| 上证股市的弱型有效性及其演进 |
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| 引用本文： | 何兴强,何杨平.上证股市的弱型有效性及其演进[J].华南师范大学学报(自然科学版),2005,0(3):128-137. |
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| 作者姓名： | 何兴强 何杨平 |
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| 作者单位： | 中山大学岭南学院,广东广州,510275;华南师范大学经济与管理学院,广东广州,510631 |
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| 基金项目： | 国家自然科学基金重点项目（10131030）;国家自然科学基金项目（70471018）;高等学校全国优秀博士学位论文作者专项资金资助项目（200267） |
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| 摘 要： | 在简要评述弱型有效性检验方法的基础上,以1990-12-19～2002-06-21的上证综合指数为对象,运用6种典型的检验方法,包括两种形式的游程检验、自相关和Q检验、同方差以及在国内当前研究中尚未发现其应用的异方差条件下的方差比率检验,分别考察日收益和周收益序列整体样本和分段子样本,并简要探讨实证结论的原因.
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| 关 键 词： | 弱型有效性 游程检验 自相关检验 Q检验 方差比率检验 |
| 文章编号： | 1000-5463（2005）03-0128-10 |
| 收稿时间： | 2004-11-10 |
| 修稿时间： | 2004年11月10 |
THE WEAK FORM EFFICIENCY AND ITS EVOLUTION OF THE SHANGHAI STOCK EXCHANGE |
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| HE Xing-qiang,HE Yang-ping.THE WEAK FORM EFFICIENCY AND ITS EVOLUTION OF THE SHANGHAI STOCK EXCHANGE[J].Journal of South China Normal University(Natural Science Edition),2005,0(3):128-137. |
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| Authors: | HE Xing-qiang HE Yang-ping |
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| Abstract: | In this paper, some brief comments on the typical tests of weak form efficiency are given. Then by using the Shanghai Composite Index from 12/19/1990 to 6/21/2002, the followings are detected which contain the random walk characteristics of the whole sample and sub - period sample of daily and weekly return series by employing six typical tests, including two forms of runs test, autocorrelation and Q test, and variance ratio test with homoscedasticity and heteroscedasticity, the latter of which has not been found in application for domestic academic works. Finally, some explorations into the cause of the testing results are illustrated. |
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| Keywords: | weak form efficiency runs test autocorrelation test Q test variance ratio test |
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