摘要
鉴于“有效市场假设”ＥＭＨ在经济领域的基石地位，本文旨在针对上海股市ＥＭＨ的成立状况给予系统的实证检验．首先介绍了ＥＭＨ的经济涵义，之后由其数学描述“随机游走模型”出发，将ＥＭＨ的验证工作剖解为价格的单位根检验和收益的独立性检验两部分．针对ＥＭＨ验证这两方面时所用传统方法的不足，引进提出了若干更符合ＥＭＨ经济涵义的检验方法．最后通过对“钱龙系统”提供的实际数据进行实证检验，得到的结论是：ＥＭＨ在上海股市不成立．
Due to the basic status of EMH in Economics,this paper focuses on testing EMH in SSE systematically and empirically.At first,it's derived from EMH's mathematical description-random walk model-that the methodology of testing EMH can be decomposed into two parts-one for price's stationarity and the other for return's independence.After analyzing the weakness in conventional study for EMH,some developed tests are introduced.At last,it's concluded that EMH doesn't hold in SSE through empirical study on practical data provided by “Qianlong System”.
出处
《系统工程学报》
CSCD
1997年第3期49-56,共8页
Journal of Systems Engineering
基金
国家自然科学基金
关键词
有效市场假设
随机游走模型
股票市场
EMH,random walk model,unit root test for price,independence test for return
