昆明学院学报
昆明學院學報
곤명학원학보
JOURNAL OF KUNMING UNIVERSITY
2014年
1期
90-95
,共6页
股票%亚洲股市%市场有效性%方差比检验%成熟市场%新兴市场
股票%亞洲股市%市場有效性%方差比檢驗%成熟市場%新興市場
고표%아주고시%시장유효성%방차비검험%성숙시장%신흥시장
stock%Asian stock markets%market efficiency%variance ratio tests%developed market%emerging market
以亚洲数个股票市场（中国大陆、中国台湾、中国香港、韩国、印度、日本、泰国、马来西亚）的主板指数为样本，将滑动窗口与方差比检验相结合，比较各市场的有效性变化情况，结果与分析显示：不同市场的有效性波动不一致；市场有效性往往在政策出台后出现大幅波动；新兴市场可以通过不断学习成熟市场的体制、出台相应的政策，以此提高自身市场有效性，缩短与成熟市场的差距。
以亞洲數箇股票市場（中國大陸、中國檯灣、中國香港、韓國、印度、日本、泰國、馬來西亞）的主闆指數為樣本，將滑動窗口與方差比檢驗相結閤，比較各市場的有效性變化情況，結果與分析顯示：不同市場的有效性波動不一緻；市場有效性往往在政策齣檯後齣現大幅波動；新興市場可以通過不斷學習成熟市場的體製、齣檯相應的政策，以此提高自身市場有效性，縮短與成熟市場的差距。
이아주수개고표시장（중국대륙、중국태만、중국향항、한국、인도、일본、태국、마래서아）적주판지수위양본，장활동창구여방차비검험상결합，비교각시장적유효성변화정황，결과여분석현시：불동시장적유효성파동불일치；시장유효성왕왕재정책출태후출현대폭파동；신흥시장가이통과불단학습성숙시장적체제、출태상응적정책，이차제고자신시장유효성，축단여성숙시장적차거。
This paper takes the multiple variance ratio tests from several Asian stock markets (Mainland China,China Taiwan,China Hongkong,Korea,India,Japan,Thailand and Malaysia)as the samples to investigate their efficiency.In order to research the effi-cient fluctuation of different markets,the variance ratio tests are based on slide window.The result shows that the fluctuation of each market efficiency is different,and the market efficiency usually changes after interference the markets from the government.While,we also detect that by learning the regime of developed market,the emerging market can shorten the gap by introducing the policies which people learn from the developed market.
