时变收益可预测性与适应性市场假说——来自中国股市的证据

Time-varying Return Predictability and Adaptive Markets Hypothesis:Evidence from Chinese Stock Market

笔者使用中国上证综指和深证成指1990—2013年的日数据和周数据,运用改进的自动混合Box-Pierce检验,原始自助法自动方差比检验和广义谱检验实证研究了中国股票市场的收益可预测性,同时使用滚动子样本窗口检验了收益可预测性的时变特征。研究发现,不断变化的市场环境驱动着收益可预测性。大多数时候收益是不可预测的,一些统计显著的收益可预测性时段主要和金融危机、政策巨变等重大外因事件有关。研究结果支持适应性市场假说,即变化的市场环境驱动着收益可预测性等关键市场特征。与有效市场假说相比,适应性市场假说能够更好地解释中国股市市场效率的动态演变。

We conduct an empirical study on the return predictability of Chinese stock market daily and weekly data of Shanghai Composite Index and Shenzhen Stock Index from 1990 to 2013 using the modified automatic portmanteau Box-Pierce test, wild boot-strapped automatic variance ratio test and gen- eralized spectral test, at the same time, we test the time varying characteristics of return predictability via rolling sub-sample window. The study finds that return predictability is driven by changing market condi- tions. Returns are unpredictable most of times, some episodes of statistically significant return predictabil- ity can be associated with major exogenous events such as finance crisis and policy changes dramatically. The results support the adaptive markets hypothesis, which claim that changing market conditions drive the key market features such as the return predictability. Compared with the efficient market hypothesis, the adaptive markets hypothesis can better explain the dynamic evolution of market efficiency of Chinese stock market.