| 基于信息分解视角的香港股市运行效率研究 |
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| 引用本文： | 谢海滨,顾霞,魏云捷. 基于信息分解视角的香港股市运行效率研究[J]. 系统工程理论与实践, 2017, 37(6): 1432-1440. DOI: 10.12011/1000-6788(2017)06-1432-09 |
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| 作者姓名： | 谢海滨 顾霞 魏云捷 |
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| 作者单位： | 1. 对外经济贸易大学 金融学院, 北京 100029;2. 首创证券, 北京 100088;3. 中国科学院 数学与系统科学研究院, 北京 100190;4. 中国科学院 预测科学研究中心, 北京 100190 |
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| 基金项目： | 国家自然科学基金青年基金项目（71401033）;教育部青年项目（14YJCZH167）;对外经济贸易大学中央高校基本科研业务专项资金（15YQ08） |
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| 摘 要： | 利用极值将收益率分解成利好和利空消息冲击的合成,本文实证研究了香港股市对信息的反应效率.基于恒生指数的实证研究发现:1.坏消息对香港股市的冲击持续性要强于好消息;2.线性格兰杰因果检验显示,坏消息对市场的冲击会影响好消息对市场的冲击,反之则不成立,表明好消息和坏消息之间存在非对称的冲击特征;3.好消息和坏消息对市场的冲击具有明显的阶段性差异.牛市中好消息对市场的冲击强度超过坏消息,而在熊市中坏消息对市场具有更强的冲击.总之,基于信息分解的建模方法显示,信息对香港股市的冲击具有显著的时滞性,香港股市具有较强的样本内可预测性.香港股票市场并未达到弱势有效.
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| 关 键 词： | 市场有效性 信息分解 极值 香港股票市场 |
| 收稿时间： | 2015-03-27 |
A study on Hongkong stock market efficiency through information decomposition |
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| XIE Haibin,GU Xia,WEI Yunjie. A study on Hongkong stock market efficiency through information decomposition[J]. Systems Engineering —Theory & Practice, 2017, 37(6): 1432-1440. DOI: 10.12011/1000-6788(2017)06-1432-09 |
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| Authors: | XIE Haibin GU Xia WEI Yunjie |
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| Affiliation: | 1. School of Banking and Finance, University of International Business and Economics, Beijing 100029, China;2. Capital Securities, Beijing 100088, China;3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;4. Center for Forecasting Science, Chinese Academy of Sciences, Beijing 100190, China |
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| Abstract: | By decomposing the stock returns into good news shock and bad news shock with price extremes, this paper investigates the efficiency of the Hongkong stock market. Empirical results show that:1. the shock of bad news to stock market is of more persistence than the good news; 2. bad news shock Granger causes good news shock, not vice versa, indicating strong asymmetric shock between good news and bad news; 3. the shocks of both good news and bad news to stock market are state-dependent. To be specific, good news has relatively larger shock when market is bullish, while bad news shock dominates when market is bearish. Models based on decomposition approach show slow reaction of Hongkong stock market to news and high in-sample predictability of Hongkong stock market. The findings of this paper indicate that the Hongkong stock market is weakly inefficient. |
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| Keywords: | market efficiency information decomposition price extremes Hongkong stock market |
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