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中国股票市场弱有效性的统计套利检验
吴振翔; 陈敏
2007
Source Publication系统工程理论与实践
ISSN1000-6788
Volume027Issue:002Pages:92
Abstract简要介绍了统计套利的概念,并在Hogan等(2004)的基础上,采用证伪的方式来验证市场的有效性:只要有统计套利的存在,就与有效市场假定相违背.利用这种方法,还对我国A股市场的弱有效性加以检验,发现我国A股市场弱有效性不成立.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/45372
Collection应用数学研究所
Affiliation中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
吴振翔,陈敏. 中国股票市场弱有效性的统计套利检验[J]. 系统工程理论与实践,2007,027(002):92.
APA 吴振翔,&陈敏.(2007).中国股票市场弱有效性的统计套利检验.系统工程理论与实践,027(002),92.
MLA 吴振翔,et al."中国股票市场弱有效性的统计套利检验".系统工程理论与实践 027.002(2007):92.
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