摘要
中国股票市场是否达到弱势有效,一直是理论界探讨的重要课题,同时也具有重要的实践意义。在结合前人理论成果的基础之上,提出了运用鞅方法来构筑检验假设条件,从而在特定的前提假设情况下来检验股票指数时间序列是否满足鞅假设,即是否满足市场有效性假设。其统计检验的理论基础在于:在特定的前提下,当且仅当鞅假设为真时,有相同估计二阶变分的被观测样本满足均值为零的正态分布。由此,可以运用Kolmogorv-Smirnov和Cramer-von Mises检验统计标准来检验鞅假设。这就是所给出的鞅方法检验中国股票市场是否达到弱势有效的关键所在。
The Chinese stock market whether or not meets weak-form efficiency has been an important issue of the theoretical study,and has significant practical value.Based on the results of previous theory,this paper supposes to use Martingale to build test assumptions,and then exams whether the hypothesis testing of the Chinese stock index time series satisfies martingale hypothesis.Its statistical test is the theoretical basis that the samples observed at time intervals with the same estimated quadratic variation a...
出处
《河北理工大学学报（社会科学版）》
2007年第S1期109-112,115,共5页
Journal of Hebei Polytechnic University:Social Science Edition
