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Research on the Effectiveness of China’s Stock Market
DOI: 10.12677/FIN.2022.122020, PDF, HTML, XML, 下载: 128  浏览: 302

Abstract: The research on the effectiveness of stock market has always been the focus in the field of financial market. This paper selects the weekly daily closing price series of CSI 300 index (399300) from 2011 to 2020 as the original data, and takes the logarithmic return of Shanghai and Shenzhen 300 index as the research object to explore the effectiveness of China’s stock market. The test results show that China’s stock market has reached a weak efficiency market.

1. 引言

2. 文献综述

3. 基于沪深300指数的中国股票市场有效性实证分析

3.1. 数据选取

$报告期指数=报告期成分股的调整市值/基日成分股的调整市值×基日指数$

3.2. 数据预处理

Figure 1. Weekly series of daily closing prices of CSI 300 index (2011~2020)

${R}_{t}:=\frac{{P}_{t}}{{P}_{t-1}}-1$ (1)

${r}_{t}:=\mathrm{ln}\frac{{P}_{t}}{{P}_{t-1}}=\mathrm{ln}\left(1+{R}_{t}\right)$ (2)

Figure 2. Log return series of CSI 300 index (2011~2020)

4. 基于沪深300指数市场弱有效性检验

4.1. 自相关检验

${Q}^{*}\left(m\right)=T\underset{i=1}{\overset{m}{\sum }}{r}_{i}^{2}$ (3)

${Q}^{*}\left(m\right)~{\chi }^{2}\left(m\right)$ (4)

$\begin{array}{l}{H}_{0}:{\rho }_{1}={\rho }_{2}=\cdots ={\rho }_{m}=0\\ {H}_{1}:{\rho }_{i}\ne 0\end{array}$

Ljung和Box改进了这一统计量，提高了对有限个样本进行检验的强度，称为Ljung-BoxQ统计量，即

$Q\left(m\right)=T\left(T+2\right)\underset{i=1}{\overset{m}{\sum }}\frac{{r}_{i}^{2}}{T-l}$ (5)

$Q\left(m\right)>{\chi }_{\alpha }^{2}$ 时，拒绝零假设，即认为序列中存在某些自相关，这里 ${\chi }_{\alpha }^{2}$ 为自由度为m的 ${\chi }^{2}$ 分布的 $100\left(1-\alpha \right)$ 分位数。R中的计算程序会直接给出p值，此时当 $p<\alpha$ 时拒绝零假设， $\alpha$ 为显著性水平。

Box-Pierce test

data: fit1$residual X-squared = 3.2752, df = 6, p-value = 0.7736 Box-Pierce test data: fit1$residual

X-squared = 7.5608, df = 12, p-value = 0.8184

4.2. 单位根检验

Figure 3. Logarithmic first order difference graph

Note: in fact, p.value = 0.01 means p.value <= 0.01

Box-Pierce test

data: dif_Ln

X-squared = 123.04, df = 6, p-value < 2.2e−16

Box-Pierce test

data: dif_Ln

X-squared = 133.03, df = 12, p-value < 2.2e−16

4.3. 结论

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