摘要
市场有效性理论(EMH)是股票市场研究的基本理论之一,一个股市是否有效,会对政府的政策和管理产生重大影响。文中选取深圳股票市场2000.1.07-2007.12.29为样本时间段,以深圳成份指数周收盘价为研究对象,以检验股票市场是否符合随机游走特征为根本目标,利用游程检验的方法观察深市整体有效性;另外,以深市各行业指数周收盘价为研究对象,利用游程检验观察深市各行业有效性。最终发现两检验所得的检验结果完全一致:深圳股票市场经过十八年的发展,逐渐趋于弱式有效。
Efficient Market Hypothesis（EMH）is one of the basic theory which the stock market studies,because whether a stock market is effective will directly make the significant influence on government＇s policies and the management. In the article the author selects the Shenzhen stock market 2000.1.7-2007.12.29 for the sample and takes the Shenzhen ingredient index week income dosing price as the research object. Study the efficiency of whole Shenzhen stock market by using the Runs Test. Whats more, take the Shenzhen various professions index of week income closing price as the research object, while study the efficiency of various professions in Shenzhen stock market by using the Runs Test. At last, through the two methods above, we got the same conclusion：The Shenzhen stock market had achieved weak-form efficiency after 18-years development.
出处
《科技和产业》
2008年第10期73-75,共3页
Science Technology and Industry
关键词
EMH
随机游走
游程检验
efficient market hypothesis（EMH）
random walk
runs test
