基于NCT指标的股市噪音成分研究:以七个亚洲市场为例

中国管理科学 ›› 2005, Vol. ›› Issue (6): 6-10.

基于NCT指标的股市噪音成分研究:以七个亚洲市场为例

孔东民

中山大学管理学院行为金融与金融经济学研究所, 广州, 510275

收稿日期:2005-01-18 修回日期:2005-11-10 出版日期:2005-12-28 发布日期:2012-03-07
基金资助:
广东省自然科学基金资助项目(0400975)

Noise Composition Test of Stock Prices with NCT: Evidence from Seven Asian Stock Markets

KONG Dong-min

Institute of Behavioral Finance and Financial Economics, Zhongshan University, Guangzhou 510275, China

Received:2005-01-18 Revised:2005-11-10 Online:2005-12-28 Published:2012-03-07

摘要/Abstract

摘要： 本文以Lo and Mackinlay(1988,1989)^[1][2]的方差比率为基础,构建了考察股市噪音成分的MCT指标,并对亚洲七个国家和地区的股市进行了检验。结果发现中国大陆和泰国股市具有更大的噪音成分,市场效率性较差;香港地区、台湾和日本股市则具有较小的噪音交易成分,且无法拒绝不存在噪音交易的零假设;马来西亚和印度尼西亚的市场表现则处于前两者之间。最后我们通过Bootstrap对检验进行了重新评估,发现本文的检验结果是稳健的。

关键词: 方差比检验, 噪音成分检验, 异方差, Bootstrap抽样

Abstract: Based on the variance-ratio test of Lo and Mackinlay(1988,1989),I construct a noise composition test(NCT) index in this paper and give an empirical test to seven Asian stock markets.I find the the markets of mainland of China and Thailand have more noise composition and are more inefficient.Meanwhile,the markets of Hong Kong,Taiwan,and Japan have a smaller noise composition and I cannot reject the zero hypothesis of price which is following a random walk.At last,I use the Bootstrap sample to re-estimate the previous results and find it is robust.

Key words: variance-ratio test, noise composition test(NCT), heteroskedasticity, Bootstrap

中图分类号:

F830

孔东民. 基于NCT指标的股市噪音成分研究:以七个亚洲市场为例[J]. 中国管理科学, 2005, (6): 6-10.

KONG Dong-min. Noise Composition Test of Stock Prices with NCT: Evidence from Seven Asian Stock Markets[J]. Chinese Journal of Management Science, 2005, (6): 6-10.

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