摘要
文章首先运用ARMA模型对市场收益率序列和波动率序列去掉序列的线性相关,然后运用BDS检验法对我国证券市场的收益率序列和波动率序列是否具有非线性结构进行实证研究。检验结果发现:我国证券市场股价运动具有明显的非线性特征,拒绝了有效市场理论的基本假设。
We first get rid of linear correlation of yield and volatility series by using ARMA model, and then test whether nonlinear character exists between yield and volatility series. Results show that Chinese stock market refuses EMH＇s basic presupposition for its obvious nonlinear configuration.
出处
《上海立信会计学院学报》
2006年第4期78-83,共6页
Journal of Shanghai Lixin University of Commerce
