摘要
本文使用序列自相关分析、游程检验、滤嘴法则和自回归残差检验四种方法对上证A股综合股价指数、深证A股成份股价指数、道·琼斯工业平均数和NASDAQ综合股价指数的弱式有效性作了检验。结果表明 ,美国两个股票市场呈弱式有效性 ,中国两个股票市场还不能确认呈弱式有效性 ,本文对中国股市的信息传递机制提出了看法和建议。
This paper makes tests of weak-form efficiency for SSE A Share Composite Index,SZSE A Share Component Index,Dow Jones Industrial Average and NASDAQ Composite Index by means of serial auto-correlation,run test,filter rule and auto-regression.The results show that two stock markets in U S A. present has weak-form efficiency,and it is not conformed whether two stock markets in China present weak-form efficiency,and brings up some views and suggestions about the mechanism of information transmission of stock markets in China.
关键词
中国
美国
股票市场
弱式有效性
报酬率
统计检验
信息传递机制
stock market
weak-form efficiency
return rate
statistical test
mechanism of information transmission
