上海证券市场弱式有效性的统计检验

The statistical test of the weak-form efficiency of the Shanghai stock market

有效市场假说是现代金融理论中最重要也是最有争议的概念之一,其中研究最多、争议最大的是市场的弱式有效性。本文运用上证综合指数(2003年1月2日-2006年12月29日)日数据,对上海证券市场的弱式有效性进行了三种统计检验,序列相关性检验、单位根检验和随机游程检验,单位根检验得出上海证券市场尚未达到弱式有效,然而序列相关性检验和随机游程检验的结果显示上海证券市场已经达到弱式有效,由于单位根检验的必要而非充分性,本文认为可以认为上海证券市场已基本上达到弱式有效。

Efficient Market Hypothesis is one of the most important controversial concept of the modem financial theory , in which the weak-form efficiency market is studied mostly and is the most controversial concept .This paper testes the vulnerable effectiveness of the Shanghai stock market using the finally day index of shanghai stock marketby the next three statistical tests, the serial correlation test, the unit root test and random Runs test.Unit root test proves that the Shanghai stock market has not jet reached its vulnerable effective, but serial correlation test and random Runs test show that the Shanghai stock market has already reached the weak-form efficiency, as the necessary but not sufficiency of the unit root test, this paper believes that the Shanghai stock market has basically reached the weak-form efficiency.