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当前位置:首页 > 金融/证券 > 股票报告 > 中国股票市场弱有效性的统计套利检验
200722:100026788(2007)0220092207,(,100080):,Hogan(2004),:,.,A,A.:;;:F830191:ATheWeak2EfficiencyTestofChineseStockMarketbyStatisticalArbitrageWUZhen2xiang,CHENMin(AcademyofMathematicsandSystemsScience,CAS,Beijing100008,China)Abstract:Inthispaper,theconceptofstatisticalarbitrageisintroduced.BasedontheworkofHogan,etc(2004),thestatisticalarbitrageisusedintestingtheefficiencyofmarket.Theexistenceofstatisticalarbitrageisconflictingwiththeefficientmarket.BytestingtheweakefficiencyofChineseA2sharemarketinthispaper,theconclusionthatChineseA2sharemarketnotbeweakefficiencyismade.Keywords:statisticalarbitrage;marketefficiency;stockmarket:2005205214:(70221001,70331001):(1977-),(),,,:;,,:.1Fama(1969):,,,.,,.,(1994)(1996)(2000)(2002)(2003)(2003),,,.,,.,..,,Box2Pierce(1970)Ljung2Box(1978).,(2003),,,,(2003),.,,,,:;;;.,Jegadeeshetc.(1993)Lakonishoketc.(1994)Conradetc.(1998)FamaandFrench(1992)Barberisetc.(1998)Danieletc.(1998).Fama(1998),,,,,,.,0,1,..10,T,v(T),v(T)P(v(T)0)=1P(v(T)0)0.,,Bondarenko(2003),,,,,.,BernardoLedoit(2000),Bondarenko(2003)Hoganetc(2004)(statisticalarbitrage).,Hogan(2004),,,,.2(statisticalarbitrage):20(self2financing)(x(t):t0),tv(t),v(t):1)v(0)=0;2)limtE[v(t)]0;3)limtP(v(t)0)=0;4)Pt,P(v,(t)0)0,limtvar[v(t)]t=0.(statisticalarbitrageopportunity).:1)0;2);3),0;4),0,,v(t)t.Hogan(2004),v(t):v(t)=+twt,(1)v(t)t-1tx(t)v(t)-v(t-1),,wt.Hogan(2004),,00,2.,00,.02limtE[v(t)]0,0;02.,H1:392,.0H2:0,,^^,,,^^,=0=01:=0H2:=0,,.3,,0,(1),00,,.Fama(),,,.,,,,.,.,.,,,0,(1),00,,.,{Pt},,()(),(),(),,,(,),,,v(t)..,(1)2.,(1)wt,v(t)N(,2t2),(2),(1)(2),L(,,2|v(t),t=1,,T)=-015Tt=1ln(2t2)-015-2Tt=1t-2(v(t)-)2,(3),2,0,:^=Tt=1v(t)t-2^Tt=1t-2^^2=1TTt=1t-2^(v(t)-^)2^2Tt=1ln(t)=Tt=1t-2^ln(t)(v(t)-^)2(4)^^2(4),^:Ts=1s-2(v(s)-^)21nTt=1ln(t)-ln(s)=0^=Tt=1v(t)t-2^Tt=1t-2^,(5),,(4),2.4920072(1)wt,,^^^2,(1),.{t},Jarque2Bera,JB:JB=n16(Sk)2+124(Ku-3)2Sk=n-1(^2e)3P2nt=13tKu=n-1(^2e)2nt=14t,(6)^2et.{t},JB2(2).,(1),.(1),,^0^0,=0=0,.,(2),(1),MonteCarlo,=0=0,0195019,^^,,.4A180,,ST,2000111420041112,.T1(3612)20,(),(),T2(3612).,.11234123412341234(T1,T2),16.,,015%,:1:,.,1,.2:,.,.,,,,,,.3:,.2,,,,,.4:,.2,,,,.1:,.,1,.2:,.,592,014%,,011%.,,015%..,,,,,,.3:,.2,,,,,.4:,.2,,,,.,.(16),,,,180.21234(T1,T2),4.,015%,:1:20,.,1.2:20,.,1.3:20,.,1.4:20,.,1.(T1T29,20,180).(4)(5),2,(6)JB.0195,70%JB;0199,80%JB.