摘要
中国股市有效性的检验主要集中在是否具有弱式有效。采用所谓的随机游走或（和）AR模型做检验，由1993年以前的研究数据得出的结论是非有效市场，但此后的研究大多支持弱式有效。近年来，一些国内学者对实证检验支持中国股市弱式有效提出异议，并选用ARCH模型族以改进估计效果，检验异常现象、过度反应等其它方面的问题，得出了不同的结论；或者模棱两可，不敢从实证结果肯定地得出与经验判断相反的结论。从理论上正确理解弱式有效，并采用广义谱域分析或小波分析，可以得出肯定而明确的结论。
：The checking of the effectiveness of China’s stock market focuses on whether the market possesses weak effectiveness．The conclusion that the market was ineffective was reached by using the so－calld Random Wandering or／ and AR Models and research data before 1993． Thereafter researches were largely in favor of the viewpoint that the market was weakly effective． In recent years some domestic scholars doubt the viewpoint that China’s stock market was weakly effective and they draw a different conclusion by adopting ARCH Model groups to improve estimate results or check abnormal phenomena and excessive reactions etc；or they give ambiguous checking results． A positive and definite conclusion can be reached by correctly understanding the weak effectiveness in theory terms and adopting analyses of broad－sense spectrum and small waves．
出处
《当代财经》
CSSCI
北大核心
2001年第8期30-32,共3页
Contemporary Finance and Economics
基金
厦门联合信托投资有限责任公司委托的“关于证券市场鼓率与信托投资基金效率的相关性研究”项目的成果
关键词
中国
弱式有效
广义谱域分析
股票市场
：China’s stock market；weakly effective；analysis of broad－sense spectrum；checking
