基于NCT指标的股市噪音成分研究:以七个亚洲市场为例

Abstract

Abstract: Based on the variance-ratio test of Lo and Mackinlay(1988,1989),I construct a noise composition test(NCT) index in this paper and give an empirical test to seven Asian stock markets.I find the the markets of mainland of China and Thailand have more noise composition and are more inefficient.Meanwhile,the markets of Hong Kong,Taiwan,and Japan have a smaller noise composition and I cannot reject the zero hypothesis of price which is following a random walk.At last,I use the Bootstrap sample to re-estimate the previous results and find it is robust.

Key words: variance-ratio test, noise composition test(NCT), heteroskedasticity, Bootstrap

CLC Number:

F830

KONG Dong-min. Noise Composition Test of Stock Prices with NCT: Evidence from Seven Asian Stock Markets[J]. Chinese Journal of Management Science, 2005, (6): 6-10.

References

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Noise Composition Test of Stock Prices with NCT: Evidence from Seven Asian Stock Markets

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