基于分位数回归的中国股市弱式有效性分析

Analysis of weak form efficiency of Chinese stock market based on quantile regression

有效市场假设是衡量股票市场信息分布、信息传递机制、交易透明度及规范程度的重要问题。在分位数回归框架下,选取上证综指日收益率进行实证研究。结果表明,中国股票市场尚未完全满足弱式有效性,并且受市场环境及收益高低的影响,表现出不同的异质特征。第一,收益序列在尾部分位点处自相关性较强,股市不具备弱式有效性;而在中位点处自相关性较弱,更符合有效市场理论。第二,收益序列的自相关特征对前期极端收益较为敏感,在尾部分位点处具有"强者恒强,弱者恒弱"的特点;而在中位点处存在向中心回复的趋势。最后分析了其成因并给出相应政策性建议。

Efficient Markets Hypothesis is an important problem to measure the distribution of stock market information,the information transmission mechanism,the transparency of transactions and the degree of standardization.In the framework of quantile regression,the empirical results are based on daily returns of Shanghai composite index.The results show that the Chinese stock market does not yet fully meet the weak form efficiency,and shows different heterogeneous characteristics due to the market conditions and the level of stock return.First,at lower and upper quantiles the return series has strong autocorrelation and the stock market does not have the weak efficiency.While at median the return series have weak autocorrelation and in line with weak Efficient Markets Hypothesis.Secondly,the stock return autocorrelation is more sensitive to past extreme return,and the return series exhibits“the rich get richer and the poor get poorer”at the upper and lower quantiles,while at the median exhibit the tendency of returning back to equilibrium state.At last,the cause of this phenomenon is analyzed and the corresponding policy suggestions are put forward.