中国股票市场有效性研究

Research on the Effectiveness of China’s Stock Market

摘要: 对股票市场有效性的研究一直都是金融市场领域的重点。本文选取2011年至2020年共十年的沪深300指数(399300)周频日收盘价序列作为原始数据，以沪深300指数的对数收益率为研究对象，对中国股市有效性进行探究，检验结果表明我国股票市场已达到弱有效性市场。

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.