中国股票市场非有效性特征分析

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1、郑州大学硕士学位论文.中国股票市场非有效性特征研究AbstraetIlnProvingtheefficieneyofthestockmarket15thekeytofullPlaythestockmarket，5roleinthenationaleconomy.AnalysisofChina，5stockmarketmayrevealtheinefficientcharaCteristiesinthe叩erationofthemarket，whichcanenhancetheefficiencyofChlna，5sto

2、ckmarketandProvidethestandardiZationofthestockmarket.hithisPaPer，weemPiricallyanalysistheinefficienicharacteristicsofChina，5stockmarketbyusingtheindexretumsofShanghaistockexchangecomPOsiteindex(SHCI)，ShenzhenstockexchangecomPonentindex(SZCI)，ete.Thefollowing15th

3、emaincontent:1.Thedistributionsofreturnsarenotnormal.Wecheckthatwhetherthe户elddistributionsofSHCIandSZCIarenormalbythreeways，andehangesofthethiektailsbytailindex.Theconclusionsaretheretumsdonotfollowthenormaldistribution.Distributionsoftheretumsvarygraduallybeco

4、menormal.Theleftandrighttailindieesoftheretumdistributionswithdaily，weeklyandmonthlybecomebiggerandbiggerwhiehmeansthattailsbecomethinner.Therighttailsofeverydistributionarefatterthanthelefttails，whichshowstheexPansionofthestockmarket.AllthetallsofSHCIretums’dis

5、tributionsarethinnerthanthatofSZCIreturns’distributions.2.Autocorrelationofretums.ARmodelsandQstatisticareusedfortheautocorrelationanalysis.Themainconclusionsarethattheautocorrelationexistsinthedaily，weekiyandmonthlyretums.Alllagsaresomewhatdifferentandnosignifi

6、cantchangesinthelaw.ThecurrentretumofSZCIcontalnsmorehistoricinformationthanthatofSHCI，whichmeansShenzhenstockmarket15moreeffieient.Theautoeorrelationeoefficients(AC)ofdaily’weeklyandmonthlyreturnshavenotrendofweakeningzerowiththelagnumberincreasing.Thechangesof

7、coeffieientsofweeklyandmonthlyretumsfurtherconfirmtheexistenceofthelongrunautoeorrelationofdailyreturns.3.ARCHeffectofretums.WeusetheARCHmodelstoanalyzetheclusteringofvolatilityofretums.TheeonclusionsarethatARCHeffectexistinthedailyretumsbutnotintheweeklyandmont

8、hlyretums.ThesustainabilityofimPactoftenexistsinthedailyreturns.Thestrengthofsustainabilitybeeomesweakerinacertaindegree，奋郑州大学硕士学位论文.中国股票市场非有效性特征研究butremainsgenerally