摘要
以随机选取的沪市 1 8支典型股票的收益率为样本 ,通过对任意两类日收益率及其残差的统计分析及其日期效应的研究 ,结果表明 :上海证券市场存在着较为明显的日期效应 .这一结果支持了目前学术界关于上海证券市场弱有效性的观点 .
The returns of eighteen typical stocks which have been selected randomly in Shanghai securities market are considered as samples. It analysises the day\|efficiency in market return and its variance. Through the sample case study on Shanghai securities market, it founds that there exits rather evident day\|efficiency. This conclusion supports that Shanghai' stock market is accord in the weak form of efficient market.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2003年第5期41-44,共4页
Systems Engineering-Theory & Practice
基金
国家自然科学基金 ( 3 0 0 70 1 3 9)
甘肃省软科学计划项目 ( RS0 0 2 -B65 -0 90 )
关键词
日期效应
市场有效性
贴近度
day\|efficient
efficient market hypothesis
similarity degree
