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	Efficient Markets, Unit roots, and Non-linear Time Series Analysis
	Xiong Peng
	2012-04-24 ; 2012-04-24
关键词	Efficient Markets Unit roots Non-linear Time Series
中文摘要	The res earch analyze the efficient market hypotheses (EMH) in China's emerging capital market since its beginning. We do our study in two levels i.e, the price index change and individual stock price change. Unit roots hypotheses will be considered firstly. We find that we cannot reject the hypotheses that both are unit roots processes. However we suspect the power of the usual test. We give an example which can pass the test of unit roots but never be unit roots processes. Then we will rethink the essential imports of efficient market hypotheses and give another approach---nonlinear time series analysis. We will reveal the power law of absolute price change.
语种	英语
内容类型	期刊论文
源URL	[http://ir.calis.edu.cn/hdl/211010/3901]
专题	北京大学
推荐引用方式 GB/T 7714	Xiong Peng. Efficient Markets, Unit roots, and Non-linear Time Series Analysis[J],2012, 2012.
APA	Xiong Peng.(2012).Efficient Markets, Unit roots, and Non-linear Time Series Analysis..
MLA	Xiong Peng."Efficient Markets, Unit roots, and Non-linear Time Series Analysis".(2012).

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