对中国股票市场弱有效性的研究
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摘要
通过对基于技术分析的交易策略的有效性进行分析,系统的研究了我国股票市场的弱有效性问题,并比较了我国与其他国家股票市场在弱有效性上的差异。本文的研究主要分为两部分：第一部分研究了交易策略在股票市场指数上的表现。通过策略条件收益率的分布、均值以及无利润交易费率来判断股票市场的有效性,同时使用标准化后的无利润交易费率作为相对弱有效性的代理变量,对股票市场的弱有效性进行了排序,并研究近十几年来我国相对弱有效性的变化情况；第二部分研究了交易策略在股票个股上的表现,以及以交易策略为基础的投资组合的表现。该部分的研究都基于“无卖空、无借贷”的假设,同时使用真实的交易费率和无风险利率。
研究结果表明我国股票市场在绝对、相对以及趋势三种层次均未达到弱有效。在“无卖空、无交易费用”的情况下所有交易策略均能获得超越市场指数的收益,在“无卖空、有交易费用”的条件下,以夏普比率度量,基于可变移动平均策略的投资组合在全部考察期间均战胜了基准市场组合；在包括25个国家28个股票指数的相对弱有效性比较重,我国的沪深市场分别居于弱有效的倒数第4位和第3位,仅略高于马来西亚和新加坡；在1998年至2009年的考察期间内,策略投资组合的夏普比率相较市场指数在显著提高,同期相对弱有效性排名则显著降低,并在考察期的最后三年里下降至倒数第一
Through the analysis of validity of trading rule based on technical analysis, we systematically study the weak-form efficiecny of China's stock market and compare it with other countries.
This study is divided into two parts and the first part is about trading rule's performance on the stock market index, which is determined by the conditional distribution and mean of return and the'non-profit-transaction-rate'.While the non-profit-transaction-rate is also used as a proxy for the relatively weak-form efficieny in its standardized form.The second part are focused on the performance of trading-rule on individual stock.Study on validity and effectiveness of portfolio based on trading rule is also performed.This part of the study is based on the'no short, no borrowing' hypothesis, using actual transaction rates and risk-free interest rate.
Our empirical results,show that China's stock markets haven't reached the weak-form efficiency in terms of absolute return of trading-rule,relative efficiency or trend of efficiency. Under the condition of 'no transcation cost, no short', all trading-rules get return beyond the index. While the variable moving average rules can defeat the benchmark in the whole inspection period, using Sharpe ratio for measure.In 28 indices, which belong to 25 countries, the ranks of weak-form efficiency of Shenzhen and Shanghai markets are last 3rd and last 4th, only higher than Malaysia and Singapore.In 1998 to 2009 period, the trading-rule's relative performaces in China increased significantly and China's efficiency rank dropped severely, even to the last 1st in the last sub-period from 2006 to 2009.
研究结果表明我国股票市场在绝对、相对以及趋势三种层次均未达到弱有效。在“无卖空、无交易费用”的情况下所有交易策略均能获得超越市场指数的收益,在“无卖空、有交易费用”的条件下,以夏普比率度量,基于可变移动平均策略的投资组合在全部考察期间均战胜了基准市场组合；在包括25个国家28个股票指数的相对弱有效性比较重,我国的沪深市场分别居于弱有效的倒数第4位和第3位,仅略高于马来西亚和新加坡；在1998年至2009年的考察期间内,策略投资组合的夏普比率相较市场指数在显著提高,同期相对弱有效性排名则显著降低,并在考察期的最后三年里下降至倒数第一
Through the analysis of validity of trading rule based on technical analysis, we systematically study the weak-form efficiecny of China's stock market and compare it with other countries.
This study is divided into two parts and the first part is about trading rule's performance on the stock market index, which is determined by the conditional distribution and mean of return and the'non-profit-transaction-rate'.While the non-profit-transaction-rate is also used as a proxy for the relatively weak-form efficieny in its standardized form.The second part are focused on the performance of trading-rule on individual stock.Study on validity and effectiveness of portfolio based on trading rule is also performed.This part of the study is based on the'no short, no borrowing' hypothesis, using actual transaction rates and risk-free interest rate.
