上海证券市场的有效性分析——重标极差分析法
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摘要
本文使用R／S方法，通过计算Hurst指数检验了一个新兴资本市场：上海证券交易市场的有效性。同时对细分市场进行了研究，结果表明B股市场的Hurst指数具有显著性，表现出长期记忆性，因此我们可以拒绝B股市场的市场有效性假设。同时发现房地产板块不仅是无效的，而且呈现反向的长期趋势。但是，类似于其他全球主要发达的资本市场，本文并不能拒绝上海证券交易市场的有效性假设，尤其当不考虑B股市场时，A股市场的假设检验没有统计显著性。因此，本文的研究结果不支持用技术分析法研究上海证券交易市场。
I test for the efficiency in the Shanghai Stock Exchange, an emerging capital market. The Hurst exponent is estimated using the R/S method. This paper has researched the subdivision market. The Hurst exponent of B share index is significant which means B shares market is long-memory dynamics, so we can reject the efficient market hypothesis on B share market. The Hurst exponent of real estate market is significant less than the E (H) that means real estate market is not only inefficiency but also show the antipersistent process. Similar to findings for major developed capital markets, I cannot reject the efficient market hypothesis in the Shanghai Stock Exchange, especially excluding the B shares market. The empirical results obtained in this study do not support the technical analysis in the Shanghai Stock Exchange.
I test for the efficiency in the Shanghai Stock Exchange, an emerging capital market. The Hurst exponent is estimated using the R/S method. This paper has researched the subdivision market. The Hurst exponent of B share index is significant which means B shares market is long-memory dynamics, so we can reject the efficient market hypothesis on B share market. The Hurst exponent of real estate market is significant less than the E (H) that means real estate market is not only inefficiency but also show the antipersistent process. Similar to findings for major developed capital markets, I cannot reject the efficient market hypothesis in the Shanghai Stock Exchange, especially excluding the B shares market. The empirical results obtained in this study do not support the technical analysis in the Shanghai Stock Exchange.
引文
1、陈立新，(2002，5)， 《上海股票市场有效性实证研究》，载《中国软科学》。
2、范龙振、张子刚，(1998，1)，《深圳股票市场的弱有效性》，载《管理工程学报》。
3、冯晶，(2000，6)，《市场有效性理论与中国证券市场》，载《浙江社会科学》。
4、石洪华、郑伟，(2003，5)，《上海证券市场日期效应检验及其有效性的研究》，载《系统工程理论与实践》。
5、吴世农，(1996，4)，《我国证券市场效率的分析》，载《经济研究》。
6、俞乔，(1994，9)，《市场有效、周期异常与股价波动》，载《经济研究》。
7、Albright, S., (1987), Statistics for Business and Economics, New York: Macmillan Publishing, 515-517.
8、Campbell, H., (March 1991), "The World Price of Covariance Risk", Journal of Finance 46, no.1: 111—157.
9、Chan, L., Yasushi Hamao, and Josef Lakonishok, (Dec 1991), "Fundamentals and Stock Returns in Japan", Journal of Finance 41, no.5: 1739—1789.
10、Fairfield, P., (July-August 1994), "P/E,P/B, and the Present Value of Future Dividends ", Journal of Finance 50, no.4:23—31.
11、Fama, E., (January 1965), "The Behavior of Stock Market Prices", Journal of Business38, no.1: 34—105.
12、Fama, E. and Marshall Blum,(January 1966 Supplement), "Filter Rules and Stock Market trading Profits", Journal of Business 39, no. 1: 226-241.
13、Fama, E., (May 1970), "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance 25, no.2:383—417.
14、Fama, E. and James MacBeth, (May—June 1973), "Risk Return and Equilibrium: Empirical Tests", Journal of Political Economy 81, no.3: 607—636.
15、Fama, E. and Kenneth R.French, (Oct 1988), "Dividend Yields and Expected Stock Returns", Journal of Finance Economics 22, no. 1: 3—25.
16、Fama, E., (Dec 1991), "Efficient Capital Markets :Ⅱ", Journal of Finance 46, no.5:1575 —1617.
17、Fama, E. and Kenneth R.French, (June 1992), "The Cross—Section of Expected Stock
Returns", Journal of Finance 47, no.2: 427—465.
18、 Fama, E. and Kenneth R.French, (March 1995), "Size and Book—to—Market Factors in Earnings and Returns", Journal of Finance 50, no. 1: 131—155.
19、 Hagerman, R. and Richard D.Richmond ,(Sep 1973), "Random Walks ,Martingales and the OTC", Journal of Finance 28, no.4: 897—909.
20、 Mandelbrot, B. and Wallis, J., (1968), "Noah, Joseph and operational hydrology", Water Resources Research 4, 909-918.
21、 Mandelbrot, B., (1983), The Fractal Geometry of Nature, New York: W. H. Freeman.
22、 Nawrocki, D., (1995), "R/S Analysis and Long Term Dependence in Stock Market Indices ", Managerial Finance, Vol. 21, No. 7, 78-91.
23、 Peters, E., (July-August 1989), "Fractal structure in the capital markets ", Financial Analysts Joumal, 32-37.
24、 Peters, E., (Nov/Dec 1992), "R/S analysis using logarithmic returns: a technical note ", Financial Analysts Journal, 81-82.
