摘要
针对既有研究基于不同研究方法得出的结论不一致和样本选择方面存在的不足,本文选取沪深股市成立以来至2008年5月30日的数据为样本,利用R/S分析法这一非参数方法对我国股市有效性做进一步的探讨。实证结果表明:沪深两市均为一粉红噪声过程,我国股市尚未达到有效。
In the light of the different conclusions of current studies based on different research methods and the deficiency in the selection of samples, the authors choose the data from the foundation of Shanghai and Shenzhen stock markets to May 30, 2008 as samples, use the nonparameter R/S analysis method and makes a further study on the efficiency of China＇ s stock market. The empirical findings show that both Shanghai and Shenzhen stock markets are a pink noise process and China＇ s stock market is not effective.
出处
《经济经纬》
CSSCI
北大核心
2010年第3期130-133,共4页
Economic Survey
基金
西安交通大学"985工程"二期重点项目(07200701)课题部分研究成果
关键词
有效市场假说
上证综指
深圳成指
R/S分析法
efficient market hypothesis
Shanghai composite index
Shenzhen component index
rescaled range analysis
