沪深300股指期货市场弱式有效性检验被引量：4

A Weak Effectiveness Test in Shanghai and Shenzhen 300 Stock Index Futures Market

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摘要市场有效性是衡量股指期货市场发展质量的最重要指标之一。本文采用2010年4月16日-2014年4月17日的日频交易数据,运用wild bootstrap自动方差比检验、广义谱检验和Dominguez-Lobato检验等方法,对沪深300股指期货市场的弱式有效性进行检验。这些方法允许未知形式的条件异方差和小样本的存在,能够检测出序列的线性相关性和非线性相关性。检验结果表明我国股指期货市场达到了弱式有效,这主要归因于风险控制的有效实施、长期资金的入市和市场效率的提升。 Market efficiency is one of the most important indices to measure the quality of stock index futures market de-velopment.By using day frequency transaction data from the April 16, 2010 to April 17, 2014, this paper tests the weak efficiency in Shanghai and Shenzhen 300 stock index futures market with wild bootstrap automatic variance ratio test, generalized spectrum test and Dominguez-Lobato test methods.These methods allow the exist of conditional heteroske-dasticity of unknown form and small sample, can detect linear correlation and non-linear correlation sequence.The re-sucts show the stock index fuctures market in China attain weak efficiency, which contributes to the effect performance of risk control, the input of long-term capital, and the improvement of market efficiency.

作者赖文炜陈云

机构地区上海财经大学公共经济与管理学院上海市金融信息技术研究重点实验室

出处《商业研究》 CSSCI 北大核心 2015年第1期47-52,共6页 Commercial Research

基金国家自然科学基金项目项目编号:71301095 上海市自然科学基金项目项目编号:11ZR1411800 上海财经大学博士研究生创新基金项目项目编号:CXJJ-2013-407

关键词股指期货市场弱式有效自动方差比广义谱 stock index futures market weak effectiveness automatic variance ratio generalized specturm

分类号 F830 [经济管理—金融学]

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