Our empirical results,show that China's stock markets haven't reached the weak-form efficiency in terms of absolute return of trading-rule,relative efficiency or trend of efficiency. Under the condition of 'no transcation cost, no short', all trading-rules get return beyond the index. While the variable moving average rules can defeat the benchmark in the whole inspection period, using Sharpe ratio for measure.In 28 indices, which belong to 25 countries, the ranks of weak-form efficiency of Shenzhen and Shanghai markets are last 3rd and last 4th, only higher than Malaysia and Singapore.In 1998 to 2009 period, the trading-rule's relative performaces in China increased significantly and China's efficiency rank dropped severely, even to the last 1st in the last sub-period from 2006 to 2009.
引文
[1]Alexander, S.S.,Price Movements in Speculative Markets:Trends or Random Walks, Industrial Management Review,2(May 1961),pp.7-26.
[2]Bessembinder, H.,and K. Chan, "Market Efficiency and the Returns to Technical Analysis," Financial Management,27, no.2(Winter 1998),pp.5-17.
[3]Brock, W., J.Lakonishok, and B.LeBaron(1992).Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance,47, no.5(December 1992),pp.1731-1764.
[4]Coutts, J.A., and Kwong C. Cheung, Trading Rules and Stock Returns:Some Preliminary Short Run Evidence from the Hang Seng 1985-1997, Applied Financial Economics,10, no.6(November 2000),pp.579-586.
[5]Gunasekarage, A., and Powerb, D.M, The profitability of moving average trading rules in South Asian stock markets, Emerging Markets Review,2(2001),pp.17-33
[6]Fama, Eugene(1965).The Behavior of Stock Market Prices. Journal of Business 38: 34-105.
[7]Fama,E.F., and Marshall Blume(1996).Filter Rules and Stock Market Trading Profits, Journal of Business,39, no.1(January 1966), pp.226-241.
[8]Fama, Eugene(1970).Efficient Capital Markets:A Review of Theory and Empirical Work. Journal of Finance 25:383-417.doi:10.2307/2325486
[9]Jensen, M.C.(1967)Random Walks:Reality or Myth?-Comment, Financial Analysts Journal,23(November/December 1967), pp.77-85.
[10]Jensen, M.C., and G.Bennington, Random Walks and Technical Theories:Some Additional Evidences, Journal of Finance,25(May 1970),pp.469-482.
[11]Lai, Ming-Ming, K. Guru Balachandher, and Fauzias Mat Nor, "An Examination of the Random Walk Model and Technical Trading Rules in the Malaysian Stock Market," Quarterly Journal of Business and Economics,41, nos.1 and 2 (Winter 2003),pp. 81-104.
[12]Levy, R.A., Random Walks:Reality or Myth? Financial Analysts Journal,23, no. 6(November-December 1967),pp.69-77.
[13]Lo, A.W., Mamaysky, H.and Wang, J.,Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation. Journal of Finance,55, no.4(2000),pp.1705-1765.
[14]Markowitz, H.M.(1952)Portfolio Selection,Journal of Finance,7,77-91
[15]Markowitz, H.M.(1959) Portfolio Selection:Efficient Diversification of Investments, Wiley, New York, NY.
[16]Nauzer J.Balsara, Gary Chen and Lin Zheng(2007).The Chinese Stock Market:An Examination of the Random Walk Model and Technical Trading Rules, The Quarterly Journal of Business and Economics, Spring 2007
[17]Peters, Edgar E.,(1994).Fractal Market analysis:applying chaos theory to investment and economics.
[18]Ross, S.A.(1976) The arbitrage theory of capital asset pricing, Journal of Economic Theory,13,341-60.
[19]Sharpe, W.F.(1964) Capital asset prices:a theory of market equilibrium under conditions of risk,Journal of Finance,19,425-42.
[20]Sullivan, R.,Timmermann, A.and White, H.Data-snooping, technical trading rule performance, and the bootstrap.Journal of Finance,54(5),pp.1647-1691
[21]Sweeney, R.,Some New Filter Rule Tests:Methods and Results, Journal of Financial and Quantitative Analysis,23, no.3 (September 1988),pp.285-300.
[22]俞乔.市场有效、周期异常与股价波动[J].经济研究,1994,(09).
[23]宋颂兴,金伟根.上海股市市场有效实证研究[J].经济学家,1995,(04).
[24]陈小悦,陈晓,顾斌.中国股市弱式效率的实证研究.[J]会计研究,1997,(9)
[25]胡朝霞.中国股市弱式有效性研究[J].投资研究,1998,(1)
[26]张亦春,周颖刚.中国股市弱式有效吗?[J].金融研究,2001,(03).
