适应性市场假说及其在中国资本市场的实证

金融危机近些年爆发频繁,传统市场理论如有效市场假说和行为金融面对复杂的现实金融世界未能给出合理解释.Lo提出的适应性市场假说则弥合了这两个学派的分歧,逐渐引起了学术界的重视.本文尝试从动态市场效率、时变贝塔和技术交易策略演变这三个角度对适应性市场假说能否解释我国资本市场进行实证研究.研究发现:我国股票市场效率在动态变化,无效的时段与金融危机或政策巨变等重大事件联系密切;股市风格指数贝塔随市场环境变化而改变;技术交易策略绩效随投资者适应环境变化而演变.研究结果表明,适应性市场假说相比有效市场假说和经典资本资产定价模型,能够更好地解释我国资本市场上述现象.最后对投资者如何根据市场环境变化制定适应性投资策略给出几点建议.

Adaptive markets hypothesis and evidence from China's capital markets

In recent years, financial crisis broke out frequently, causing traditional market theory, such as efficient markets hypothesis and behavioral finance, to fail to give reasonable explanations in the face of a complex real financial world.Lo''s adaptive markets hypothesis bridged the differences between these two schools, and gradually attracts the attention of the academic circles.Through an empirical study, this paper tries to explore whether adaptive markets hypothesis can explain China''s capital markets from three perspectives: dynamic market efficiency, time-varying risk beta, and technical trading strategies evolving, respectively.The research finds that the efficiency of Chinese stock markets changes dynamically, and that the inefficiency time intervals can be associated with major exogenous events such as finance crisis and policy changes.It also finds that the beta of stock markets style index changes with market conditions, and that the performance of technical trading strategies evolves with traders'' adaptive property to the change of the environment.The research results show that adaptive markets hypothesis can explain better the above-mentioned phenomena in China''s capital markets than both efficient market hypothesis and the classical CAPM model.Finally, some suggestions are given on how investors can develop adaptive investment strategy based on changing market conditions.