上海股票市场弱式有效性实证分析

运用现代投资分析理论与实证研究方法，对上海股票市场从１９９１年初～１９９６年底的市场弱式有效性进行了全面综合分析．对收益率正态分布检验的研究结果表明，上海股票市场收益率自１９９３年始已逐步趋向正态分布；对股价收益率序列相关检验的结果则显示，上海股票市场在１９９１年初～１９９２年底存在秩相关性，而自１９９３年初则开始呈现市场弱式有效特征．

Empirical Test of the Weak Form Efficiency in Shanghai Stock Market

This paper examines the weak form efficiency in Shanghai stock market from the beginning of 1991 to the end of 1996 by applying modern investment theories and empirical research method. The normal test shows that the return pattern has been tending to a normal distribution since 1993. The time series correlation test shows that, in 1991 and 1992, there is an obvious relationship in the return time series. But since 1993, obvious characters of weak form efficiency emerge in Shanghai stock market.