對(duì)中國(guó)A股市場(chǎng)弱式有效性的實(shí)證檢驗(yàn).pdf

1、對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)碩士學(xué)位論文對(duì)中國(guó)A股市場(chǎng)弱式有效性的實(shí)證檢驗(yàn)姓名：劉皇岑申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：劉園20070401AbstractThedefinitionofefficientmarkethypothesisisthatthepriceofafinancialassetinaefficientmarketreflectsalltheinformationavailableItincludesthreeforms：w

2、eakformefficiency，semi—strongformefficiency，andstrongformefficiencyHowever，whetherthereexistefficientmarkethasalwaysbeenacOntrOversialproblemSotheresearchandtestifyonthisproblemhasasignificantinfluenceintheoryandrealityT

3、hispaperteststheweakformefficiencyofChina’sstockmarketintermsoftheprofitabilityofthetechnicalanalysis，choosingShanghaiCompositeAStockIndexandShenzhengCompositeIndexfromtheyear1999to2006asthestatisticsampleComparetherateo

4、freturnfromthetechnicalanalysisandthatfromthebuyandholdstrategyusingthesigntestmethodandTtestmethodtofindoutwhetherthetwokindsofrateofreturndiffersignificantlyTheresultshowsthat，although，technicalanalysiscouldbringextrar

5、eturnsomeyears，bothsigntestandTtestshowthatthetwatesofreturndonotdiffersignificantlyWhileusingstatisticsbefore1999，researchersgotdifferentresultthattechnicalanalysiscouldbringextrareturneveryyearSowecouldgettheconclusion