中国债券市场

中国债券市场 Theoretical basis The weak efficiency refers to the current stock price that has fully reflected the historical transaction data contains information, at time t the stock price pt contains t moment and all previous information. For t+1 occurs between, the new messages or unexpected events, because these messages or events are random, whereby it may be bad information and may also be good information, so t+1 moments of the actual price, which may be greater than at t time pt，1 priceor may also be less than t time price. t Calculation methods The weak efficient market is emphasized the price movement of securities that is a random, unpredictable amount of process,can not use historical pricing information for future price forecast ,so we use the phase relationship, directly the price as the research object test bond market efficiency. If the stock price between the self-correlation is statistically significant, it means the stock price history level affects the future stock price level, it can be through price history information to forecast future stock, weak efficient hypothesis. Calculation and test of weeks, months, years of self-correlation coefficient. At K days since the correlation coefficient can be expressed as: ,Tk (p,p)(p,p),，ttk,1t r,kT2(P,p),t,1t