Based On The Theory Of Mean Reversion Of The Chinese Stock Market Empirical Research

The Securities investment theory has developed for nearly a hundred year. The forcasting problems of the price flunctuation in security market is always the point of research. To this day, the consistent points are tow:the securities yields in long term is easier to forcast than the one in short term. Mean reversion theory is the theory representative of the long-term yieldsStatisticians in the western country have started to pay attention to the mean reversion phenomenon in the stork market. Soon afterwards, many foreign scholars have researched some representative stork market around the globle area, and hopes to get the theroy which is able to guide the investmentThe development of China stork market is comparatively short, and the research of the Mean reversion theory is little. Through the empirical research of the China stork market, this paper wants to discuss whether it has the Mean reversion theory and finds out its character. It will lay the foundation for the deep research of the China stork marketIn this paper, according to the Mean reversion theory, the first part will discuss the brief history of the stork investment theory, and presents the research and application of Mean reversion phenomenon. Second, this paper introduce the definition of the Mean reversion theorv, the realistic significance and application of this theory, and the inspection method of the Mean reversion in the time series. Last, combined with the theory characteristics and the actual situation in China stork market, we choose the SH index, SZS index, the shanghai a-share the shanghai b-share, and the day returns of the industries plate, to inspect the properties of the Mean reversion in the time series. It uses the ADF method to test the the stability of the time series, and the autocorrelation testing methods to get this conclusion. The results of the study shows that, it has many Mean reversion phenomenon in China stork market, meanwhile, it provides the convenience of the research and actual application of the Mean reversion theory...