• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>International Conference on Computational Science - ICCA 2003 Pt.2 Jun 2-4, 2003 Melbourne, Australia and St. Petersburg, Russia >Has Chinese Stock Market Become Efficient? Evidence from a New Approach
【24h】

Has Chinese Stock Market Become Efficient? Evidence from a New Approach

机译：中国股市有效率吗？新方法的证据

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Using a new statistical procedure suitable to test efficient market hypothesis in presence of volatility clustering, we find significant evidence against the weak form of efficient market hypothesis for both Shanghai and Shenzhen stock markets, although they have become more efficient at the later stage. We also find that Share A markets are more efficient than Share B markets, but there is no clear evidence on which stock market, Shanghai or Shenzhen, is more efficient. These findings are robust to volatility clustering, a key feature of high-frequency financial time series. They have important implications on predictability of stock returns and on efficacy of capital asset pricing and allocation in Chinese economy.
机译：使用一种适用于在波动率聚类的情况下检验有效市场假设的新统计程序，我们发现了针对沪市和深圳股市有效市场假设的弱形式的重要证据，尽管它们在后期已变得更加有效。我们还发现，A股市场比B股市场更有效率，但没有明确的证据表明上海或深圳哪个股票市场更有效。这些发现对波动性聚类（高频金融时间序列的关键特征）具有鲁棒性。它们对股票收益的可预测性以及对中国经济中资本资产定价和分配的有效性具有重要意义。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号