中国股市有效性动态变化的实证研究.pdf

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2002 年 12 月系统工程理论与实践第 12 期
文章编号: 1000 6788 (2002) 12 0088 05
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中国股市有效性动态变化的实证研究
史永东, 何海江, 沈德华
(东北财经大学金融学院和金融工程研究中心, 辽宁大连 116025)
摘要: 收益的显著相关通常称为可预测性若收益是可预测的, 则在一定程度上表明市场是无效的我
们基于可变参数的 Kalman 滤波模型, 利用我国股票市场近 10 年的数据, 通过分析股票收益的可预测
性, 实证地研究了我国新兴股票市场有效性的动态变化结果表明中国股市的有效性是逐步提高的, 政
策法规的颁布与实施对股市有效性的提高起到了非常重要的积极作用
关键词: 动态效率; Kalman 滤波; 可预测性
中图分类号: F830. 91 文献标识码: A
Emp irical A nalysis of Efficiency Evo lution
in Ch inese Stock M arkets
SH I Yong dong, H E H ai jiang, SH EN D e hua
(R esearch Center of F inancial Engineering and Schoo l of F inance, Dongbei U niversity of F inance and Iconom ics, D alian
116025, Ch ina)
Abstract: Significant autoco rrelation betw een returns has been defined as p redictability. If return is
p redictable, it m eans that m arket is inefficient to som e extent. W e app ly a time varying Kalman filter
model to analyzing the p redictability of stock returns and investigating emp irically the dynam ic changes
of our em erging stock m arket efficiency, using nearly 10 years‘ Ch inese stock data. . W e find that
Ch inese stock m arket efficiency has gradually imp roved w ith time, and that p rom ulgation of po licies and
regulations has contributed greatly to the imp rovem ent of stock m arket efficiency.
Key words: dynam ic efficiency; Kalman filte