摘要
运用近10年的数据研究中国股票市场价格波动的可预测性或者说序列相关性,结果表明长、短期的股票回报均服从于或接近服从于随机游走,中国股市的可预测性较弱。另一方面,中国股票市场长期回报率具有弱显著的但较清晰的U型特征。
With the data of stock indexes in a decade, this article tests the predictability or serial correlation in short or long-term returns of common stocks in China's market. The results show that stock returns in China's market basically follow random walk whether in short term or in long term. The predictability is weak for China's stock prices. However, the long-term autocorrelation of stock returns produce a reasonable U-shaped pattern on the return horizons.
出处
《华南师范大学学报（社会科学版）》
CSSCI
2004年第2期7-14,38,共9页
Journal of South China Normal University：Social Science Edition
关键词
股票市场
可预测性
有效性
方差比率
stock market
predictability
efficiency
variance ratios
