上海证券市场弱式有效性的统计检验

有效市场假说是现代金融理论中最重要也是最有争议的概念之一,其中研究最多、争议最大的是市场的弱式有效性。本文运用上证综合指数（2003年1月2日-2006年12月29日）日数据,对上海证券市场的弱式有效性进行了三种统计检验,序列相关性检验、单位根检验和随机游程检验,单位根检验得出上海证券市场尚未达到弱式有效,然而序列相关性检验和随机游程检验的结果显示上海证券市场已经达到弱式有效,由于单位根检验的必要而非充分性,本文认为可以认为上海证券市场已基本上达到弱式有效。     

A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets

This study re-examines the random walk hypothesis for eight emerging equity markets in Asia: Hong Kong, Indonesia, Korea, Malaysia, the Philippines, Singapore, Taiwan, and Thailand. The hypothesis is tested with two new variance ratio tests–Wright's rank and sign and Whang–Kim subsampling tests–as well as the conventional Lo–MacKinlay and Chow–Denning tests. We found that (i) the stock prices of the eight Asian countries do not follow random walk with the possible exceptions of Taiwan and Korea and (ii) the accelerated opening of the eight stock markets to foreign investors following the Asian financial crisis in 1997 has not significantly altered the mean-reversion patterns of stock price vis-à-vis relative market efficiency. Our study affirms that Wright's and Whang–Kim's tests yield far less ambiguous results as compared to Lo–MacKinlay and Chow–Denning tests.     

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and future prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are biased in the presence of conditional heteroscedasticity. We apply a recently developed generalized autoregressive conditional heteroscedasticity (GARCH) unit root test with multiple structural breaks to crude palm oil spot and future prices and find much more evidence against weak-form efficiency than that found using tests that fail to allow for conditional heteroscedasticity. Our results point to the importance of allowing for heteroscedasticity when testing for efficiency in commodity and energy spot and future prices.     

Spillovers of volatility index: evidence from U.S., European,and Asian stock markets

We investigated the cross-market relations of volatility indexes with U.S. and non-U.S. stock market returns. We found that the pervasive VIX influence at both U.S. and non-U.S. stock markets. The VSTOXX and VKOSPI capture the major shocks to the global economy and show movements similar to the VIX. The empirical findings indicate that volatility index changes are important in explaining stock returns. We also examined spillover effects across volatility indexes. The VIX is a main transmitter, and the VKOSPI the main receiver, of these spillovers. The results point to a leading role for the VIX in the international market.     

Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto (Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this question we perform numerous statistical tests: serial correlation test (ACF test), runs test, unit root test (Kwiatkowski, Philips, Schmidt, & Shin, 1992), multiple variance ratio test (Chow & Denning, 1993) and ranks and signs test (Wright, 2000).The results indicate that the Portuguese Equity Market is inefficient in weak form during pre-merger period implying that investors possessed an opportunity to earn abnormal returns though small in magnitude. The results, sensitive to the methodology used, indicate a mixed evidence of improvement in market efficiency during the post-merger period. Although the findings are mixed, yet most tests show a tendency of improved efficiency.     

The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach

A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading environment over time. With new methodologies and a new measure of the degree of market efficiency, we examine whether the US stock market evolves over time. In particular, a time-varying autoregressive (TV-AR) model is employed. Our main findings are: (i) the US stock market has evolved over time and the degree of market efficiency has cyclical fluctuations with a considerably long periodicity, from 30 to 40 years; and (ii) the US stock market has been efficient with the exception of four times in our sample period: during the long recession of 1873–1879; the recession of 1902–1904; the New Deal era; and the recession of 1957–1958 and soon after it. It is then shown that our results are partly consistent with the view of behavioural finance.     

A re-examination of financial development,stock markets development and economic growth

This study provides new evidence on the role of financial development and stock market development in accounting for economic growth across geographic regions and income groups. To derive feasible policy implications, we estimate not only unbalanced panel regressions with period fixed effects, but also variance decompositions of annual Gross Domestic Product (GDP) growth rates to examine what proxy measures are most important in economic growth over time and how much they contribute to economic growth. We find distinct direction, timing and strength of the causal links between financial development, stock market development and economic growth based on the results of Granger causality tests. Therefore, it may be necessary to make different efforts to achieve steady economic growth across geographic regions and income groups.     

Influence of policy,operational and market conditions on seaport efficiency in newly emerging economies: the case of Vietnam

ABSTRACT

Located in Southeast Asia as one of the most dynamic economic regions in the world and close to north-south shipping routes, Vietnam’s seaports play a vital role in promoting its international trade and economic growth. And yet, most ports are small and owned by the public sector. Their performance is subject to various factors relating to government policy, operational and market conditions. Although the Government has been trying to improve the sector’s performance through corporatization, its corporatization model is unique in many ways compared with reform models in other countries. This study seeks to analyse the effects of government policy, operational and market conditions among other factors, on Vietnamese seaports’ efficiency. Double-bootstrap data envelopment analysis (DEA) and univariate and multivariate analyses were conducted using the data sample of 41 ports for years 2015 and 2016. The analysis results show that the factors of production, regional location and reform policy had a significant impact on port performance.     

The unit root problem: Affinities between ergodicity and stationarity,its practical contradictions for central bank policy,and some consideration of alternatives

The initial focus in this article is the problem of mismatch between policy goals and statistical analysis, based on how data is transformed and processed. This intrinsically raises ontological issues regarding the nature of an economy within which policy is made and to which statistical analysis is applied. These are of general significance to post Keynesians irrespective of the position they take on the specifics of the ergodicity debate. However, they involve some issues that overlap with some aspects of that debate. The problem as posed in this article is specific and involves a practical contradiction regarding central bank policy and the problem of unit roots. The authors then consider some additional ways in which one can go beyond common practice based on the example of Forward Guidance in the United Kingdom and a more institutional approach to post Keynesian analysis.     

The effects of upcoding,cream skimming and readmissions on the Italian hospitals efficiency: A population-based investigation

In this paper we analyze the effects of some distortions induced by the prospective payment system, i.e. upcoding, cream skimming and readmissions, on hospitals' technical efficiency. We estimate a production function using a population-based dataset composed by all active hospitals in an Italian region during the period 1998–2007. We show that cream skimming and upcoding have a negative impact on hospitals' technical efficiency, while readmissions have a positive effect. Moreover, the results indicate that private hospitals engage more in cream skimming than public and not-for-profit ones, while we observe no ownership differences regarding upcoding. Not-for-profit hospitals have the highest readmission index. Last, not-for-profit and public hospitals have the same efficiency levels, while private hospitals have the lowest technical efficiency.