| 动态过拟合F统计量检验股市有效性 |
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| 引用本文： | 周爱民,陈淑珍.动态过拟合F统计量检验股市有效性[J].天津大学学报(社会科学版),1999(1). |
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| 作者姓名： | 周爱民 陈淑珍 |
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| 作者单位： | 南开大学国际经济研究所!天津，300071(周爱民)，中国人民解放军运输工程学院!天津，300161(陈淑珍) |
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| 基金项目： | 国家教育部人文社会科学博士点基金!98JBY790008 |
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| 摘 要： | 股市有效性的定量检验方法很多，但都是对所有价格信息进行全程检验。中国股市由于早期价格管制造成的单边走势，用一般方法需要很长的数据量才能克服这种游程数不足的惯性。本检验方法以一年时间段考察股市有效性的变化，并用动态的累计算法计算，可实时监测股市有效性的走向，为证券监管部门提供政策调整依据。
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| 关 键 词： | 有效性 动态检验 过拟合 F统计量 |
TESTING OF THE EFFICIENT MARKET HYPOTHESIS WITH THE DYNAMIC OVER-SIMULATED F STATISTIC METHODS |
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| Zhou Aimin.TESTING OF THE EFFICIENT MARKET HYPOTHESIS WITH THE DYNAMIC OVER-SIMULATED F STATISTIC METHODS[J].Journal of Tianjin University(Social Sciences),1999(1). |
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| Authors: | Zhou Aimin |
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| Abstract: | There are many empirical ways to test the efficiency of stock markets by means of the whole-course test on all price information. However, if it is used in Chinese stock market, long time-series specifications will be needed to overcome the lack of data because of the one-dimensional trend due to the price regulation. In this paper we develop an approach which uses one year data and dynamic-cum-accumulated estimation. It can test the efficiency of stock market at any time so as to provide security supervisors with policy suggestions. |
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| Keywords: | efficiency dynamic test over simulation F-statistics |
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