中国股市弱有效吗?——来自数据挖掘的实证研究

Abstract

Abstract: Most test methods on stock market efficiency are based on some statistical models from a whole viewpoint and can’t discover some predictive local patterns.Thus,the conclusion of"market is efficient"may be trustless.This paper applies a new time series data mining method——TSEOPM to detect local omen patterns,and verifies weak-form efficiency of China stock markets.The result indicates local patterns mined by TSEOPM can bring excess returns."Stock markets of China are not weak-form efficient"is concluded.

Key words: stock, efficient market, data mining, time series

CLC Number:

F830

LAN Qiu-jun, MA Chao-qun, GAN Guo-jun, WU Jian-hong. Are Stock Markets of China Weak-Form Efficient?——A Research from Data Mining[J]. Chinese Journal of Management Science, 2005, (4): 17-23.

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Are Stock Markets of China Weak-Form Efficient?——A Research from Data Mining

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