理论的研究仅仅是刚刚起步,未来需要做的事情一定很多 2、均值回归必然具有不对称性,因为,正的收益与负的收益回归的幅度与速度不可能一样。因 为它们之间并没有必然的联系,回归的幅度与速度也具有随机性。对称的均值回归才是不正常的、 偶然的,这一点也被实证检验所证明。 3、均值回归理论与政府行为。股票收益率均值回归证明市场不会偏离价值中枢时间太久,市场 的内在力量会促使其向内在价值回归。从这一点上讲,市场在没有政府利多或利空政策的作用下也 会实现有效的目标,即股票价格会在市场机制的作用下自然的向均值回归。但这并不否定政府行为 对促进市场有效性的作用,因为市场偏离内在价值后并不等于立即就会向内在价值回归,很可能会 出现持续地均值回避。政府行为会起到抑制市场无效和促进市场有效的作用。在促进市场有效方面 政府行为是必不可少的因素之一,市场失灵是政府参与调控的直接理由。 参考文献 [1] Balvers R, Wu Y, Gilliland E Mean reversion across national stock markets and parametric contrarian investment strategies[J] Journal of Finance 2000, 55: 745-772 [2] Cochrane J H. How big is the random walk in GNP? [J]. Journal of Political Economy 1988, 95: 1062-1088 [3] Dimitrios Malliaropulos, Richard Priestley. Mean reversion in Southeast Asian stock[J]. markets Journal of Empirical Finance, 1999(6): 355-384 [4] Fama E, French K Permanent and temporary components of stock prices[J] Journal of Political Economy, 1988,96:246-273 [5] Gangopadhyay P, Reinganum M. Interpreting mean reversion in stock returns[J]. Quarterly Review of Economics and Finance. 1996. 36: 377-394 [6] Jeffrey Gropp Mean reversion of industry stock returns in the U.S., 1926-1998[J] Journal of Empirical Finance 2004(11):537-551 [7 Jegadeesh N. Seasonality in stock price mean reversion: evidence from the U.S. and the U. K[J] Journal of Finance.1991.46:1427-1444 [8] Kausik Chaudhuri, Yangru Wu Random walk versus breaking trend in stock prices Evidence from emerging markets[J] Journal of Banking Finance, 2003, 27: 575-592 [9] Kim M, Nelson C, Startz R Mean reversion in stock prices? A reappraisal of the empirical evidence[J. Review of Economic studies 1991 58 515-528 [10]Kiseok Nam, Chong Soo Pyun, Augustine C. Arize, 2002. Asymmetric mean-reversion and contrarian profits ANST-GARCH approach Journal of Empirical Finance 9, 563-588 [11]Kiseok Nam, Chong Soo Pyun, Stephen L Avard Asymmetric reverting behavior of short-horizon stocl returns: an evidence of stock market overreaction[J] Journal of Bank Finance, 2001, 25: 807-824. [12]Lo A W, MacKinlay A C Stock prices do not follow random walks: Evidence from a simple specification test[J] Review of Financial Studies. 1988. 1: 41-66 [13]Lo A W, MacKinlay A C. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation[J] Journal of Econometrics, 1989, 40: 203-2386 理论的研究仅仅是刚刚起步，未来需要做的事情一定很多。 2、均值回归必然具有不对称性，因为，正的收益与负的收益回归的幅度与速度不可能一样。因 为它们之间并没有必然的联系，回归的幅度与速度也具有随机性。对称的均值回归才是不正常的、 偶然的，这一点也被实证检验所证明。 3、均值回归理论与政府行为。股票收益率均值回归证明市场不会偏离价值中枢时间太久，市场 的内在力量会促使其向内在价值回归。从这一点上讲，市场在没有政府利多或利空政策的作用下也 会实现有效的目标，即股票价格会在市场机制的作用下自然的向均值回归。但这并不否定政府行为 对促进市场有效性的作用，因为市场偏离内在价值后并不等于立即就会向内在价值回归，很可能会 出现持续地均值回避。政府行为会起到抑制市场无效和促进市场有效的作用。在促进市场有效方面 政府行为是必不可少的因素之一，市场失灵是政府参与调控的直接理由。 参考文献 [1] Balvers R, Wu Y, Gilliland E. Mean reversion across national stock markets and parametric contrarian investment strategies[J]. Journal of Finance 2000, 55: 745–772. [2] Cochrane J H. How big is the random walk in GNP? [J]. Journal of Political Economy 1988, 95: 1062–1088. [3] Dimitrios Malliaropulos, Richard Priestley. Mean reversion in Southeast Asian stock[J]. markets Journal of Empirical Finance, 1999(6):355–384. [4] Fama E, French K. Permanent and temporary components of stock prices[J]. Journal of Political Economy, 1988, 96: 246– 273. [5] Gangopadhyay P, Reinganum M. Interpreting mean reversion in stock returns[J]. Quarterly Review of Economics and Finance, 1996, 36: 377– 394. [6] Jeffrey Gropp. Mean reversion of industry stock returns in the U.S., 1926–1998[J]. Journal of Empirical Finance 2004(11): 537–551. [7] Jegadeesh N. Seasonality in stock price mean reversion: evidence from the U.S. and the U.K[J]. Journal of Finance, 1991, 46: 1427– 1444. [8] Kausik Chaudhuri, Yangru Wu. Random walk versus breaking trend in stock prices: Evidence from emerging markets[J]. Journal of Banking & Finance, 2003, 27: 575–592. [9] Kim M, Nelson C, Startz R. Mean reversion in stock prices? A reappraisal of the empirical evidence[J]. Review of Economic Studies, 1991, 58: 515– 528. [10] Kiseok Nam，Chong Soo Pyun， Augustine C. Arize，2002. Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach.Journal of Empirical Finance 9 , 563– 588 [11] Kiseok Nam, Chong Soo Pyun, Stephen L.Avard. Asymmetric reverting behavior of short-horizon stock returns: an evidence of stock market overreaction[J]. Journal of Bank & Finance, 2001, 25: 807-824. [12] Lo A W, MacKinlay A C. Stock prices do not follow random walks: Evidence from a simple specification test[J]. Review of Financial Studies, 1988, 1: 41–66. [13] Lo A W, MacKinlay A C. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation[J]. Journal of Econometrics, 1989, 40: 203–238