硕士论文-中国和澳洲股票市场有效性的比较研究

湖南大学硕士学位论文中国和澳洲股票市场有效性的比较研究姓名：许新欣申请学位级别：硕士专业：统计学指导教师：许鹏20070415I90ARCHGARCHARCH,GARCHARCHGARCHIIAbstractThereisagreatdevelopmentinChina’sstockmarketsince1990s,alotofenterprisesgatheredfundsandchangedtheirmechanismthroughtheprogressofthismarket,theefficiencyofthismarketatthesametimegreatlychanged.Howeverasthenewcircleofriseandfallinthismarketcallattentionofmanyscholarsfortheprobleminthismarket,isthismarketasmaturityaswesternmarket,andisitanefficientmarket?Itseemsthattraditiontheorycannotanswerthesequestionsnow,itneedsnewtheoriesandsolutions.Inthisessay,itwillusenewwaysofresearchtomakecomparativeanalysisoftwomarkets—ChinaandAustralia.Therearefivepartsinthisessay.Thefirstpartsbrieflyintroducethemeaningandbackgroundofdoingthisresearch.Thesecondpartsprovidesufficientevidencetosupportthewholeideaofcomparativeanalysisbetweenthosetwocountriesafterthestudyofresearchofmarketefficiencytheoriesinthepast.Thethirdpartsmainlyfocusonthemethodofdoingthisresearch.Thefourthpartsprovidethewholeprocessofempricalanlayse,andcometotheconlusionthatChina’sstockmarketisnotefficient.Thelastpartsgivesuggestionsforhowtobecomeaneffientmarket,andhowtomakeprogress.AttheendweconcludethatChina’sstockmarketneedstoimprovetoenhancetransparencyoftheallthetransactionsandtheaccuracyandpuncturityofaccountinginformation.KeyWords:ARCHGARCHstockmarketdailyrateofreturn2.1......................................................62.2RWH...................................................................62.3..............................................................................72.4..................................................................84.1................................................................................274.2................................................................................274.3.......................................................................................284.4................................................................................282.1............................................................................163.1....................................................................244.1........................................................................294.2....................................................................................314.3........................................................................314.4GARCH1,1.................................334.5........................................35,2(””)111.119901991101001.1.1,,“”19901219914161994218611987ASX1001.1.2——,.,,31.2,2000132005125EVIEWS,AIC12,3ARCH451.3,,,41.4,ARCH,.,522.1EMH2.1.1“”EMH20502070EMHFMHFractalMarketHypothesis2.1.1.1EMH201900[1]19331953[2]“”[3]2.162.12.22.2RWHEMH2.1.1.2EMHtε1−ty1−ty70.1%2.3``2.3[8]2.1.1.3EMH81965[4]19705“”“Securitypricesfullyreflectallavailableinformation”EMH[5]“”“”“”“”“”WeakFormHypothesis(Semi-strongFormHypothesis)StrongFormHypothesis[6]2.42.42.1.1.49“”“”“”EMH[7]2.1.2(effectmarket),,,ARCH2.1.2.110(Randomwalk)[8]1HarryRobert[9]DOWJONES,,2T+1T-1+1.Fama[10]DOW,3,,[11],()-+0+RWH4DOWX%X%RABrealey[12]5Fama[13]116HurstGrossman19761980)[14]BlackEMH“”HurstR/SHurst““2.1.2.21ARCHBlack(1976)[15]Christie(1982)Schwert(1989)[16]“”CampbellKyle(1993)[17]“”Wang(1993)GrundyKim(1995)[18]Veronesi(1999)Koutmos(1998)[19]Engle(1990)[20]GARCHNelson(1991)[21]GARCHCampbellHentschel(1992)[22]GARCHZakoianRabemananjara(1993)[23]GARCHGlosten,JagannathanRunkle(1993)[24]GARCHFornariandMele(1995)[25]GARCHHentschel(1995)[26]GARCH22080(anomalies),9012,1999(Matthew·Rabin)[27]2002·(Daniel·Kahneman)[28]·(Vernon·Smith)[29],behavioralfinance“”2.22.2.11900Bachelier1959Roberts[30]Osborne[31]1963Granger[32]1965Fama1966,FamaBlume[33]1973Soliale1980Merton[34]French1983KeimGultekin1984,JaffeWesterfield1990Lehmann[35]13“”1969,Fama.FisherJenson.Roll1972,Scholes1981Dodd1986Seyhum1986Seyhum1974Jaffe1978BallWattsBall1978Ball1992FamaFrend[36]1933Cowles1962Friend·BrownHerman·Viders[36]1969Jensen1984Henriksson[10]1966NeiderhofferosbornNYSE1972Scholes1974Jaffe141986Seyhun1989Ippolito1990Liu-Smith“HeardontheStreet”[10]802.2.2SaundersandTress(1981)SharpeandVolker1983NicolaasGroenewold(1997)[37]Alon-BrimerShmuelHauser2003RobertJ.Shiller(2006)[38]2001[39]RichardRoll(2004)[40]2.2.3152.2.3.12002[41]199143200119AR-X-GARCH112001[42]1990121920001230HurstHurst0.5,.(2003)[43]1993142001731””(2004)[44]1990121920021224ADF(2004)[45]2003EGARCH””””””””””””,.,(2004)[46]20014232003423,,2.2.3.2,(2000)[47]19951222199948.(2001)[48]19987-82030,301998,162.32.11733.1(efficiencyrun)(efficiencyallocation)MauriceKendall19531965Eu-geneFama“”(EMHefficientmarkethypothesis)“”()()()HarryVRobert(Weak—formEffiency)(Semi—strongformEfficiency)(StrongformEffi-ciency):Φt-1--t-1Φmt-1----t-1Pjt----jtfm(P1t,P2t,…,Pnt/Φmt-1)t-1f(P1t,P2t,…,Pnt/Φt-1)t-1Φt-118Φt-1Φt-1t-1t-1Φt-1Φt-2Φt-3Φt-4….Φt-1Φt-1-kΦt-1Φt-1Φt-1t-1t-1t-1f(P1t,P2t,…,Pnt/Φt-1)Famat-1Φmt-1fm(P1t,P2t,…,Pnt/Φmt-1)fm(P1t,P2t,…,Pnt/Φmt-1)(P1t,P2t,…,Pnt)Φmt-1Φt-1fm(P1t,P2t,…,Pnt/Φmt-1)f(P1t,P2t,…,Pnt/Φt-1)Φmt-1Φt-1tt-1Rnt=(P1,t-PI,t-1,