中国股市理性预期的检验

Test on Rational Expectation Hypothesis in China Stock Market

理性预期假设在经济金融研究中占据着十分重要的地位 ,但它是否真的与人们的决策行为相一致 ,仍然是并不十分清楚的问题。本文利用中国股市的调查数据 ,对机构的短期预期行为进行了直接的检验。由于数据的分类性质 ,我们发展了解释变量包含离散数据的模型的估计方法。研究中我们没有找到支持理性预期假说的证据。文章对分类调查数据的检验给出了创新性的方法 ,文章的结论有助于人们对中国股民投资和预期行为的认识。

The Rational Expectations hypothesis, initially developed by Muth, has played a critical role in economic and financial studies. But it is still unclear whether this hypothesis is consistent with people's decision making. The existing empirical results are mixed. In this article, we test the rational expectation hypothesis directly using survey data from Chinese stock market. We also develop a technique to analyze the discrete or limited independent variable models. We find the survey forecasts can be improved significantly with past information.