| 中国股票市场可预测性研究 |
| |
| 引用本文： | 黄少军.中国股票市场可预测性研究[J].华南师范大学学报(社会科学版),2004,2(2):7-14,38. |
| |
| 作者姓名： | 黄少军 |
| |
| 作者单位： | 华南师范大学经济与管理学院,广东,广州,510631 |
| |
| 摘 要： | 运用近10年的数据研究中国股票市场价格波动的可预测性或者说序列相关性，结果表明长、短期的股票回报均服从于或接近服从于随机游走，中国股市的可预测性较弱。另一方面，中国股票市场长期回报率具有弱显著的但较清晰的U型特征。
|
| 关 键 词： | 股票市场 可预测性 有效性 方差比率 |
| 文章编号： | 1000-5455(2004)02-0007-08 |
The Predictability of China's Stock Market |
| |
| by HUANG Shao-jun.The Predictability of China''''s Stock Market[J].Journal of South China Normal University(Social Science Edition),2004,2(2):7-14,38. |
| |
| Authors: | by HUANG Shao-jun |
| |
| Institution: | by HUANG Shao-jun |
| |
| Abstract: | With the data of stock indexes in a decade, this article tests the predictability or serial correlation in short or long-term returns of common stocks in China's market. The results show that stock returns in China's market basically follow random walk whether in short term or in long term. The predictability is weak for China's stock prices. However, the long-term autocorrelation of stock returns produce a reasonable U-shaped pattern on the return horizons. |
| |
| Keywords: | stock market predictability efficiency variance ratios |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《华南师范大学学报(社会科学版)》浏览原始摘要信息 |
