中国国债市场弱有效性检验

On the Weak-Form-Efficiency of Chinese Bond Market

现代金融学大厦是建立在有效市场假说(EMH)基础之上的,主流的金融工具及衍生产品定价均是以EMH为前提假设,指数型基金的发展更是直接得益于有效市场假说的广泛推广.因此,对有效市场假说(EMH)进行实证检验具有重要的理论意义和实践意义,我国目前对EMH的检验主要集中在股票市场,对债券市场有效性的检验较为少见.运用游程检验和方差比检验2种方法,首次对我国国债市场的弱有效性进行了检验.结果显示,就日和周收益率而言,市场存在自相关,可以拒绝随机行走假设,不具备弱有效特征.在时间跨度更长的月收益率序列中,则无法拒绝随机行走的假设.

The modern finance theory is based on the Efficient Market Theory, which is also the precondition of the mainstream financial instruments and derivates pricing models, and the development of index funds is benefited from the EMH directly. So it is very important to test the EMH from theory and practice. EMH test has focused on the stock market in China, but test for the bond markt has been ignored. This article is the first paper to test the weak - form - efficiency of China＇s bond market, using the Run test and Variance Ratio test. The result shows China＇s bond market is not a weak form efficient market from the daily and weekly series, but can not reject the random walk hypothesis by using monthly series.