中国权证市场有效性的方差比检验

Variance Ratio Tests of China's Warrants Market Efficiency

中国资本市场是否弱式有效一直是争论的热门话题,它具有很重要的理论价值和实践意义。本文利用方差比检验方法来对中国权证市场的弱式有效进行实证研究。结果显示:中国权证市场不符合随机游走假设,即权证市场未达到弱式有效。

There has been hot discussion on whether Chinese capital market is weak efficient and it is of great theoretical and practical significance. Using variance ratio test, this paper makes an empirical study of the weak efficiency of Chinese warrant market. The results of the study show that Chinese warrant market does not correspond to the random walk hypothesis, i.e. Chinese warrant market is not weak efficient.