| 中国股市有效性动态变化的实证研究 |
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| 引用本文： | 史永东,何海江,沈德华.中国股市有效性动态变化的实证研究[J].系统工程理论与实践,2002,22(12):88-92. |
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| 作者姓名： | 史永东 何海江 沈德华 |
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| 作者单位： | 东北财经大学金融学院和金融工程研究中心 |
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| 基金项目： | 霍英东青年教师基金(81078)，东北财经大学金融系科研基金(2001008) |
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| 摘 要： | 收益的显著相关通常称为可预测性.若收益是可预测的,则在一定程度上表明市场是无效的.我们基于可变参数的Kalman滤波模型,利用我国股票市场近10年的数据,通过分析股票收益的可预测性,实证地研究了我国新兴股票市场有效性的动态变化.结果表明中国股市的有效性是逐步提高的,政策法规的颁布与实施对股市有效性的提高起到了非常重要的积极作用.
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| 关 键 词： | 动态效率 Kalman滤波 可预测性 |
| 文章编号： | 1000-6788(2002)12-0088-05 |
| 修稿时间： | 2001年8月16日 |
Empirical Analysis of Efficiency Evolution in Chinese Stock Markets |
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| Yong Dong SHI,Hai Jiang HE,De Hua SHEN.Empirical Analysis of Efficiency Evolution in Chinese Stock Markets[J].Systems Engineering —Theory & Practice,2002,22(12):88-92. |
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| Authors: | Yong Dong SHI Hai Jiang HE De Hua SHEN |
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| Institution: | Research Center of Financial Engineering and School of Finance, Dongbei University of Finance and Iconomics |
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| Abstract: | Significant autocorrelation between returns has been defined as predictability. If return is predictable, it means that market is inefficient to some extent. We apply a time\|varying Kalman filter model to analyzing the predictability of stock returns and investigating empirically the dynamic changes of our emerging stock market efficiency, using nearly 10 years` Chinese stock data.. We find that Chinese stock market efficiency has gradually improved with time, and that promulgation of policies and regulations has contributed greatly to the improvement of stock market efficiency. |
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| Keywords: | dynamic efficiency Kalman filter predictability |
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