| 从有效市场假说到分形市场假说 |
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| 引用本文： | 任彪,齐二石,马军海.从有效市场假说到分形市场假说[J].河北大学学报(哲学社会科学版),2004,29(4):82-85. |
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| 作者姓名： | 任彪 齐二石 马军海 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | 介绍了有效市场假说理论的形成与发展以及有效市场假说所引发的争论。阐述了分形市场假说的基本理念,并对我国证券市场(以上海证券市场为例)的分形结构进行了实证分析。结果表明:中国证券市场具有明显的分形特征和持续性,股票的收益率不符合随机游走过程。股票收益率序列不是独立的,具有约62周的长期记忆性。
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| 关 键 词： | 有效市场 分形市场 实证分析 长期记忆 |
| 文章编号： | 1005-6378(2004)04-0082-04 |
| 修稿时间： | 2004年1月25日 |
From Efficient Market Hypothesis to Fractal Market Hypothesis |
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| REN Biao,QI Ershi,MA Junhai.From Efficient Market Hypothesis to Fractal Market Hypothesis[J].Journal of Hebei University(Philosophy and Social Science),2004,29(4):82-85. |
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| Authors: | REN Biao QI Ershi MA Junhai |
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| Abstract: | This paper introduces the formation and development of the theory of Efficient Market Hypothesis as well as arguments that the theory induces. The basic principle of Fractal Market Hypothesis is elucidated here and the fractal market structure in the Chinese Stock Market is also analyzed. The finding indicates: Chinese stock market has obvious fractal characteristics and persistence. The stock return is not in accord with random walk process. The stock return series is not independent, and it has long_term memory about 62 weeks. |
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| Keywords: | efficient market fractal market empirical analysis long-term memory |
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