指數(shù)波動與市場有效性研究——對上海深圳股票市場的實證分析.pdf

1、廈門大學碩士學位論文指數(shù)波動與市場有效性研究——對上海深圳股票市場的實證分析姓名：周小鵬申請學位級別：碩士專業(yè)：統(tǒng)計學指導教師：郭藝勛20080401ABSTRACTThemarketeffectivenessisafundamentalquestioninthestudyofstockmarket，whichisdirectlyrelatedtotheefficiencyoftheallocationofcapitalandhasat

2、remendousimpactonthedevelopmentandstabilityofmacroeconomySincethees—tablishmentoftheShanghaiStockExchangeattheendof1990，China’Sstockmarkethasexperienced18yearsofdevelopmentcourseComparedwiththegloriousandmorematuremarket

3、swithlongerhistories，suchasthoseinBritainandtheUnitedStates，theChineseMockmarketstartedlateandhadbeenimposedmorepolicyrestfictionsTherefore，themarketresponsetotheeconomicalinformationisnotsensitiveandrationalenoughandlac

4、kssomesenseofnormsHowever，ifcarefullyre—viewed，thehistoryoftheChinesestockmarketdevelopmentdisplaysadifficultbutrapidgrowthcourseThenit’SnecessaryforUStesearchintheeffectivenessoftheChinesestockmarketComparedtoconsensuso

5、fforeignscholarsontheweak—efficiencyofBritainandtheUnitedStatesMockmarket，OurdomesticscholarsholddifferentanswerstotheeffectivenessproblemofChinesestockmarketSomeresearcherssaidthatthestockmarkethadreachedweak—efficiency

6、，whileothersarguedthatit’SnottrueInthispaper，theoriesoneffectivenessofstockmarketwerediscussedfnstfromdomesticandforeignviewsThenit’SdeterminedthattotesttheeffectivenessofChinesestockmarketisthecoreofthefollowingstudyand

7、empiricalanalysisThroughprocessingtheclosingpricesoftheShanghaiCompositeIndex(4259inallfrom19Dec，1990to30Apr，2008)，theShenzhenComponentIndex(4168inallfrom3Apr，1991to30Apr，2008)andtheShanghaiandShenzhen300Index(745inallfr

8、om8Apr，2005to30Apr2008)，itcomestotheconclusionthattheShanghaistockmarket，theShenzhenstockmarketandtheShanghaiandShenzhenoverallstockmarkethavenotreachthestatusofweak—efficiencyIfreviewedinmoredetailbydividingthesampledat