中国股票市场效率指标渐进性实证研究

发布时间：2018-01-06 05:18

本文关键词：中国股票市场效率指标渐进性实证研究　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：自美国学者尤金法玛首次提出有效市场假说以来,经过几十年的金融实践,有效市场理论现已经成为主流金融学和现代投资理论的基石之一,在理论和实证层面提供了市场有效程度的评价标准,是各类交易策略和定价模型合理性的先决条件。随着我国金融市场的不断发展,中国股票市场的有效程度经历了一个从低到高的渐进过程,本文以我国股票市场发展历程中的几次重大事件为分隔点,将我国股票市场二十余年的历史分成三个阶段,运用单位根检验、收益序列自相关检验、分形检验、游程检验以及向量自回归模型等多种研究方法,对市场的有效程度进行顺次检验并对其中的原因进行了分析。具体来讲,第一章叙述了选题的背景、意义和国内外相关文献综述等；第二章全面回顾了有效市场理论的发展情况及其面临的各种挑战；第三章运用多种方法对我国沪深股市的有弱式效性进行检验,以期在综合各种方法后何处可靠的结论；第四章则在第三章的基础上运用向量自回归模型及脉冲响应函数方法对股市进行半强势有效检验,并刻画我国股市有效性程度的变化历程；第五章概括全文结论,提出政策建议。经过研究得出,我国沪深两市股票市场自1996年12月27日之后初步达到弱式有效,自2005年5月9日之后在各个方面都基本达到了弱式有效水平。半强式有效检验中,股票市场的有效性呈现显著的加强趋势,到了2005年5月9日至今的第三阶段,股票价格对基本宏观经济变量和公司质量信息的反应已相当迅速,过度反应和反应不足的问题得到明显改善,通过对历史价格和已公开信息的分析已经很难获得持续的超额收益。
[Abstract]:Since Eugene Fama, an American scholar, first put forward the efficient market hypothesis, after decades of financial practice, efficient market theory has become one of the cornerstones of mainstream finance and modern investment theory. At the theoretical and empirical level, it provides the evaluation criteria of market efficiency, which is a prerequisite for the rationality of various trading strategies and pricing models. With the continuous development of financial markets in China. The efficiency of Chinese stock market has gone through a gradual process from low to high. This paper takes several important events in the development of Chinese stock market as the separation point. The history of Chinese stock market for more than 20 years is divided into three stages: unit root test, income sequence autocorrelation test, fractal test, run test and vector autoregressive model. The efficiency of the market is tested sequentially and the reasons are analyzed. Specifically, the first chapter describes the background of the topic, significance and domestic and foreign literature review; The second chapter reviews the development of efficient market theory and the challenges it faces. The third chapter uses various methods to test the weak validity of Shanghai and Shenzhen stock markets in order to find out where to be reliable after synthesizing various methods. Chapter 4th uses the vector autoregressive model and the impulse response function method to test the stock market semi-strong and effective on the basis of the third chapter, and describes the change course of the stock market efficiency degree in our country. Chapter 5th summarizes the conclusions of the full text and puts forward policy recommendations. Through the research, the stock market of Shanghai and Shenzhen stock market has reached the weak efficiency since December 27th 1996. Since May 9th 2005, it has basically reached the weak effective level in all aspects. In the semi-strong efficiency test, the stock market efficiency shows a significant trend to strengthen. In the third stage from May 9th 2005 to now, the stock price response to the basic macroeconomic variables and corporate quality information has been quite rapid, overreaction and inadequate response problems have been significantly improved. It is difficult to obtain a sustained excess return by analyzing historical prices and published information.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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