摘要
以亚洲数个股票市场(中国大陆、中国台湾、中国香港、韩国、印度、日本、泰国、马来西亚)的主板指数为样本,将滑动窗口与方差比检验相结合,比较各市场的有效性变化情况,结果与分析显示:不同市场的有效性波动不一致;市场有效性往往在政策出台后出现大幅波动;新兴市场可以通过不断学习成熟市场的体制、出台相应的政策,以此提高自身市场有效性,缩短与成熟市场的差距。
This paper takes the multiple variance ratio tests from several Asian stock markets（China's Mainland,China Taiwan,China Hongkong,Korea,India,Japan,Thailand and Malaysia） as the samples to investigate their efficiency. In order to research the efficient fluctuation of different markets,the variance ratio tests are based on slide window. The result shows that the fluctuation of each market efficiency is different,and the market efficiency usually changes after interference the markets from the government. While,we also detect that by learning the regime of developed market,the emerging market can shorten the gap by introducing the policies which people learn from the developed market.
出处
《昆明学院学报》
2014年第1期90-95,共6页
Journal of Kunming University
关键词
股票
亚洲股市
市场有效性
方差比检验
成熟市场
新兴市场
stock
Asian stock markets
market efficiency
variance ratio tests
developed market
emerging market
