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如果一个股票市场是属于Fama有效市场假设EMH
[40]
(Efficient Market Hypo thesis)
所说的弱式有效状态,那么任何根据股票价格序列数据去试图预测的努力都是多余的。因
为,今天的价格已经反映了昨天的价格。价格的变化,亦即收益只反映了未曾预期到的信
息,而信息是完全随机的,因此,收益序列也是完全随机的,不可预测。问题在于关于中国
股票市场收益序列的研究分析表明,收益序列绝非是完全互相独立的。它不但存在短期相
关性,而且还存在中长期相关性。因此,从预测的理论来讲,事件之间的相关性存在使得预
测可行。
-If the stock market is the weak efficient of Fama Efficient Market Hypothesis,then the any
hard work to forecast the stock price according to the price series is unisexual.Because today
price is shown by yesterday price.the change of the price,in other word,the interest only display
the information which was un-predictable,but information is completely random,so,the
interest series is random,which is un-predictable too.But the study of China stock market
interest series shows that the interest series is not independent at all.They not only have
short-term correlation,also have long-term correlation.So,according to the forecasting theory,
the correlation make the forecast feasible.
[40]
(Efficient Market Hypo thesis)
所说的弱式有效状态,那么任何根据股票价格序列数据去试图预测的努力都是多余的。因
为,今天的价格已经反映了昨天的价格。价格的变化,亦即收益只反映了未曾预期到的信
息,而信息是完全随机的,因此,收益序列也是完全随机的,不可预测。问题在于关于中国
股票市场收益序列的研究分析表明,收益序列绝非是完全互相独立的。它不但存在短期相
关性,而且还存在中长期相关性。因此,从预测的理论来讲,事件之间的相关性存在使得预
测可行。
-If the stock market is the weak efficient of Fama Efficient Market Hypothesis,then the any
hard work to forecast the stock price according to the price series is unisexual.Because today
price is shown by yesterday price.the change of the price,in other word,the interest only display
the information which was un-predictable,but information is completely random,so,the
interest series is random,which is un-predictable too.But the study of China stock market
interest series shows that the interest series is not independent at all.They not only have
short-term correlation,also have long-term correlation.So,according to the forecasting theory,
the correlation make the forecast feasible.
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