摘要
收益的显著相关通常称为可预测性.若收益是可预测的,则在一定程度上表明市场是无效的.我们基于可变参数的Kalman滤波模型,利用我国股票市场近10年的数据,通过分析股票收益的可预测性,实证地研究了我国新兴股票市场有效性的动态变化.结果表明中国股市的有效性是逐步提高的,政策法规的颁布与实施对股市有效性的提高起到了非常重要的积极作用.
Significant autocorrelation between returns has been defined as predictability. If return is predictable, it means that market is inefficient to some extent. We apply a time\|varying Kalman filter model to analyzing the predictability of stock returns and investigating empirically the dynamic changes of our emerging stock market efficiency, using nearly 10 years` Chinese stock data.. We find that Chinese stock market efficiency has gradually improved with time, and that promulgation of policies and regulations has contributed greatly to the improvement of stock market efficiency.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2002年第12期88-92,共5页
Systems Engineering-Theory & Practice
基金
霍英东青年教师基金(81078)
东北财经大学金融系科研基金(2001008)
