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Chinese Journal of Management Science ›› 2003, Vol. ›› Issue (4): 1-4.

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The Weak Validity Test of ST Portfolio in Chinese Stock Market

CHENG Xi-jun, WU Zhen-xiang, ZHOU Hui   

  1. Management Department, University of Science and Technology of China, Hefei 230026, China
  • Received:2002-07-16 Revised:2003-06-30 Online:2003-08-28 Published:2012-03-06

Abstract: This paper introduces the weak validity test,and makes some empirical tests on the ST portfolio in Chinese stock market and some stock indices.We get the results that the stock indices and portfolio of ST pass the test,but some ST stocks can’t pass the test.

Key words: ST portfolio, weak validity of market, unit-root test, variance ratio

CLC Number: