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《经济问题》2003 年第 7 期 J uly ,2003 No 7
深圳股市有效性与
可预测性并存的实证研究
许涤龙
(湖南大学统计学系,湖南长沙 410079)
摘要:选取深证成分股综合日指数(1991/ 04/ 03~2002/ 05/ 09) 作为样本,对深圳股市的有效性用统计方法作了检验分
析。根据有效市场理论,利用时间序列相关性分析和价格的随机游走对深圳股市的有效性进行检验;建立 ARCH 模型验证深
圳股市的可预测性。通过检验发现:早期的深圳股市不属于有效市场形式,但现阶段则逐渐体现出可预测弱有效市场的特
征。
关键词: 深圳股市;有效性;可预测性;统计检验
中图分类号: F830 91 文献标识码:A 文章编号:1004 - 972X(2003) 07 - 0037 - 03
The Positive Research of Efficiency and Predictable Nature for Stock Market in Shenzhen
XU Di - long
(Department of Statistics Hunan University , Changsha Hunan 410079 , China)
Abstract :Daily index data(1991/ 04/ 03 ~ 2002/ 05/ 09) for sample has been chosen in this paper to test and analysis the effi
ciency of stock market in Shenzhen According to the theories in efficiency market , the purpose of this paper is to examine the effi
ciency of stock market in Shenzhen by making use of the time serial relativity analysis and price walk theory It verifies the predictable
nature of stock market in Shenzhen to establish ARCH model It shows that the earlier stock market in Shenzhen does not belong to
the efficient market form , but the present stage is gradually reflecting the predictable feature of the weak - efficient market
Key words :Stock Market in Shenzhen ; efficiency ; predictable nature ; examination
一、有效市场理论:价格的随机游走根据有效市场理论,如果市场达到弱有效性,股票价格
对金融市场有效性的研究可以追溯到 20 世纪