摘要
简要介绍了统计套利的概念,并在Hogan等(2004)的基础上,采用证伪的方式来验证市场的有效性:只要有统计套利的存在,就与有效市场假定相违背.利用这种方法,还对我国A股市场的弱有效性加以检验,发现我国A股市场弱有效性不成立.
In this paper, the concept of statistical arbitrage is introduced. Based on the work of Hogan, etc（2004）, the statistical arbitrage is used in testing the efficiency of market. The existence of statistical arbitrage is conflicting with the efficient market. By testing the weak efficiency of Chinese A-share market in this paper, the conclusion that Chinese A-share market not be weak efficiency is made.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2007年第2期92-98,共7页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70221001
70331001)
关键词
统计套利
市场有效
证券市场
statistical arbitrage
market efficiency
stock market
