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对金融市场提出有效性指标和复杂性指标,利用“滑动窗技术”研究了上海和深圳股票市场有效性与复杂性之间的关联.结果显示,上海股票市场的复杂性和有效性之间以及复杂性之间存在双向的Granger因果关系,深圳股票市场亦是如此;两个市场的有效性之间存在双向的Granger因果关系,两个市场的复杂性之间亦是如此;上海股票市场的有效性之间以及复杂性之间相互影响强于深圳股票市场,两个市场有效性之间的相互影响强于复杂性之间的相互影响.论文的实证结果支持了刘维奇关于金融复杂性可以改进金融市场效率的理论研究的论断.
This paper presents the validity indicators and complexity indicators of financial markets, and uses “sliding window technology” to study the correlation between the effectiveness and complexity of the Shanghai and Shenzhen stock markets. The results show that the complexity and effectiveness of the Shanghai stock market There is a two-way Granger causality between two markets, as well as the Shenzhen Granger causality. There is a two-way Granger causality between the two markets, as is the complexity of the two markets. The Shanghai stock market The interaction between the effectiveness and the complexity is stronger than the Shenzhen stock market.The interaction between the two markets’ validity is stronger than the interaction between the complexity.The empirical results of the dissertation support Liu Weiqi’s research on the financial complexity Theories to Improve the Efficiency of Financial Markets.