股票市场指数的有效市场假说

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英文标题：
《On the Efficient Market Hypothesis of Stock Market Indexes: The Role of
  Non-synchronous Trading and Portfolio Effects》
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作者：
Roberto Ortiz, Mauricio Contreras and Marcelo Villena
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最新提交年份：
2015
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英文摘要：
  In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market efficiency, using the standard ratio variance test, considering over 1600 one week rolling windows. For the equally weighted index, the null hypothesis of random walk is rejected in the whole period, while for the weighted market value index, the null hypothesis start to be accepted from the 1990s. In order to explain this difference, we raised the hypothesis that this behavior can be explained by the joint action of portfolios and non-synchronous trading effects. To check the feasibility of the above assumption, we performed a simulation of both effects, on two- and six-asset portfolios. The results showed that it is possible to explain the empirical difference between the two index, almost entirely by the joint effects of portfolio and non-synchronous trading.
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中文摘要：
本文研究了1950年至2013年期间纽约证券交易所股票市场指数的长期行为。具体而言，考虑到1600多个一周滚动窗口，使用标准比率方差检验，从市场效率的角度分析CRSP值加权和CRSP等加权指数。对于等权指数，随机游走的零假设在整个时期内被拒绝，而对于加权市值指数，零假设从20世纪90年代开始被接受。为了解释这种差异，我们提出了一个假设，即这种行为可以通过投资组合的共同作用和非同步交易效应来解释。为了验证上述假设的可行性，我们对两种和六种资产组合进行了两种效应的模拟。结果表明，几乎完全通过投资组合和非同步交易的联合效应，可以解释两个指数之间的经验差异。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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关键词：有效市场假说 有效市场 市场指数 股票市场 股票市