对中国证券市场弱态有效性的检验——基于技术分析获利能力的实证研究

A Test on Weakform Efficiency of China's Stock Market:An Empirical Study Based on the Profitability of Technical Trading Rules

本文从技术分析在上海股票市场上是否具有获利能力这个新的视角,直接讨论了中国证券市场的弱态有效性问题。对上证指数的统计检验说明一些技术分析规则可以带来长期、稳定的超额利润,而有效市场假定下的异步交易、交易成本和期望(回报)时变性都不能完全解释这种超额利润的存在,因此可以得出中国证券股票市场还没有达到弱态有效性的结论。

This paper examined the weakform efficiency of China's Stock Market in terms of the profitability of technical trading rules in this market. The statistical test based on the Shanghai Composite Index suggested that certain technical trading rules should be able to gain stable excess profit in the long run, which could not be explained by nonsynchronous trading, transaction cost and time variation of expected returns. Thus, it can be concluded that the China's Stock Market is not weakly efficient.