适应性市场假说及其在中国资本市场的实证

发布时间：2018-02-02 23:08

本文关键词： 适应性市场假说动态市场效率时变贝塔交易策略演变　出处：《管理科学学报》2017年06期 　论文类型：期刊论文

【摘要】：金融危机近些年爆发频繁,传统市场理论如有效市场假说和行为金融面对复杂的现实金融世界未能给出合理解释.Lo提出的适应性市场假说则弥合了这两个学派的分歧,逐渐引起了学术界的重视.本文尝试从动态市场效率、时变贝塔和技术交易策略演变这三个角度对适应性市场假说能否解释我国资本市场进行实证研究.研究发现:我国股票市场效率在动态变化,无效的时段与金融危机或政策巨变等重大事件联系密切;股市风格指数贝塔随市场环境变化而改变;技术交易策略绩效随投资者适应环境变化而演变.研究结果表明,适应性市场假说相比有效市场假说和经典资本资产定价模型,能够更好地解释我国资本市场上述现象.最后对投资者如何根据市场环境变化制定适应性投资策略给出几点建议.
[Abstract]:Financial crises have erupted frequently in recent years. Traditional market theory such as efficient market hypothesis and behavioral finance in the face of the complex reality of the financial world failed to give a reasonable explanation. Lo proposed the adaptive market hypothesis to bridge the differences between the two schools. Gradually attracted the attention of the academic community. This paper attempts from the dynamic market efficiency. From the perspective of time-varying beta and the evolution of technology trading strategy, this paper makes an empirical study on whether the adaptive market hypothesis can explain China's capital market. The study finds that the efficiency of China's stock market is changing dynamically. The invalid period is closely related to major events such as financial crisis or policy change; The market style index beta changes with the change of market environment; The results show that the adaptive market hypothesis compares with the efficient market hypothesis and the classical capital asset pricing model. Finally, some suggestions are given on how to formulate adaptive investment strategy according to the changes of market environment.
【作者单位】：重庆大学经济与工商管理学院;
【基金】：国家自然科学基金资助重点项目(71232004)
【分类号】：F832.51
【正文快照】： 0引言有效市场假说(EMH)作为经典金融理论的基础,自Fama[1]提出以来,已经走过了近50年的历程.但是许多学者发现了大量与有效市场假说相悖离的金融异象,并形成了关注人类交易心理和行为的金融学分支—行为金融学.不过市场似乎也并不像行为金融理解得那样持续无效,许多金融异象

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