摘要
本文对全球金融危机过后我国股票市场的有效性进行实证检验,分别对日收益率进行了相关性与游程检验,从而来检验市场的弱式有效性、用事件研究法检验股票市场的半强式有效性;最后得出上海与深圳股票市场均达到了弱式有效,但我国股票市场没有达到半强式有效。
The global financial crisis was outbreak after U.S.sub prime crisis,and had a far-reaching on global stock markets.Is its impact on our stock market also produced far-reaching effects? This paper was based on this issue,and use correlation test,run test and a unit root on our stock market to judge if the index or the prices follow random walk,which infers to the weak form of market efficiency.0ur empirical results show that the two stock index follow the random walk.The effectiveness of the financial crisis on our stock market is not significant.
出处
《中南财经政法大学研究生学报》
2011年第2期74-79,117,共7页
Journal of the Postgraduate of Zhongnan University of Economics and Law
