再论中国股票市场的弱有效性

本文利用检验鞅差序列的非参数统计量来检验中国股票市场的弱有效性问题,本文给出的方法不同于文献中已有的方法,实证分析表明本文使用的检验股票市场弱有效的方法比文献中的大多数方法更有效。实证结果显示,中国的股市在发展过程中,表现山渐进有效的态势;中国A股市场比B股市场更有效率:沪市比深市更趋于有效。文中的有些结论是以前的实证研究所没有的。另外,本文比较了中国股市和境外成熟股市之间有效性程度的差异,并得出香港市场对深市影响显著的结论。

A Close Look at Weak Efficiency of China Stock Market

This article employ non-parametric statistics which are used to test martingale difference series to test weak efficiency of China stock market.This method hasn't been used in other empirical papers and the empirical analysis demonstrate that this method is superior than most of methods which are used to test the same problem.By analysis and empirical evidence,we draw the conclusion: the level of weak efficiency of China stock market has been improved in recent years;A share is more efficient than B share;Shanghai stock market is more efficient than Shenzhen stock market.We also compare China stock market and developed stock market and show that Hong Kong stock market has a great effect on China stock market.