Исследование российского рынка акций в предположении об иррациональности инвесторов (стр. 10 )

Приложение 3. Процент акций, по которым была отклонена гипотеза о случайном блуждании (RW3) по результатам теста Ло-МакКинли. =0,98

Предположения	[1]	[2]	[3]	[4]	[5]	[6]	[7]	[8]	[9]	[10]	[11]	[12]
1%	74	54	1	56	0	57	75	73	73	72	67	69
5%	75	28	2	41	0	41	69	70	68	70	73	70
10%	77	19	2	41	0	36	72	71	71	74	80	79
25%	79	8	3	50	0	32	79	75	73	91	92	92
50%	68	2	5	85	0	23	90	85	83	90	86	85
75%	77	2	8	50	0	30	89	90	91	84	79	76
90%	81	0	17	30	0	41	82	86	87	75	71	70
95%	81	0	24	32	0	49	75	78	79	71	65	63
99%	74	1	44	44	0	60	69	72	71	66	62	61
с	79	11	10	14	72	39	60	62	61	54	52	53

Составлено по: Thomsons Reuters Datastream

Приложение 4. Процент акций, по которым была отклонена гипотеза о случайном блуждании (RW3) по результатам теста Ло-МакКинли. =0,97

Предположения	[1]	[2]	[3]	[4]	[5]	[6]	[7]	[8]	[9]	[10]	[11]	[12]
1%	74	44	0	50	0	51	75	73	73	72	67	69
5%	75	30	0	37	0	39	69	70	68	70	73	70
10%	77	21	1	39	0	32	72	71	71	74	80	79
25%	79	8	2	50	0	28	79	75	73	91	92	92
50%	68	2	5	79	0	19	90	85	83	90	86	85
75%	77	1	5	43	0	27	89	90	91	84	79	76
90%	81	0	16	28	0	37	82	86	87	75	71	70
95%	81	0	28	32	0	53	75	78	79	71	65	63
99%	74	0	39	42	0	56	69	72	71	66	62	61
с	79	7	7	8	59	31	60	62	61	54	52	53

Составлено по: Thomsons Reuters Datastream

       

       

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