中国股市弱有效吗?——来自数据挖掘的实证研究

Abstract

Abstract: Most test methods on stock market efficiency are based on some statistical models from a whole viewpoint and can’t discover some predictive local patterns.Thus,the conclusion of"market is efficient"may be trustless.This paper applies a new time series data mining method——TSEOPM to detect local omen patterns,and verifies weak-form efficiency of China stock markets.The result indicates local patterns mined by TSEOPM can bring excess returns."Stock markets of China are not weak-form efficient"is concluded.

Key words: stock, efficient market, data mining, time series

CLC Number:

F830

LAN Qiu-jun, MA Chao-qun, GAN Guo-jun, WU Jian-hong. Are Stock Markets of China Weak-Form Efficient?——A Research from Data Mining[J]. Chinese Journal of Management Science, 2005, (4): 17-23.

References

[1] Fama E.F.The Behavior of Stock Market Prices [J].Journal of Business, 1965,38: 34-105.
[2] David Hand,Heikki Mannila,Padhraic Symth.数据挖掘原理[M].张银奎等(译).北京:机械工业出版社,2003.
[3] Fayyad U, Uthurusamy R.Data Mining and Knowledge Discovery in Database [J]. Communications of the ACM,1996,39(11) :204-211.
[4] Kovalerchuk B, Vityaev E.Data Mining in Finance: Advances in Relational and Hybrid Methods[M]. Kluwer Academic Publishers,2001.
[5] Leigh W, Modani N, Purvis R., et al. Stock Market Trading Rule Discovery Using Technical Charting Heuristics[J]. Expert System with Applications,2002, (23) :155-159.
[6] 杨虎,李强.金融时序中异常数据挖掘算法设计及实证分析[J].中国管理科学,2004,12(3):7-11.
[7] 易东云,张维明,杜小勇.金融数据挖掘中的非线性相关跟踪技术[J].软件学报,2000,11(12):1581-1586.
[8] 吴世农.上海股票市场效率的分析与评价[J].投资研究,1994,(8):44-47.
[9] 俞乔.市场有效、周期异常与股价波动[J].经济研究,1994,(9):43-50.
[10] 宋颂兴,金伟根.上海股市市场有效实证研究[J].经济学家,1995,(4):107-113.
[11] 高鸿桢.关于上海股市效率性的探讨[J].厦门大学学报(哲社版),1996,(4):13-18.
[12] 闫冀楠,张维.上海股市EMH实证检验[J].系统工程学报,1997,12(3):49-56.
[13] 陈小悦等.中国股市弱型效率的实证研究[J].会计研究,1997(9):13-17.
[14] 张思奇,马刚,冉华.股票市场风险、收益与市场效率:——ARMA-ARCH-M模型[J].世界经济,2000,(5):19-28.
[15] 程希骏,吴振翔,周晖.中国股市ST板块弱有效性检验[J].中国管理科学,2003,11(4):1-4.
[16] 张亦春,周颖刚.中国股市弱式有效吗?[J].金融研究,2001,(3):34-40.
[17] 邱宜干.我国股市是否达到弱式有效[J].东南学术,2001,(1):46-53.
[18] 兰秋军.金融时间序列隐含模式挖掘方法及其应用研究[D].湖南大学博士学位论文.长沙:湖南大学,2004.10.
[19] 戴维R.安德森,丹尼斯J.斯威尼,托马斯A.威廉姆斯.张建华,王健,冯燕奇等(译).商务与经济统计[M].北京:机械工业出版社,2000,第7版.

Are Stock Markets of China Weak-Form Efficient?——A Research from Data Mining

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 0

[1]	Jianying Li,Weiqi Liu,Dongliang Yuan. Corporate Social Responsibility and Stock Price Extreme Volatility Risk: Evidence from Enterprise Participation in Poverty Governance [J]. Chinese Journal of Management Science, 2024, 32(8): 15-24.
[2]	Xiaojian Yu,Guopeng Liu,Jianlin Liu,Weilin Xiao. Stock Index Prediction Based on LSTM Network and Text Sentiment Analysis [J]. Chinese Journal of Management Science, 2024, 32(8): 25-35.
[3]	Yi Cai,Zhenpeng Tang,Junchuang Wu,Xiaoxu Du,Kaijie Chen. Research on the Application of GWO-SVR Algorithm in the Prediction of Reverse Mixed Data in Stock Market and Investment Strategy [J]. Chinese Journal of Management Science, 2024, 32(5): 73-80.
[4]	Jian Zhang,Shuang He,Pujie Shi,Juliang Zhang. Multi-period Inventory Substitute Competition under the Initial Inventory Level and the Capacity Constraints [J]. Chinese Journal of Management Science, 2024, 32(1): 319-324.
[5]	Lan Bai,Yu Wei. Information Spillovers between Investor's Public Health Emergency Attention and Industrial Stocks: Empirical Evidence from TVP-VAR Model [J]. Chinese Journal of Management Science, 2024, 32(1): 54-64.
[6]	Xiao-yan GU,Liang CHEN,Qian LIU,Meng-di MU,Deng-sheng WU. Research on Grazing Path Planning with Time Window under Grass Livestock Balance Constraints [J]. Chinese Journal of Management Science, 2023, 31(8): 184-192.
[7]	Yong MA,Xiao-jun LIU,Rong-cai HU. The Nonlinear Dynamics Assessment of Inflation Expectations, Inflation Surprise and Stock: ReturnsTheoretical Analysis and Empirical Research [J]. Chinese Journal of Management Science, 2023, 31(8): 61-70.
[8]	ZHANG Xiao-cheng, ZHU Dong-ju, LIU Ming-xian. A New Perspective of Theoretical Research on Stock Price Volatility:Based on the Perspective of Heterogeneous Emotional Trading [J]. Chinese Journal of Management Science, 2023, 31(8): 278-286.
[9]	KANG Wen-jin, ZHANG Kang. A Study on the Relationship between Liquidity Shock and Stock Return in Chinese A-Share Market [J]. Chinese Journal of Management Science, 2023, 31(7): 68-77.
[10]	LIU Mu-han, XIONG Xiong,. Stock Index Futures Trading Policy, Investors’ Behavior and Stock Market Quality [J]. Chinese Journal of Management Science, 2023, 31(7): 126-139.
[11]	YIN Hai-yuan, WU Xing-ying. Investor Sentiment, Order Flow Imbalance and Stock Liquidity [J]. Chinese Journal of Management Science, 2023, 31(5): 60-70.
[12]	LUO Jian, TANG Jia-fu, YU Qing-ya, WU Zhi-qiao. The Division of O2O Takeaway Business Zone and Discovery of Customer Demand Distribution Law [J]. Chinese Journal of Management Science, 2023, 31(3): 58-68.
[13]	GAO Ming, LIU Chao, TANG Jia-fu, SUN Si-jing, ZOU Guang-yu. Lifetime Decay Prediction of Fuel Cell Based on Attention Neural Network [J]. Chinese Journal of Management Science, 2023, 31(3): 155-166.
[14]	LIANG Mo, LI Hong-xiang, ZHANG Shun-ming. A Measure for Financial Distress based on ST Predictive Model and the Cross-section of Stock Returns [J]. Chinese Journal of Management Science, 2023, 31(2): 138-149.
[15]	Peng ZHANG,Shi-li DANG,Mei-yu HUANG,Jing-xin LI. Two-stage Mean Semi-variance Portfolio Optimization with Stock Return Prediction Using Machine Learning [J]. Chinese Journal of Management Science, 2023, 31(12): 96-106.