【摘要】 有效市场理论认为股票价格总是可以充分体现可获得信息的影响,股票价格等于其“内在价值”,在一个风险中性的理性投资者构成的竞争市场中,股票的基本价值和价格服从随机游动规律,收益率是不可预测的。本文采用ANSTGARCH模型对我国股票市场收益率序列进行计量检验,发现即使经过风险调整,股票收益率序列仍具有非对称均值回归(meanreversion)特征,负收益率的均值回归速度和幅度都明显大于正收益率的均值回归速度和幅度,时变理性预期(TimeVaryingRationalExpectations)假设不成立。市场投资主体的非理性行为所导致的股票价格的系统偏差是我国股票市场拒绝弱式有效假设的主要原因。更多还原

【Abstract】 This paper investigates the time-series evidence of asymmetric reverting patterns of stock returns in china. Applying asymmetric nonlinear smooth transition generalized autoregressive conditional heteroskedasticity (ANST-GARCH) models to the analysis of mean-reversion and time-varying volatility in daily index returns of stock markets of china, we find that the returns exhibit an asymmetric pattern of return reversals, that is, on average, a negative return reverts more quickly, with a greater magnitude, to a positive return than a positive return reverting to a negative one. Thus, weak-form efficient hypothesis given by Fama could not be accepted.更多还原