我国证券市场有效性的Wild Bootstrap方差比检验

被引：16

作者：

刘维奇

史金凤

机构：

[1] 山西大学数学科学学院

来源：

统计研究 | 2006年 / 11期

关键词：

市场有效性; 方差比检验; wild bootstrap方法;

D O I：

10.19343/j.cnki.11-1302/c.2006.11.016

中图分类号：

F832.51 []; F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

This paper introduces the theory of market efficiency simply and surveys various methods and results of week form market efficiency test of China.Then we test the sample and propose to test the week form market efficiency test of China using the wild bootstrap variance ratio test which has been found to exhibit better small sample properties.The results are conducted with moving sub-sample windows and found that Shanghai market has been efficient of week form but Shenzhen market hasn't been efficiency of week form.

引用

页码：73 / 78

页数：6

共 8 条

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[2] Stock market prices do not followrandomwalks:Evidencefroma simple specificationtest. Lo,A.W.,&MacKinlay,A.C. The Review of Finacial Studies . 1988
[3] Asimple multiple variance ratio test. Chow,K.V.,&K.C.Denning. Journal of Econometrics . 1983
[4] The size and power of the variance ratio test in finite samples. Lo,A.W.,&MacKinlay,A.C. Journal of Econometrics . 1989
[5] Wild bootstrapping variance ratio test. Jae H.Kim. Economics Letters . 2006
[6] A multiple variance ratio test using subsampling. Whang,Y.J.,&J.Kim. Economics Letters . 2000
[7] Alternative variance-ratiotests usingranks and signs. Wright,J.H. Journal of Business&Economie Statistics . 2000
[8] “Efficient Capital Markets:A Review of Theory and Empirical Work”. Eugene F.Fama. The Journal of Finance . 1970

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