欧洲股票市场是否有效？分形分析的新证据
Are European equity markets efficient? New evidence from fractal analysis
摘要：
对欧洲七个国家和美国的股票市场指数进行了分形分析。我们发现证据的长期依赖性的日志返回序列的Mibtel（意大利）和PX全球（捷克共和国）。长期相关性意味着对数回报中的可预测模式不会很快消失，因此可能会产生潜在的套利机会。因此，这些结果与有效市场假说相矛盾。我们发现，纠正短期依赖，或预过滤，可能会处理真正的长期依赖，这表明市场是有效的情况下，它不是。预滤波并不显著降低检验的功效，仅适用于赫斯特指数（长范围依赖性的度量）位于无长范围依赖性的边界之外的情况。对于临界情况，预过滤程序降低了测试的功效。另一方面，不存在预过滤不会导致显著过大的测试。
英文摘要：
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range dependence implies that predictable patterns in the log returns do not dissipate quickly, and may therefore produce potential arbitrage opportunities. Therefore, these results are in contravention of the Efficient Market Hypothesis. We show that correcting for short range dependence, or prefiltering, may dispose of genuine long range dependence, suggesting that the market is efficient in cases when it is not. Prefiltering does not reduce significantly the power of the tests only for cases for which the Hurst exponent (a measure of the long range dependence) lies well outside the boundaries of no long range dependence. For borderline cases, the prefiltering procedure reduces the power of the test. On the other hand, the absence of prefiltering does not result in a test that is significantly oversized.
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