英语论文网

对于弱式市场效率的测试

Measuring Weak-form Market Efficiency

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。首先，安全回报率在一定程度上是可以预测的。虽然个人股票回报率呈现很弱的负相关性并难以预测，但是市场的指数最近的优秀表现体现出积极的相关性，并提供更多的可预测获利机会。其次，月回报比日回报率的随机性低一点，因此也效率也相对低一点。最后，弱式效率不一定是坏的。投资者承担风险的同时也应获得一定程度的可预测性。

有效市场假说（EMH），也被称为“信息效率”， 指的是在股票价格某种程度上可以推断出一些信息。这一概念是非常重要，它帮助投资者明白怎样投资才最安全，以便于他们作出明智的投资决策。据Fama（1970）所说，有三种形式的市场效率：弱，半强和强。它们在股票价格的信息方面有所不同。弱式效率假定股票价格已经包含了过去所有的交易信息。因此，对过去股票价格的技术分析将对获得超额回报的帮助不会很大。在半强式效率将信息设置延伸至所有的公开信息，不仅包括过去的交易信息，也包括公司前景的基本数据信息。 因此，无论是技术分析还是基础分析都不能产生异常报酬。

摘要-ABSTRACT

This paper tests weak-form efficiency in the U.S. market. Both daily and monthly returns are employed for autocorrelation analysis, variance ratio tests and delay tests. Three conclusions are reached. Firstly, security returns are predictable to some extent. While individual stock returns are weakly negatively correlated and difficult to predict, market-wide indices with outstanding recent performance show a positive autocorrelation and offer more predictable profit opportunities. Secondly, monthly returns follow random walk better than daily returns and are thus more weak-form efficient. Finally, weak-form inefficiency is not necessarily bad. Investors should be rewarded a certain degree of predictability for bearing risks.

Efficient market hypothesis (EMH), also known as 'information efficiency', refers to the extent to which stock prices incorporate all available information. The notion is important in helping investors to understand security behaviour so as to make wise investment decisions. According to Fama (1970), there are three versions of market efficiency: the weak, semistrong, and strong form. They differ with respect to the information that is incorporated in the stock prices. The weak form efficiency assumes that stock prices already incorporate all past trading information. Therefore, technical analysis on past stock prices will not be helpful in gaining abnormal returns. The semistrong form efficiency extends the information set to all publicly available information including not only past trading information but also fundamental data on firm prospects. Therefore, neither technical analysis nor fundamental analysis will be able to produce abnormal returns. Strong form efficiency differs from the above two in stating that stock prices not only reflect publicly available information but also private inside information. However, this form of market efficiency is always rejected by empirical evidence.

If weak-form efficiency holds true, the information contained in past stock price will be completely and instantly reflected in the current price. Under such condition, no pattern can be observed in stock prices. In other words, stock prices tend to follow a random walk model. Therefore, the test of weak-form market efficiency is actually a test of random walk but not vice versa. The more efficient the market is, the more random are the stock prices, and efforts by fund managers to exploit past price history will not be profitable since future prices are completely unpredictable. Therefore, measuring weak-form efficiency is crucial not only in academic research but also in practice because it affects trading strategies.

This paper primarily tests the weak-form efficiency for three stocks-Faro Technolo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。