沪深股市月股价指数变动的方差比检验分析

基于沪深股市自建立以来的月A股价指数序列,采用方差比检验法,对两市A股股价指数是“随机游走”,还是存在“均值回复”的假设进行实证分析。一般性数据分析结果表明沪深两市的A股月收益序列都不是一个白噪声过程;方差比检验的经验结果不能拒绝沪市A股月股价指数随机游走的假设;但拒绝了深市的这一假设;而且随着采样间隔q的增加,两市A股收益的方差比有着不同的变化趋势。

A Variance Ratio Test on Chinese Stock Monthly Indixes

This paper exames whether Chinese stock indixes follow a random walk or indicate a mean reversion process by employing the Variance Ratio(VR) test.The monthly stock indixes of A-share in two stock markets are used,the results of which indicate that monthly returns in both stock markets are not a white noise process.The empirical evidence from VR test supports the null hypothesis in Shanghai stock market,but rejects it in Shenzhen stock market.The different trends of VR with increasing lags still exist in both markets.