(,180JB.3,,JB).,^0^0,,H1:=0H2:=0,3.H1H2,3(,)(,),,,,.,.,,;,,,,,,.,.,.3,,T212,6,3,.,,,,,;,,.6920072300T1-T2(:)2JB3-62120.00083-0.233630.00560.255762333-122120.002533-0.333930.00630.219204333-122220.000933-0.3353330.00580.406648333-122320.00133-0.281730.00570.094802333-122420.000933-0.3427330.00610.508458333-122120.001633-0.3758330.00770.087299333-122220.0002-0.37980.00720.18295333-122320.0002-0.3280.00690.04623933-122420.0002-0.38840.00760.280732333-122120.001833-0.3313330.00830.120149336-122120.000633-0.300730.00330.480144336-122220.003433-0.3394330.00590.262363336-122320.003433-0.3394330.00590.262363336-122420.002833-0.3234330.00440.01585936-122120.00333-0.3415330.0060.874189336-122220.00333-0.3415330.0060.01084636-122320.002533-0.335330.00460.01084636-122320.00053-0.0340.00226.3907013312-32120.003333-0.02490.0024.870133312-62220.004133-0.05510.00260.57821533:301950,3301990;301950,3301990;JB30195,330199.,,,.5,,(3),;(612),,.A.,,T1((2003),),,,,().:[1]BarberisN,ShleiferA,VishnyR.Amodelofinvestorsentiment[J].JournalofFinancialEconomics,1998,49:307-343.[2]BernardoA,LedoitO.Gain,loss,andassetpricing[J].JournalofPoliticalEconomy,2000,108:144-172.792,,.[3]BondarenkoO.Statisticalarbitrageandsecuritiesprices[J].ReviewofFinancialStudies,2003,16(3):875-919.[4]Conrad,Jennifer,GautamKaul.Ananatomyoftradingstrategies[J].ReviewofFinancialStudies,1998,11(3):489-519.[5]DanielK,HirshleiferD,SubrahmanyamA.Investorpsychologyandsecuritymarketunder2andoverreactions[R].1998,WorkingPaper.[6]FamaEF.Marketefficiency,long2termreturns,andbehavioralfinance[J].JournalofFinancialEconomics,1998,49:283-306.[7]HoganS,JarrowR,TeoM,WarachkaM.Testingmarketefficiencyusingstatisticalarbitragewithapplicationstomomentumandvaluestrategies[J].JournalofFinancialEconomics,2004,September.[8]Jegadeesh,Narasimhan,SheridanTitman.Returnstobuyingwinnersandsellinglosers:Implicationsforstockmarketefficiency[J].JournalofFinance,1993,48(1):65-91.[9]Lakonishok,Josef,AndreiShleifer,RobertW.Vishnycontrarianinvestment,extrapolation,andrisk[J].JournalofFinance,1994,49(5):1541-1578.[10],.[J].,2003,3(1):97-124.ChenDT,HongYM.IsChinesestockmarketweak2efficiency?[J].Economics,2003,3(1):97-124.[11],,.[J],,2003,6:43-48.ChenWZ,MiaoBQ,JiangT.AnalysisofmomentumandreversalinChinesestockmarket[J].InvestmentResearch,2003,6:43-48.[12].[J].,2003:38-48.HuJY.Threemethodtochecktheweak2efficiencyofChinesestockmarket[J].ShiJieJingJiWenHui,2003:38-48.[13],.[J].,2000,2:61-64.HuW,FanLZ.ChecktheefficiencyofShanghaistockmarket[J].Forecast,2000,2:61-64.[14],,.[J].,2002,5:100-103.XieBH,GaoRX,MaZ.EfficiencyanalysisofChinesestockmarket[J].QuantityandTechnologyEconomicResearch,2002,5:100-103.[15].[J].,1994,9:43-50.YuQ.Marketefficiency,periodici
本文标题:中国股票市场弱有效性的统计套利检验
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