识别股票市场中 Benford 定律成立与市场有效性之间的隐藏联系：一项实证研究
Identifying the Hidden Nexus between Benford Law Establishment in Stock Market and Market Efficiency: An Empirical Investigation
AI总结：
本研究以华沙证券交易所为对象，基于 Benford 定律依赖数据随机性的前提，结合卡方检验证明股价不满足该定律，并将其原因归因于市场无效。
摘要：
Benford 定律，或称首位有效数字定律，因其在金融领域（尤其是会计和审计）的独特应用而受到大量研究。然而，探讨该定律在股票市场中是否成立的研究通常得出结论：股票价格不符合其潜在分布。本研究强调数据随机性是 Benford 定律的基础假设，并对华沙证券交易所进行了实证调查。结果表明，由于股票价格并非随机分布，该定律在股票市场中无法成立。此外，卡方拟合优度检验也支持所得结果。研究进一步讨论认为，随机性的缺失源于市场无效。换言之，违反有效市场假说导致了时间序列的非随机性，并使 Benford 定律无法成立。
英文摘要：
Benford's law, or the law of the first significant digit, has been subjected to numerous studies due to its unique applications in financial fields, especially accounting and auditing. However, studies that addressed the law's establishment in the stock markets generally concluded that stock prices do not comply with the underlying distribution. The present research, emphasizing data randomness as the underlying assumption of Benford's law, has conducted an empirical investigation of the Warsaw Stock Exchange. The outcomes demonstrated that since stock prices are not distributed randomly, the law cannot be held in the stock market. Besides, the Chi-square goodness-of-fit test also supported the obtained results. Moreover, it is discussed that the lack of randomness originated from market inefficiency. In other words, violating the efficient market hypothesis has caused the time series non-randomness and the failure to establish Benford's law.
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