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利用最近几年的数据和EVIEWS软件分析了中国证券市场的有效性及波动性,使用经典线性回归方程做了时间序列回归和横截面回归。并且依次放松假设,采用WHITE检验和Glejser检验分析了股票收益率的异方差问题;采用DW检验及Breusch-Godfrey检验分析了股票收益率的自相关问题等;还采用DF检验了时间序列的平稳性。接着对股市的弱式有效假说予以检验,最后使用ARCH、GARCH模型对我国股市做波动性检验。
Using the data of recent years and EVIEWS software, the paper analyzes the validity and volatility of China’s securities market. Using the classical linear regression equation, time series regression and cross-section regression are done. And then relax the hypothesis, using the WHITE test and Glejser test analysis of heteroscedasticity of stock returns; using the DW test and Breusch-Godfrey test analysis of the stock returns autocorrelation; also used DF to test the stability of the time series . Then we test the weakness hypothesis of the stock market. Finally, we use the ARCH and GARCH models to test the volatility of our stock market.