中国股票市场有效性实证检验

Empirical Test for Efficiency of China's Stock Market

本文以上证综指和深证成指的变化行为为研究对象，用单位根、方差比（ＶＲ）和序列二阶相关性检验方法（ＢＤＳ）对其是否服从随机游走过程进行检验，从而判断中国股票市场弱式有效性是否成立。结果发现：虽然两指数行为服从单位根过程，且上证综指和深证成指序列在同方差情形下基本能够满足序列一阶不相关，但异方差情形下却是序列一阶相关，而ＢＤＳ检验说明异方差情形普遍存在。得到的结论是：中国股票市场弱式有效性并不成立。

The study object in this article is the change behavior of Synthesis Index of Shanghai Exchange and Ingredient Index of Shenzhen Exchange. We use unit root test, variance ratio test and BDS test to prove whether they are subject to the random walk process, thus judging whether the weak form efficiency of China's stock market holds water. Research has revealed that the weak form efficiency in China's stock market is untenable.