我国股票市场走势历史类似性的研究

Research on the Historical Similarity of the Tendency in Chinese Stock Market

以股票指数为基础计算股市收益率的波动性,是金融学领域时间序列数据研究的关键指标,也是资产配置和国家政策制定的决策依据。因此,通过模型考证股指波动的历史类似性来检验当前中国股市是否逐步符合半强式有效市场具有研究意义。研究发现,2005年1月—2010年10月和2014年1月—2016年3月的上证综指尽管在形态上具有相似性,但2014-2016年股指波动数据的自回归条件异方差性不如之前显著,说明近年来股指波动情况对前期依赖性更小,预测的有效性比之前有所降低,已经不具有历史类似性,表明我国股票市场已逐步符合半强式有效市场的特征,技术面分析的有效性将会显著降低。从长期看,价值投资将比趋势分析更为有效。

We calculate the volatility of stock market returns based on the share-index;it is the key indicators of time series data study in the field of finance, also the decision basis of the asset allocation and the national policy making. It has research significance to research on historical similarities of fluctuation of stock index by model, it can check whether the current China＇ s stock market gradually meet half strong type effective market. The research finds that, Shanghai composite index has the similarity in form between January 2005 to October 2010 and January 2014 to March 2016 ,but the index fluctuation data of autoregressive conditional heteroscedasticity do not have sig- nificant difference. It means that the dependence of the stock index volatility to the preceding period is less; the ef- fectiveness of the prediction is reduced than before;and it has no historical similarities. It shows that Chinese stock market has gradually met the characteristics of the half strong type effective market;and the effectiveness of techni- cal analysis will be significantly reduced. In the long term, value investment will be more effective than trend analy- sis.