基于NCT指标的股市噪音成分研究:以七个亚洲市场为例被引量：11

Noise Composition Test of Stock Prices with NCT: Evidence from Seven Asian Stock Markets

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摘要本文以Lo and Mackinlay(1988,1989)[1][2]的方差比率为基础,构建了考察股市噪音成分的MCT指标,并对亚洲七个国家和地区的股市进行了检验。结果发现中国大陆和泰国股市具有更大的噪音成分,市场效率性较差;香港地区、台湾和日本股市则具有较小的噪音交易成分,且无法拒绝不存在噪音交易的零假设;马来西亚和印度尼西亚的市场表现则处于前两者之间。最后我们通过Bootstrap对检验进行了重新评估,发现本文的检验结果是稳健的。 Based on the variance- ratio test of Lo and Mackinlay（1988,1989）, I construct a noise composition test（NCT） index in this paper and give an empirical test to seven Asian stock markets. I find the the markets of mainland of China and Thailand have more noise composition and are more inefficient. Meanwhile, the markets of Hong Kong,Taiwan,and Japan have a smaller noise composition and I cannot reject the zero hypothesis of price which is following a random walk. At last, I use the Bootstrap sample to re - estimate the previous results and find it is robust.

作者孔东民

机构地区中山大学管理学院行为金融与金融经济学研究所

出处《中国管理科学》 CSSCI 2005年第6期6-10,共5页 Chinese Journal of Management Science

基金广东省自然科学基金资助项目(0400975)

关键词方差比检验噪音成分检验异方差 Bootstrap抽样 variance - ratio test noise composition test（NCT） heteroskedasticity Bootstrap

分类号 F830 [经济管理—金融学]

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参考文献15

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二级参考文献12

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