我国股票市场有效性实证的研究.doc

HUNAN UNIVERSITY 金融市场学课程设计 论文题目 我国股票市场有效性实证研究 学生姓名 陈玺如 学生学号 20111811521 专业班级 金融五班 学院名称 金融与统计学院 指导老师 何康 学院院长 杨胜刚 2013 年 5 月 21 日 摘要 有效市场假说是关于现代资本市场最重要理论之一。自从法玛于1965年正2005 年月6日至 20年月日得出的结论是 有效市场假说弱式市场有效随机游走模型  Abstract The efficient market hypothesis is one of the most important theories of modern capital market. Since the fama has officially put forward the efficient market hypothesis in 1965, Chinese and foreign scholars researched various aspects of it, and achieved fruitful results. This paper illustrated both the theory of the efficient market hypothesis and the result of the empirical studies of China stock market. First of all, in theory aspect, this paper respectively introduces the emergence, development and problems of the efficient market hypothesis in order to gain theoretical basis, namely random walk means weak efficient market; Then, in terms of empirical research, based on the random walk hypothesis, this paper selects the closing price of the CSI 300 index from January 6, 2005 to April 18, 2011, based on the result of the unit root test , the sample data is in line with the random walk, based on the theoretical basis, it can be concluded that Chinese stock market is weak effective , which also means that the effective market is set up in reality. Key Words: The efficient market hypothesis;Weak market efficiency;Random walk model;Unit root test 目 录 摘要 有效市场假说的产生与发展…………………………………………………1 早期的投机市场价格行为研究……………………………………………………1 随机游走模型……………………………………………………………………1 基本含义……………………………………………………………………………1 模型的提出…………………………………………………………………………2 有效市场假说(EMH)的建立的建立……………………………………………………………………………………………………………………………3 三种形式……………………………………………………………………………3 70年代以后EMH的演进………………………………………………………………………………………………………………………4 存在的缺陷………………………………………………………4 弱有效市场的检验——的随机游走检验……………………………半强市场的检验——………………………………………………4 强有效市场假说的检……………………………………4 对市场低的检……………………………………………5 行为金融学…………………………………………………5 基本含义……………………………………………………………………………5 对有效市场假说提出的挑战………………………………………………………5 分型市场理论……………………………………………………6 我国股市的随