| Since1990, the stock market has been put under the reform and innovation for24years, and today it achieves a rapid development, so, it gain a lot of attention in thefield of financial development in our country. As an approach of configuration ofsocial capital resources, the stock market pays a important role in solving the shortageof capital resources in enterprises, transforming the national saving to investment,optimizing the allocation of resources, vigorously promotes the healthy developmentof every country’s substantial economy in the world. Therefore, the studies whichrelated with the mechanism of stock market operation are always the key points of thefinance theory and academic research.To create a link between the is Efficient Market Hypothesis(EMH) andBehavioral Finance Theory, Lo (2004) put forward the Adaptive MarketsHypothesis(AMH) on the basis of Darwin’s theory of evolution, expecting to use theconcept of evolution, competition, adaptation, natural selection to describe theinteraction on the financial market. Different from the Efficient Market (EMH) andBehavioral Finance, On one hand, AMH is dynamic research paradigm based onadaptive rational behavior,human has constantly adjust their choice and behavior inorder to adapt to the environment and form the ability of affect the environment ininternal and external constraints. On the other hand, AMH contends that the conceptof market efficiency is a process of dynamic change that effective characteristics andnon-effective characteristics cycle on the financial market. And the market is acomplex dynamic system. It is sure that arbitrage always appears on the market, butthis article point out that there is no one kind of same investment strategy can gainprofit for a long time. Therefore, this article mainly studies the three aspects of theAMH: first of all, this paper discusses the rational evolution from "completelyrational" to "limited rationality" to "adaptive" rational evolution process. Secondly,this paper discusses the market efficiency on the framework of Efficient MarketHypothesis and Behavior Finance, and then illustrates the connotation of the dynamicefficiency of AMH. Again, we validates the AMH from two aspects: Firstly, with themethod of overlapping Windows on the efficiency of Chinese stock market, we canfind the Periodicity and time-varying characteristics in Shanghai and Shenzhen stock market, and on the same time,we can also find the evidence that AMH exists in thestock market of China;Secondly, we conclude that moving average rules areprofitable, and there’s time-varying excess return on the Shanghai and Shenzhen stockmarket.The innovation point of this article is: Firstly, this article uses overlappingmoving window to find the linear correlation and the nonlinear correlation on themarket and to verify that whether the market efficiency in China has thecharacteristics of dynamic change. Secondly, this article designs a variety of movingaverage strategies to verify that whether there is excess returns on the securitiesmarkets, and whether excess returns have time-varying characteristics. |
