上证综合指数弱式有效性的时变性研究

本文利用1990年12月19日至2013年9月30日期间的日收盘价格，研究了上证综合指数的弱式有效性. 不同于之前的相关研究，文中采用滑动窗口，将全样本分成若干固定长度的子样本，分别作游程检验和Q检验，并以相应的检验统计量作为市场有效性程度的近似度量，研究了上证综合指数弱式有效性的时变性. 研究结果表明随着证券法正式实施和股权分置改革试点工作的展开，上海证券市场弱式有效性程度呈现明显阶段性变化，并且随着时间的推移其有效性有所提高.

The study on time-varying of weak-form market efficiency in the Shanghai composite index

This paper examines the weak-form efficiency in Shanghai stock market based on data set from the December 19, 1990 to September 30, 2013. Differing from precedent studies, the whole sample is divided into some sub-samples with fixed length by adopting the sliding window. Then we put run test and Q test on each sub-sample and use the corresponding statistics as an approximate measurement of degree of weak market efficiency to study time-varying of weak-form market efficiency in the Shanghai Composite index. The results show that Chinese stock market gets closer to the efficient market in the past two decades.