中国和印度股市的随机游走与市场有效性
Random walks and market efficiency in Chinese and Indian equity markets
摘要：
市场有效性假说是全球投资者持有多元化投资组合的一个重要概念。随着世界经济日益一体化，越来越多的人投资于全球新兴市场。这意味着，了解这些市场的效率是相关的。本文通过研究2008年全球金融危机和2015年中国金融危机对中国和印度新兴股票市场股票市场有效性的影响，检验了市场有效性。本文以孟买证券交易所（BSE 200）和上海证券交易所综合指数为样本，将20年的数据分为金融危机前（I期）、衰退期（II期）、衰退后中国金融危机前（III期）和中国金融危机爆发至今（IV期）四个阶段。在整个样本期和四个子期内，使用自相关检验、游程检验和单位根检验（增强的Dickey-Fuller）对SSE和BSE的每日收益进行了检查和随机性测试。所有这些检验的证据都支持印度和中国股票市场都没有表现出弱形式的市场有效性。它们总体上不遵循随机游走，在前三个时期（1996年至2015年），这意味着经济衰退在很大程度上没有影响市场，尽管在2008年全球金融危机之后，效率似乎在增加。
英文摘要：
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This means that it is pertinent to understand the efficiency of these markets. This paper tests for market efficiency by studying the impact of global financial crisis of 2008 and the recent Chinese crisis of 2015 on stock market efficiency in emerging stock markets of China and India. The data for last 20 years was collected from both Bombay Stock Exchange (BSE200) and the Shanghai Stock Exchange Composite Index and divided into four sub-periods, i.e. before financial crisis period (period-I), during recession (period-II), after recession and before Chinese Crisis (periodIII) and from the start of Chinese crisis till date (period- IV). Daily returns for the SSE and BSE were examined and tested for randomness using a combination of auto correlation tests, runs tests and unit root tests (Augmented Dickey-Fuller) for the entire sample period and the four sub-periods. The evidence from all these tests supports that both the Indian and Chinese stock markets do not exhibit weak form of market efficiency. They do not follow random walk overall and in the first three periods (1996 till the 2015) implying that recession did not impact the markets to a great extent, although the efficiency in percentage terms seems to be increasing after the global financial crisis of 2008.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
