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本文拟采用经验数据对中国股票市场的弱式有效性进行检验。基于2010年4月16日至2013年5月31日的5分钟高频数据,运用Q统计量法、方差比检验法、广义谱检验、游程检验等多种方法对数据序列的性质进行检验,研究结果表明:不同的检验算法对中国股票市场弱式有效性的支持程度不同,原因是它们所针对的序列性质不同;中国股票市场在较短的考察期内具备弱式有效性,而随着考察期长度的增加,市场趋于拒绝弱式有效性。
This paper intends to use empirical data to test the weakness of China’s stock market. Based on the 5-minute high-frequency data from April 16, 2010 to May 31, 2013, Q-statistic, variance ratio test, generalized spectrum test and run test were used to test the properties of data series. The results show that different test algorithms have different degrees of support for the weak validity of the Chinese stock market because they are different in sequence nature. The Chinese stock market has weak validity in the short investigation period, As the length of the study period increases, the market tends to reject weak validity.