25、 Peters, E., (1994), Fractal Market Analysis, New York: John Wiley & Sons, 44-49.
26、 Pettit, R. and P.Venkatesh,(summer 1995), "Insider Trading and Long-Run Return Performance" Financial Management 24, no2: 888-103.
27、 Reilly, F. and Eugene Drzycimski, (summer 1981), "Short-run Profits from Stock Splits", Financial Management 10, no.3:64-74.
28、 Reinganum, M., (March 1982), "A Direct Test of Roll's Conjecture on the Firm Size Effect", Journal of Finance 37, no.1: 27—35.
29、 Roll, R., (September 1981), "A Possible Explanation of the Small Firm Portfolios", Journal of Finance 36, no.4: 879—888.
30、 Stoll, H. and Robert Whaley, (June 1983), "Transactions Costs and the Small Firm Effect", Journal of Financial Economics 12 no. 1: 57-80.
31、 Trivoli, G., (summer 1980), "How to Profit from Insider Trading Information", Journal of Portfolio Management 6, no.4:51-56.
2、范龙振、张子刚，(1998，1)，《深圳股票市场的弱有效性》，载《管理工程学报》。
3、冯晶，(2000，6)，《市场有效性理论与中国证券市场》，载《浙江社会科学》。
4、石洪华、郑伟，(2003，5)，《上海证券市场日期效应检验及其有效性的研究》，载《系统工程理论与实践》。
5、吴世农，(1996，4)，《我国证券市场效率的分析》，载《经济研究》。
6、俞乔，(1994，9)，《市场有效、周期异常与股价波动》，载《经济研究》。
7、Albright, S., (1987), Statistics for Business and Economics, New York: Macmillan Publishing, 515-517.
8、Campbell, H., (March 1991), "The World Price of Covariance Risk", Journal of Finance 46, no.1: 111—157.
9、Chan, L., Yasushi Hamao, and Josef Lakonishok, (Dec 1991), "Fundamentals and Stock Returns in Japan", Journal of Finance 41, no.5: 1739—1789.
10、Fairfield, P., (July-August 1994), "P/E,P/B, and the Present Value of Future Dividends ", Journal of Finance 50, no.4:23—31.
11、Fama, E., (January 1965), "The Behavior of Stock Market Prices", Journal of Business38, no.1: 34—105.
12、Fama, E. and Marshall Blum,(January 1966 Supplement), "Filter Rules and Stock Market trading Profits", Journal of Business 39, no. 1: 226-241.
13、Fama, E., (May 1970), "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance 25, no.2:383—417.
14、Fama, E. and James MacBeth, (May—June 1973), "Risk Return and Equilibrium: Empirical Tests", Journal of Political Economy 81, no.3: 607—636.
15、Fama, E. and Kenneth R.French, (Oct 1988), "Dividend Yields and Expected Stock Returns", Journal of Finance Economics 22, no. 1: 3—25.
16、Fama, E., (Dec 1991), "Efficient Capital Markets :Ⅱ", Journal of Finance 46, no.5:1575 —1617.
17、Fama, E. and Kenneth R.French, (June 1992), "The Cross—Section of Expected Stock
Returns", Journal of Finance 47, no.2: 427—465.
18、 Fama, E. and Kenneth R.French, (March 1995), "Size and Book—to—Market Factors in Earnings and Returns", Journal of Finance 50, no. 1: 131—155.
19、 Hagerman, R. and Richard D.Richmond ,(Sep 1973), "Random Walks ,Martingales and the OTC", Journal of Finance 28, no.4: 897—909.
20、 Mandelbrot, B. and Wallis, J., (1968), "Noah, Joseph and operational hydrology", Water Resources Research 4, 909-918.
21、 Mandelbrot, B., (1983), The Fractal Geometry of Nature, New York: W. H. Freeman.
22、 Nawrocki, D., (1995), "R/S Analysis and Long Term Dependence in Stock Market Indices ", Managerial Finance, Vol. 21, No. 7, 78-91.
23、 Peters, E., (July-August 1989), "Fractal structure in the capital markets ", Financial Analysts Joumal, 32-37.
24、 Peters, E., (Nov/Dec 1992), "R/S analysis using logarithmic returns: a technical note ", Financial Analysts Journal, 81-82.
25、 Peters, E., (1994), Fractal Market Analysis, New York: John Wiley & Sons, 44-49.
26、 Pettit, R. and P.Venkatesh,(summer 1995), "Insider Trading and Long-Run Return Performance" Financial Management 24, no2: 888-103.
27、 Reilly, F. and Eugene Drzycimski, (summer 1981), "Short-run Profits from Stock Splits", Financial Management 10, no.3:64-74.
28、 Reinganum, M., (March 1982), "A Direct Test of Roll's Conjecture on the Firm Size Effect", Journal of Finance 37, no.1: 27—35.
29、 Roll, R., (September 1981), "A Possible Explanation of the Small Firm Portfolios", Journal of Finance 36, no.4: 879—888.
30、 Stoll, H. and Robert Whaley, (June 1983), "Transactions Costs and the Small Firm Effect", Journal of Financial Economics 12 no. 1: 57-80.
31、 Trivoli, G., (summer 1980), "How to Profit from Insider Trading Information", Journal of Portfolio Management 6, no.4:51-56.
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