文档介绍：系统工程学报
1997 年第 12 卷第 3 期 JOU RNAL O F SYST EM S EN G INEER ING 1997 V o l. 12 N o. 3
①
上海股市 EM H 实证检验
闫冀楠②张维
(天津大学系统工程研究所, 天津 300072)
摘要鉴于“有效市场假设”EM H 在经济领域的基石地位, 本文旨在针对上海股市 EM H
的成立状况给予系统的实证检验. 首先介绍了 EM H 的经济涵义, 之后由其数学描述“随机游走
模型”出发, 将 EM H 的验证工作剖解为价格的单位根检验和收益的独立性检验两部分. 针对
EM H 验证这两方面时所用传统方法的不足, 引进提出了若干更符合 EM H 经济涵义的检验方
法. 最后通过对“钱龙系统”提供的实际数据进行实证检验, 得到的结论是: EM H 在上海股市不
成立.
关键词: 有效市场假设, 随机游走模型, 价格的单位根检验, 收益的独立性检验
分类号: F832. 5
TEST FOR EM H IN SHANGHA I SECUR ITIES EXCHANGE
Yan J inan, Zhang W e i
( Institu te of System s Engineering, T ian jin U n iversity, T ian jin 300072)
Abstract D ue to the basic statu s of EM H in Econom ics, th is paper focu ses
on testing EM H in SSE system atically and emp irically. A t first, it’s derived from
EM H ’s m athem atical description- random w alk model- that the m ethodo logy of
testing EM H can be po sed in to two parts- one fo r p rice’s stationarity and
the o ther fo r retu rn’s independence. A fter analyzing the w eakness in conven tional
study fo r EM H , som e developed tests are in troduced. A t last, it’s concluded that
EM H doesn’t ho ld in SSE th rough emp irical study on p ractical data p rovided by
“Q ian long System ”.
Key words: EM H , random w alk model, un it roo t test fo r p rice, independence test
fo r retu rn
0 引言
自 1990 年上海证券交易所开业迄今, 我国证券业发展一日千里; 相比之下, 数理金融该
领域的量化研究