市场操纵与证券市场弱有效性检验  

Market Manipulation and Its Means for the Test of EMH

作　　者：李广众[1] 王美今[1] 

机构地区：[1]中山大学岭南学院,广州510275

出　　处：《中山大学学报（社会科学版）》2003年第5期103-109,共7页Journal of Sun Yat-sen University(Social Science Edition)

基　　金：国家社科基金(项目编号01BJY090)

摘　　要：针对市场操纵行为对证券市场有效性的破坏以及监管部门在发现市场操纵行为中存在困难,本文对收益率基本统计指标以及价格变动非随机性的市场有效性检验进行了分析。研究说明,市场操纵期间,被操作股票收益率均值、标准差基本上都高于历年同期以及参照公司同期;市场操纵期内收益率总和明显高于参照期间与参照公司的事实揭示了市场操作行为获取超额收益依赖于较为频繁的短线操作。研究还证明了目前通行的游程检验与随机游走模型检验在检验市场弱式有效性方面存在一定缺陷。Considering the breach of market manipulation on the EMH and the difficulties to supervise the manipulation, this paper tries to analyze the statistic description of the return rate and to perform the test on the non-stochastic of the price. The comparison shows that, the means and the standard deviation of the return rate is much higher during the period of manipulation. The result also emphasizes the importance of the frequent trade strategy for the manipulator to get the excess return. The a-nalysis also proves that the run test and the random walk test only have the limited power against the EMH.

关 键 词：市场操纵 市场弱有效性 游程检验 随机游走模型 股票 证券市场 

分 类 号：F832.5[经济管理—金融学]