| 神经网络对我国资本市场有效性及非线性的实证研究 |
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| 引用本文： | 尹恕好,陈通.神经网络对我国资本市场有效性及非线性的实证研究[J].科学学与科学技术管理,2005,26(12):161-165. |
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| 作者姓名： | 尹恕好 陈通 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | 通过理论分析和神经网络模型,证明我国股市的收益率存在着可预测性,从而证明弱有效不成立；通过敏感性分析,发现了收益率滞后项对当前收益率的作用方式是非线性的,为我国资本市场的非线性研究提供了佐证。
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| 关 键 词： | 神经网络 弱有效 自适应 非线性 |
| 文章编号： | 1002-0241（2005）12-0161-05 |
| 收稿时间： | 2005-09-14 |
| 修稿时间： | 2005年9月14日 |
Testing of the efficiency and non-linearity of Chinese capital market by NN model |
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| YIN shuhao,CHEN tong.Testing of the efficiency and non-linearity of Chinese capital market by NN model[J].Science of Science and Management of S.& T.,2005,26(12):161-165. |
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| Authors: | YIN shuhao CHEN tong |
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| Institution: | School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | According to theoretical analyzing and demonstration testing by NN model, this paper demonstrates the non-linearity and non-efficiency of Chinese capital market, In demonstration testing, creditable forecasting precision is acquired, so Chinese capital market is not efficient; Sensitivity analysis demonstrates another evidence of the non-linearity of Chinese Capital market. |
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| Keywords: | Neural Network Non-linearity Weak form of Efficient Market Hypothesis Sensitivity Analysis |
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