| 上海证券市场日期效应检验及其有效性的研究 |
| |
| 引用本文： | 石洪华,郑伟.上海证券市场日期效应检验及其有效性的研究[J].系统工程理论与实践,2003,23(5):41-44. |
| |
| 作者姓名： | 石洪华 郑伟 |
| |
| 作者单位： | (1)中国海洋大学数学系 山东青岛266071;(2)兰州大学经济管理学院 甘肃兰州730000 |
| |
| 基金项目： | 国家自然科学基金 ( 3 0 0 70 1 3 9)，甘肃省软科学计划项目 ( RS0 0 2 -B65 -0 90 ) |
| |
| 摘 要： | 以随机选取的沪市18支典型股票的收益率为样本，通过对任意两类日收益率及其残差的统计分析及其日期效应的研究，结果表明：上海证券市场存在着较为明显的日期效应。这一结果支持了目前学术界关于上海证券市场弱有效性的观点。
|
| 关 键 词： | 日期效应 市场有效性 贴近度 |
| 文章编号： | 1000-6788(2003)05-0041-04 |
| 修稿时间： | 2002年4月8日 |
Sample Case Study on Day-efficiency Hypothesis in Shanghai Securities Market |
| |
| SHI Hong\|hua\,ZHENG Wei\.Sample Case Study on Day-efficiency Hypothesis in Shanghai Securities Market[J].Systems Engineering —Theory & Practice,2003,23(5):41-44. |
| |
| Authors: | SHI Hong\|hua\ ZHENG Wei\ |
| |
| Institution: | (1) Department of Mathematic, Ocean University of China, Qingdao 266071, China; (2)School of Economic and Administration,Lanzhou University, Lanzhou 730000, China |
| |
| Abstract: | The returns of eighteen typical stocks which have been selected randomly in Shanghai securities market are considered as samples. It analysises the day\|efficiency in market return and its variance. Through the sample case study on Shanghai securities market, it founds that there exits rather evident day\|efficiency. This conclusion supports that Shanghai' stock market is accord in the weak form of efficient market. |
| |
| Keywords: | day\|efficient efficient market hypothesis similarity degree |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
| 点击此处可从《系统工程理论与实践》下载免费的PDF全文 |
