| 股票市场渐进效率的实证分析 |
| |
| 引用本文： | 王建琼,肖怀谷.股票市场渐进效率的实证分析[J].数理统计与管理,2003,22(5):19-23. |
| |
| 作者姓名： | 王建琼 肖怀谷 |
| |
| 作者单位： | 1. 西南交通大学经济管理学院,成都610031
2. 中国银行四川省分行,成都610015 |
| |
| 摘 要： | 深发展(A0001)自1993 4 9至2001 4 9的日收盘价的统计分布呈"双峰分布":早期(93 4 9～96 5 31)表现出左偏态分布,近期(96 6 3～2001 4 9)呈近似正态分布,这说明我国股市尚未达到半强有效;但是,本文还分析了两个阶段A0001的日、周、半月、月、季、半年和年收益率分布,发现二者随着"时间之窗"的增长而渐进有效。
|
| 关 键 词： | 统计分布 时间之窗 渐进效率 |
| 文章编号： | 1002-1566(2003)05-0019-05 |
| 修稿时间： | 2002年2月10日 |
Empirical Analysis of Stock Market Asymptotic Efficiency |
| |
| Abstract: | By describing the statistic distribution of SHEN FA ZHAN day closing price (Stock A0001) from 04/09/1993 to 04/09/2001, we find a bimodal distribution which indicates that China stock market is not semi efficient. At the first stage from 04/09/1993 to 05/31/1996, the day closing price is left leaning normal distribution, and the second stage from 06/03/1996 to 04/09/2001 is close to normal distribution. We also analyze the day, week, half mouth, mouth, quarter, half year and year yield distribution of stock A0001 during the two above mentioned stages. From our analysis, we find the distributions at the two stages are asymptotic efficient following with the increase of time windows. |
| |
| Keywords: | statistic distribution time windows asymptotic efficient |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