[27]张兵,李晓明.中国股票市场的渐进有效性研究[J].经济研究,2003,(01).
[28]孙碧波,方健雯.对中国证券市场弱态有效性的检验[J].上海财经大学学报,2004,(12)
[29]王若凡.沪、港、澳股市有效性比较研究[D].南京：南京理工大学,2009：
[2]Bessembinder, H.,and K. Chan, "Market Efficiency and the Returns to Technical Analysis," Financial Management,27, no.2(Winter 1998),pp.5-17.
[3]Brock, W., J.Lakonishok, and B.LeBaron(1992).Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance,47, no.5(December 1992),pp.1731-1764.
[4]Coutts, J.A., and Kwong C. Cheung, Trading Rules and Stock Returns:Some Preliminary Short Run Evidence from the Hang Seng 1985-1997, Applied Financial Economics,10, no.6(November 2000),pp.579-586.
[5]Gunasekarage, A., and Powerb, D.M, The profitability of moving average trading rules in South Asian stock markets, Emerging Markets Review,2(2001),pp.17-33
[6]Fama, Eugene(1965).The Behavior of Stock Market Prices. Journal of Business 38: 34-105.
[7]Fama,E.F., and Marshall Blume(1996).Filter Rules and Stock Market Trading Profits, Journal of Business,39, no.1(January 1966), pp.226-241.
[8]Fama, Eugene(1970).Efficient Capital Markets:A Review of Theory and Empirical Work. Journal of Finance 25:383-417.doi:10.2307/2325486
[9]Jensen, M.C.(1967)Random Walks:Reality or Myth?-Comment, Financial Analysts Journal,23(November/December 1967), pp.77-85.
[10]Jensen, M.C., and G.Bennington, Random Walks and Technical Theories:Some Additional Evidences, Journal of Finance,25(May 1970),pp.469-482.
[11]Lai, Ming-Ming, K. Guru Balachandher, and Fauzias Mat Nor, "An Examination of the Random Walk Model and Technical Trading Rules in the Malaysian Stock Market," Quarterly Journal of Business and Economics,41, nos.1 and 2 (Winter 2003),pp. 81-104.
[12]Levy, R.A., Random Walks:Reality or Myth? Financial Analysts Journal,23, no. 6(November-December 1967),pp.69-77.
[13]Lo, A.W., Mamaysky, H.and Wang, J.,Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation. Journal of Finance,55, no.4(2000),pp.1705-1765.
[14]Markowitz, H.M.(1952)Portfolio Selection,Journal of Finance,7,77-91
[15]Markowitz, H.M.(1959) Portfolio Selection:Efficient Diversification of Investments, Wiley, New York, NY.
[16]Nauzer J.Balsara, Gary Chen and Lin Zheng(2007).The Chinese Stock Market:An Examination of the Random Walk Model and Technical Trading Rules, The Quarterly Journal of Business and Economics, Spring 2007
[17]Peters, Edgar E.,(1994).Fractal Market analysis:applying chaos theory to investment and economics.
[18]Ross, S.A.(1976) The arbitrage theory of capital asset pricing, Journal of Economic Theory,13,341-60.
[19]Sharpe, W.F.(1964) Capital asset prices:a theory of market equilibrium under conditions of risk,Journal of Finance,19,425-42.
[20]Sullivan, R.,Timmermann, A.and White, H.Data-snooping, technical trading rule performance, and the bootstrap.Journal of Finance,54(5),pp.1647-1691
[21]Sweeney, R.,Some New Filter Rule Tests:Methods and Results, Journal of Financial and Quantitative Analysis,23, no.3 (September 1988),pp.285-300.
[22]俞乔.市场有效、周期异常与股价波动[J].经济研究,1994,(09).
[23]宋颂兴,金伟根.上海股市市场有效实证研究[J].经济学家,1995,(04).
[24]陈小悦,陈晓,顾斌.中国股市弱式效率的实证研究.[J]会计研究,1997,(9)
[25]胡朝霞.中国股市弱式有效性研究[J].投资研究,1998,(1)
[26]张亦春,周颖刚.中国股市弱式有效吗?[J].金融研究,2001,(03).
[27]张兵,李晓明.中国股票市场的渐进有效性研究[J].经济研究,2003,(01).
[28]孙碧波,方健雯.对中国证券市场弱态有效性的检验[J].上海财经大学学报,2004,(12)
[29]王若凡.沪、港、澳股市有效性比较研究[D].南京：南京理工大学,2009：