The Model-Test for the Prediction of Stock Markets and the Cointegration of Technical Indexes
Zhou aimin The Institute for Research in International Economics,Nankai University
Abstract
Prices in an effective stock market vary stochasticly.It reflects the equal distribution of information of same quality.But it does not contradict with “predictable”,since prediction itself cannot provide absolute precision,more over,“predictable”is quite different from making money by means of prediction.It has been proved by the stochastic models of stock market efficiency.In this article the author tries to explain it through testing the cointegration of some major technical indexes and establishing auto-regrassion models of stock markets.Meanwhile,the author points out the reverse relationship between the different stage of various models and the different degree of stock market efficiency. Key words:Cointegration,Effectiveness,Predictable,Test.
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