| 上海股票市场有效性实证检验 |
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| 引用本文： | 胡畏,范龙振.上海股票市场有效性实证检验[J].预测,2000,19(2):61-64. |
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| 作者姓名： | 胡畏 范龙振 |
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| 作者单位： | 复旦大学管理学院,上海 200433 |
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| 摘 要： | 本文以上海股票市场的指数和选取的一些股票的价格行为对象，用单位根和方差比方法检验其是否服从随机游走过程，从而判断其弱式市场有效性。结果发现除个别小公司股票价格行为不服从单位根过程外，指数和大多数股票价格的行为均显示出其具有一定程度的弱式市场有效性的特征。
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| 关 键 词： | 股票价格 市场有效性 上海 指数 股票市场 检验 |
| 文章编号： | 1003-5192(2000)02-0061-04 |
Empirical Tests on Efficiency of Shanghai Stock Market |
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| HU Wei,FAN Long zhen.Empirical Tests on Efficiency of Shanghai Stock Market[J].Forecasting,2000,19(2):61-64. |
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| Authors: | HU Wei FAN Long zhen |
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| Abstract: | In this paper, we take the index and the prices of some selected stocks in Shanghai stock market as the object of study. We use unit root test and variance ratio test to judge if the index or the prices follow random walk, which infers to the weak form of market efficiency. Our empirical show that the index and most of the stock price processes follow the random walk, but the stock prices of a little of small companies do not satisfy the unit root test. |
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| Keywords: | stock price market efficiency |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
