【摘要】 对有效市场假说的质疑以及行为金融理论体系的不完整,使得适应性市场假说成为整合两种理论的综合分析思路。文章以上证综指和深证成指为研究对象,对中国股市适应性特征进行研究,分析股市有效性指标的不确定性;验证股市收益与风险关系的存在和时变性;并选取具有代表性的因素作为市场环境指标,衡量市场条件改变对股市收益与可测性的影响。实证结果表明,中国股市的有效性以及收益与风险关系均具呈现时变特征;市场环境对风险溢价的影响不明显,但对收益可预测性却有显著影响,因此,可以据此判断股市的发展趋势,以便及时调整投资策略和风险管理的方向。更多还原

【Abstract】 Fama’s efficient market hypothesis is the cornerstone of modern financial research. In the face of many financial markets anomalies since the 1980 s, the hypothesis cannot give a reasonable explanation. Therefore, many scholars in the field of behavioral psychology began to seek explanations from financial market participants, in order to form behavioral finance that corresponds to efficient market hypothesis. Due to its failure to form a unique theoretical system and unified analysis model, behavioral finance has not been able to replace the core position of EMH in the financial field. Based on the differences and controversy between EMH and behavioral finance theories, Lo and Farmer drew on the theory of biological evolution, and proposed the Adaptive Markets Hypothesis from the perspective of evolution’s adaptation. The future of China’s stock market as a rapidly growing emerging market is limitless. Therefore, verifying the AHM theory in the China stock market provides a critical evidence of its general applicability. At the same time, this study is helpful to find AMH evidence in the emerging market, provide factual evidence for perfecting the theory of AHM system, and provide new empirical evidence and approach for the future of China’s stock market investment and risk management. The paper mainly consists of five parts:(1) literature review on adaptive market hypothesis and research methods;(2) sample data and statistical description;(3) introduction of the appropriate test methods and estimation model;(4) the empirical results of the Adaptability Features on Chinese stock markets; and(5) main conclusions and research prospects. Most of the empirical research focused on the verification of market efficiency, and the variation characteristics of the investment strategy and return. However, under the AMH framework, market efficiency rarely has environmental impact on the stock market performance. The current study has not discussed the dynamic relationship between return and risk, especially for China’s stock market. Based on the findings of the current study, the article analyzes the adaptive characteristics of China’s stock market mainly from the following aspects:(1) market efficiency and stability;(2) the stability of the relationship between risk and returns; and(3) the relationship that links risk premium and market measurable with environment. This study used the Shanghai Composite Index and Shenzhen Component Index as a sample, and study the Adaptability Features of Chinese Stock Markets. In addition, this study analyzed the uncertainty of stock market effectiveness and verified the existence and variability of the relationship between returns and risk from the eco-evolutionary perspective. More importantly, this study selected some representative factors, such as market conditions indicators, and determined whether market conditions drive stock return and market predictability. The results indicate that the time-varying characteristics are existing in China’s stock market effectiveness during 2008 financial crisis. Therefore, the effectiveness of China’s stock market is a time-varying variable. In addition, AMH proposes that there exists the relations between return and risk volatile dynamic variables. As for the performance of the stock market and the market environment, we found that Market environment has no significant effect on the risk premium, but market predictability is driven by changing market conditions. Therefore, we can judge the development tendency of the market, and adjust the direction of the investment strategy and risk management.更多还原