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作为中国经济改革的重要组成部分,中国股票市场已经运行了二十多年,在我国股市的发展历程中,暴露的问题有庄家操作股市损害中小股民利益,上市公司圈钱,资金挪用,上市公司造假欺骗投资者等。股票市场的价格预测功能出现紊乱,资产价格脱离了其内在的真实价值,导致股票市场的其他功能也无法正常发挥。因此,本文基于均值复归的理论前提下,对我国股市的股票收益率序列的可预测性进行实证研究,为提高其市场效率以及为我国众多投资者提供更科学可靠的投资依据,使得我国股市能更加健康顺利的运行。
As an important part of China’s economic reform, China’s stock market has been in operation for more than 20 years. In the course of the development of the stock market in our country, the problems exposed include the bankruptcy of the stock market by the dealer’s operation, the misappropriation of listed companies, misappropriation of funds by listed companies, Fake cheating investors. The price forecast function of the stock market appears disorder, the asset price deviates from its intrinsic value, and the other functions of the stock market also can not function normally. Therefore, based on the theory of mean-reversion, this paper conducts an empirical study on the predictability of the stock returns series in China’s stock market. In order to improve its market efficiency and provide more scientific and reliable investment basis for many Chinese investors, More healthy and smooth operation.