【摘要】 本文利用1990年12月19日至2013年9月30日期间的日收盘价格,研究了上证综合指数的弱式有效性.不同于之前的相关研究,文中采用滑动窗口,将全样本分成若干固定长度的子样本,分别作游程检验和Q检验,并以相应的检验统计量作为市场有效性程度的近似度量,研究了上证综合指数弱式有效性的时变性.研究结果表明随着证券法正式实施和股权分置改革试点工作的展开,上海证券市场弱式有效性程度呈现明显阶段性变化,并且随着时间的推移其有效性有所提高.更多还原

【Abstract】 This paper examines the weak-form efficiency in Shanghai stock market based on data set from the December 19,1990 to September 30,2013.Differing from precedent studies,the whole sample is divided into some sub-samples with fixed length by adopting the sliding window.Then we put run test and Q test on each sub-sample and use the corresponding statistics as an approximate measurement of degree of weak market efficiency to study time-varying of weak-form market efficiency in the Shanghai Composite index.The results show that Chinese stock market gets closer to the efficient market in the past two decades.更多还原