中文版 | English
Title

中国股票市场是有效的还是适应性的?

Author
Publication Years
2022
DOI
Source Title
ISSN
1673-291X
Issue20Pages:62-65
Abstract
有证据表明,中国的股票市场并不完全有效,但也不是完全非理性的,而是具有不同程度的适应性.首先,中国的市场有效程度在2015年7月之后发生了巨大变化,变得比以往有效程度更高.其次,经典的市值变量在2016年12月后变得不再像往常一样显著.再次,价值变量仅在某些时期显示出较弱的显著性.对变量构建的因子投资组合回报率的分析也表明,经典三因子模型在中国市场并不能持续产生正收益率,因此,适应性市场假说可以为这些发现提供较为合理的解释.
Keywords
URL[Source Record]
Language
Chinese
SUSTech Authorship
First
Data Source
WanFang
WanFangID
jjyjdk202220019
Citation statistics
Cited Times [WOS]:0
Document TypeJournal Article
Identifierhttp://kc.sustech.edu.cn/handle/2SGJ60CL/401841
DepartmentDepartment of Finance
商学院
Affiliation
南方科技大学 商学院金融系,广东深圳 518055
First Author AffilicationDepartment of Finance;  School of Business
First Author's First AffilicationDepartment of Finance;  School of Business
Recommended Citation
GB/T 7714
刘思屹,章勇. 中国股票市场是有效的还是适应性的?[J]. 经济研究导刊,2022(20):62-65.
APA
刘思屹,&章勇.(2022).中国股票市场是有效的还是适应性的?.经济研究导刊(20),62-65.
MLA
刘思屹,et al."中国股票市场是有效的还是适应性的?".经济研究导刊 .20(2022):62-65.
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