有效市场单位根和非线性时间序列分析-- 熊鹏.pdfVIP

Efficient Markets, Unit roots, and Non-linear Time Series Analysis Xiong Peng China Center for Economic Research (CCER), Peking University Nature Financial Engineering Group (NFEG), Peking Abstract: The res earch analyze the efficient market hypotheses (EMH) in Chinas emerging capital market since its beginning. We do our study in two levels i.e, the price index change and individual stock pri