对于弱式市场效率的测试 [4]
论文作者:www.51lunwen.org论文属性:课程作业 Coursework登出时间:2015-11-13编辑:chenyuting点击率:11778
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。
c behind this is that a stock which is slow to incorporate market information is less efficient than a stock which responds quickly to market movements.
S&P 500 index is employed in delay test to examine the sensitivity of stock returns to market information. For each stock and decile index, both restricted and unrestricted models are estimated from January 2000 to December 2005. The unrestricted model is given by:
(4) where is the log-return on stock i at time t; is the market log-return (return for S&P 500 index) at time t; is the lagged market return; is the coefficient on the lagged market return; and is the lag which is 1, 2, 3, 4 for the daily data and 1, 2, 3 for the monthly data. The restricted model is as follows which sets all to be zero:
(5) Delay is then calculated based on adjusted R-squares from above regressions as follows:
(6) An alternative scaled measure of delay is given by:
(7) Both measures are reported in a way that the larger the calculated delay value, the more return variation is explained by lagged market returns and thus the more delayed response to the market information.
III.描述统计学-III. Descriptive Statistics
A. Daily frequencies
Table I shows the summary statistic of daily returns for the three stocks and two decile indices. The highest mean return is for FARO (0.0012), whereas the lowest mean return is for NAN D10 (0.0000). In terms of median return, NAN D1 (0.0015) outperforms all the other stocks. Both the highest maximum return and the lowest minimum return (0.2998 and -0.2184, respectively) are for FARO, corresponding to its highest standard deviation (0.0485) among all, indicating that FARO is the most volatile in returns. On the other hand, both the lowest maximum return and highest minimum return (0.0543 and -0.0675, respectively) are for NAN D10. However NAN D10 is only the second least volatile, while the lowest standard deviation is for NAN D1 (0.0108). Figure 1 and 2 presents the price level of the most and least volatile index (stock). All the above observations remain true if we change from log-return basis to a simple return basis.
In terms of the degree of asymmetry of the return distributions, all stocks and indices are positively skewed, with the only exception of NAN D1. The positive skewness implies that more extreme values are in the right tail of the distribution, i.e. stocks are more likely to have times when performance is extremely good. On the other hand, NAN D1 is slightly negatively skewed, which means that returns are more likely to be lower that what is expected by normal distribution. In measuring the 'peakedness' of return distributions, positive excess kurtosis is observed in all stocks and indices, also known as a leptokurtic distribution, which means that returns either cluster around the mean or disperse in the two ends of the distribution. All the above observations can be used to conclusively reject the null hypothesis that daily returns are normally distributed. What' more, results from Jarque-Bera test provide supportive evidence for rejection of the normality hypothesis at all significant levels for all stocks and indices.
B. Monthly frequencies
Descriptive statistics of monthly returns are likewise presented in Table II. Most of the above conclusions reached for daily returns are
本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。