Testing China’s Stock Market Efficiency ——Based on Threshold Model
Market efficiency is usually verified by unit root test based on linear model, which tests the null hypothesis of random walk process in the stock price against a linear mean-reverting process alternative. But if the behavior of stock price is nonlinear dynamics, the test above is low power. The paper applies threshold nonlinear modeling techniques, and evaluates the nonlinear dynamics of stock price on the Shanghai Exchange and on the Shenzhen Exchange. We find that the stock prices are threshold nonlinear, and are a regime-reverting process. That means that stock prices contain the predictable element, so that the two stock markets are not weak efficiency.
Financial Market Threshold Nonlinear Regime-reverting Process Market Efficiency
WANG Xiaoyan LI Meizhou
Department of Statistics, Jinan University, Guangzhou, 510632 Department of Economics, Guangdong Ind Financial Research Department of Guangzhou Branch, Peoples Bank of China, Guangzhou, 510120
国际会议
2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)
青岛
英文
1-8
2009-07-25（万方平台首次上网日期，不代表论文的发表时间）