深市股票价格波动的随机游走模型

The Random Walk Model of Shenzhen Stock Market Prices' Fluctuation

采用随机游走模型,对深市股票价格波动进行研究。结果表明,深市股票价格波动服从随机游走,市场弱有效;虽外部冲击对股市的影响会逐渐消散,但其影响是持久的,且存在"杠杆效应";自开市以来,股价波动不存在断点。对比前人研究,本研究认为,这恰恰反映了股价的长期波动与短期波动间的关系。即,长期中,股市作为现货市场的一种反映,遵循价值规律;而短期内,由于政策的变动,市场信息的不对称和投资者的跟风、从众等心理,股市频繁剧烈震荡,偏离其长期趋势。由此,政府应进一步规范市场运作,促进信息流通,保持股市政策的稳健性;研究者进行股市分析时,也须先排除分析时段前外部冲击的持续性影响。

Using the random walk model, this paper made research on the fluctuation of Shenzhen stork market prices. It shows the stock prices follow the random walk process and the market has weak efficiency. While the external impact on stock market will disappear slowly, the effects will be lasting and has ＂ leverage effect＂. There is not any breakpoint in the stock price sequence since opening. Compared with the previous researches, this reflects the relationship between the long-term fluctuations and short--term fluctuations on stock price. Therefore, government should further standardize market operation, promote information circulation, keep robust stock market policies to better promote the development of Chinese stock market and the operation of macroeconomic. And we should notice the lasting external impact when stud- ying the stock market prices＂ fluctuation during a specific period.