摘要
随机选取沪、深两市各 2 5家上市公司的日收盘价的收益率为样本 ,通过正态性检验、自相关性检验等各种统计量的分析研究 ,结果表明 :收益率序列呈显著的尖峰厚尾及非正态性分布 ,并呈现出很高的序列相关性 .由此得出结论 ,沪。
Asymptotic of efficiency theorem in security market is fundamental in capital market.Through sampling of the close prices per day of 25 enterprises in Shanghai and Shenzhen security markets respectively,based on the analysis of the hypothesis testing of normality and dependence,etc, it has been found that the series of return shows abnormal distribution,high peak and heavy-tailed,and that there is high serial correlation. A conclusion is reached: the security market of Shanghai and Shenzhen are not weakly efficient.
出处
《兰州大学学报（自然科学版）》
CAS
CSCD
北大核心
2002年第5期19-23,共5页
Journal of Lanzhou University(Natural Sciences)
基金
甘肃省软科学计划资助项目 (RS0 0 2 - A6 5 - 0 6 9
RS0 0 2 - B6 5 - 0 90 )
关键词
证券市场
市场有效性
序列无关性
正态性检验
自相关性检验
金融市场
efficiency of market
testing for serially uncorrelated
testing for normality
testing for auto-correlatedness
