of conditional heteroskedasticity. The results of generalized spectral test show that both spot and futures contracts with high trading volume have reached weak-form efficiency,while OKEX futures contracts are more efficient than spot ones. Chicago futures market is not weak-form efficient due to low trading volume.

关 键 词：数字货币市场 弱式有效 广义谱 

分 类 号：F831.5[经济管理—金融学]