| 我国股市收益率非线性下的随机游走检验 |
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| 引用本文： | 王玉芳,刘志新.我国股市收益率非线性下的随机游走检验[J].预测,1999,18(6):33-36. |
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| 作者姓名： | 王玉芳 刘志新 |
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| 作者单位： | 北京航空航天大学管理学院!北京100083 |
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| 基金项目： | 国家自然科学基金!资助项目（79600004） |
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| 摘 要： | 在对中国股市收益率的分布和独立性进行检验后，我们发现该收益率序列不独立、不服从正态分布且存在显著的非线性关系。随后我们运用乘积过程模型对中国股市收益率在非线性模型下的随机游走假设进行了检验，认为中国股市收益率服从随机游走假设。
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| 关 键 词： | 随机游走 非线性 股市收益率 检验 中国 |
Testing the Random Walk Hypothesis under Nonlinear Process for China Stock Returns |
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| WANG Yu fang,LIU Zhi xin.Testing the Random Walk Hypothesis under Nonlinear Process for China Stock Returns[J].Forecasting,1999,18(6):33-36. |
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| Authors: | WANG Yu fang LIU Zhi xin |
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| Institution: | Beijing University of Aeronautics and Astronautics 100083 |
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| Abstract: | Having been computed the test statistics of the time series of stock index retun, it is found that the hypothesis that the distribution of the retum is normally distributed is not supported. Based on the definition of the random walk hypothesis under the nonlinear structure, we use the product process model to test the random walk hypothesis. |
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| Keywords: | random walk product process model nonlinear |
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