沪深股市均值回归的实证检验

An Empirical Test on Mean Reversion in Shanghai and Shenzhen Stock Market

随机漫步理论的诞生与许多实证检验的支持证明了股票价格是不能预测的结论。但这绝不可能是证券投资理论研究的最终目的。近十几年来,股票价格走势的可预测性无论在理论上还是在实证方面都有了突破性进展。均值回归理论认为,从长期来看,股票收益率呈均值回归,即长期收益率呈负自相关。本文用自相关检验和方差比率非参数持久性测量方法,同时对沪深股市A、B股市场四个指数的月收益率进行实证检验,发现上证综合指数具有显著的均值回归特征。

The conclusion that it is impossible to predict the stock price is based on the establishment of the theory of random walk and many facts. Nevertheless, it could not be the final aim of the research of security investment. In more than a decade, a breakthrough in the forecasts of movements of stock price has been achieved theoretically and empirically. According to the Mean Reversion theory, in the long term, the yield rate of stock price appears to follow the rule of mean reversion and negative autocorrelafiun. By means of autocorrelation verification and non- parameter persistence method of the variance ratio, the author made an empirical test of the monthly yield rate of four stock indices of Shanghai and Shenzhen stock market, including both A share and B share. And it is found that the mean reversion of average value is the obvious characteristic of the Shanghai Composite Stock Index.