| 中国股票市场的渐进有效性研究 |
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| 引用本文： | 张兵,李晓明.中国股票市场的渐进有效性研究[J].经济研究,2003(1). |
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| 作者姓名： | 张兵 李晓明 |
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| 作者单位： | 南京大学管理科学与工程研究院，新西兰Massey大学商务系 210093 |
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| 摘 要： | 本文研究了中国股市是否弱式有效。不同于传统的检验方法 ,本文的实证分析运用了特别适合于转轨经济体中新兴股市的渐进有效性检验 ,该方法采用时变系数的AR( 2 )自回归模型 ,同时考虑到“波动集群”的异方差影响 ,更能清晰地反映出市场有效性的动态演进过程。加之分年度检验的结果 ,我们有把握认定中国股市从 1 997年开始呈现弱式有效。
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| 关 键 词： | 市场有效性 鞅过程 渐进有效性检验 弱式有效 |
An Evolving Market Efficiency Test On Chinese Stock Market |
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| Zhang Bing & Li Xiaoming.An Evolving Market Efficiency Test On Chinese Stock Market[J].Economic Research Journal,2003(1). |
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| Authors: | Zhang Bing & Li Xiaoming |
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| Abstract: | The paper puts forward a new method to detect changes of weak form efficiency in Chinese stock market—evolving market efficiency test,which is very suitable for emerging markets in transition economies.Our test involves a system consisting of a time-varying AR(2) model and an asymmetric TARCH equation.Together with the findings of year-by-year test,we confirm that Chinese stock market has been weak form efficiency since 1997. |
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| Keywords: | Evolving market efficiency Market efficiency Martingale Weak form efficiency |
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