| 我国证券市场效率进化的实证检验 |
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| 引用本文： | 韩勇.我国证券市场效率进化的实证检验[J].证券市场导报,2005(11):26-31. |
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| 作者姓名： | 韩勇 |
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| 作者单位： | 北京大学经济学院,100871 |
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| 摘 要： | 本文利用中国新兴证券市场1992～2004年的数据,运用R/S分析方法检验发现:无法证明市场的有效程度随着时间推移而提高,我国证券市场的长期记忆效应较弱,市场效率低主要是受短期自相关等因素影响,这可能与市场中存在操纵行为有关;四分位图显示各子市场的有效性排名随着时间而变化,这意味着选取某一特定时段数据对于中国证券市场进行有效性检验的做法具有很大的误导性.
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| 关 键 词： | R/S分析 赫斯特指数 长期记忆效应 市场效率 |
Empirical Studies on Evolving Efficiency of China Securities Market |
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| Han Yong.Empirical Studies on Evolving Efficiency of China Securities Market[J].Securities Market Herald,2005(11):26-31. |
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| Authors: | Han Yong |
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| Abstract: | Test based on Chins securities market data 1992 -2004 revealed that there is no proof that effectiveness of China securities market improves with passing time. China market has weak long memory effect, a result of short-term self-related factors. This may also be contributed by market abuse. As reflected in related charts, ranking subrnsrkets in terms of effectiveness changes over time, which indicates that effectiveness of market data at any specific time could be, to a large extent, misleading. |
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| Keywords: | R/S analysis H-index long memory effect market efficiency |
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