上海股票市场有效性特征的实证分析

An Empirical Study on the Verification of Efficiency in Shanghai Stock Market

本文以Fama的有效市场假说理论为依据,以上海股票市场为研究对象,通过单位根和Box-Pierce序列相关性检验不同时期股价的变动行为是否服从随机游走过程来诊断上海股票市场的有效性特征,结果发现上海股票市场1997年以后已达到了弱型效率,而且股市的有效性具有从无效至有效的渐进趋势。

This paper is based on the efficient market hypothesis(EMH) developed by Fama.We regard Shanghai stock market as the research object and test the Shanghai Comprehensive Index fluctuations during different periods from 1992 to 2002.The Unit Root Test and Box-Pierce series correlation test are considered to verify whether the index fluctuations obey Random Walk process,furthermore the characteristic of Shanghai stock market is found.The paper makes a conclusion empirically that the Shanghai stock market has been efficient since 1997 with characters of gradually advanced trend from nonefficiency to some.