深圳股市价格运动可预测性的研究

Predictability of stock prices in Shenzhen stock exchange

讨论了市场的可预测性及与有效性的关系 .以深圳股票市场为对象 ,研究了股票价格或各类指数的可预测性 ,发现深圳股市综合指数和各类分类指数的对数可以认为服从随机走动 ,而在被检验的 6个股票价格中发现两个股票价格的对数不服从随机走动 ,只服从单位根过程 ,随机扰动项具有序列相关性 .检验方法包括用Phillips- Perron检验法检验单位根过程 ,用方差比检验法检验随机走动等 .

The paper first discusses the predictability of stock market, and its relation with market efficiency. Second, with the Shenzhen Stock Market as our study object, we focus on the predictability of the stock prices or indexes. Our empirical study indicates that the logarithms of the Shenzhen Composite Index, six sub indexes and four stock prices are considered as random walks. Two logarithms of the six stock prices are considered as unit root processes with disturbance errors correlated, so they can be forecasted from past prices to some degree. The test approaches include the Phllips-Perron test to test unit roots, variance ratio test to test random walks, etc.