对于弱式市场效率的测试 [2]
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论文字数:4903论文编号:org201511091615083759语种:英语 English地区:美国价格:免费论文
关键词:Weak-form Market Efficiency投资决策
摘要:本文测试了美国市场的弱式效率。每日和每月的回报都采用自相关分析,方差比测试和延迟测试的方法,最后,得出了三个结论。
gies Inc. (FARO), FEI Company (FEIC) and Fidelity Southern Corporation (LION) and two decile indices-the NYSE/AMEX/NASDAQ Index capitalisation based Deciles 1 and 10 (NAN D1 and NAN D10). Both daily and monthly data are employed here to detect any violation of the random walk hypothesis.
The remainder of the paper is structured in the following way. Section I provides a brief introduction of the three firms and two decile indices. Section II describes the data and discusses the
methodology used. Section III presents descriptive
statistics. Section IV is the result based on empirical analysis. Finally, section V concludes the paper.
I.企业-I. The Companies[1]
A. Faro Technologies Inc (FARO)
FARO Technologies is an instrument company whose principle activities include design and develop portable 3-D electronic systems for industrial applications in the manufacturing system. The company's principal products include the Faro Arm, Faro Scan Arm and Faro Gage articulated measuring devices. It mainly operates in the United States and Europe.
B. FEI Company (FEI)
FEI is a leading scientific instruments company which develops and manufactures diversified semiconductor equipments including electron microscopes and beam systems. It operates in four segments: NanoElectronics, NanoResearch and Industry, NanoBiology and Service and Components. With a 60-year history, it now has approximately 1800 employees and sells products to more than 50 countries around the world.
C. Fidelity Southern Corp. (LION)
Fidelity Southern Corp. is one of the largest community banks in metro Atlanta which provides a wide range of financial services including commercial and mortgage services to both corporate and personal customers. It also provides international trade services, trust services, credit card loans, and merchant services. The company provides financial products and services for business and retail customers primarily through branches and via internet.
D. NYSE/AMEX/NASDAQ Index
It is an index taken from the Center for Research in Security Prices (CRSP) which includes all common stocks listed on the NYSE, Amex, and NASDAQ National Market. The index is constructed by ranking all NYSE companies according to their market capitalization in the first place. They are then divided into 10 decile portfolios. Amex and NASDAQ stocks are then placed into the deciles based on NYSE breakpoints. The smallest and the largest firms based on market capitalization are placed into Decile 1 and Decile 10, respectively.
II.数据和分析方法-II. Data and Methodology
A. Data
Data for the three stocks and two decile indices in our study are all obtained from the Center for Research in Securities Prices database (CRSP) on both daily and monthly basis from January 2000 to December 2005. Returns are then computed on both basis, generating a total of 1507 daily observations and 71 monthly observations. The NYSE/AMEX/NASDAQ Index is CRSP Capitalisation-based so that Decile 1 and 10 represent the smallest and largest firms, respectively, based on market capitalisation. In addition, The Standard and Poors 500 Index (S&P 500) is used as a proxy for the market index. It is a valued-weighted index which incorporates the largest 500 stocks in US market. For comparison purposes, both con
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