上海股票市场半强式有效性实证研究

发布时间：2018-01-10 11:09

本文关键词：上海股票市场半强式有效性实证研究　出处：《辽宁大学》2012年硕士论文　论文类型：学位论文

【摘要】：资本市场在现代经济中发挥着重要的作用，有效的资本市场是实现社会经济资源有效配置的重要前提条件。在当代金融理论中，，市场的半强式有效性具有重要的理论和实践意义。在半强式有效市场的情况下，可以得出现代金融学中的一系列重要的理论，如MM理论、资本资产定价模型等。在市场实践中，半强式有效的市场配合制度措施限制内幕交易的发生，市场交易者就可以采取被动复制市场组合的交易策略。反之，如果市场没有实现半强式有效，那么市场交易者就应该采取积极的交易策略，通过分析公开信息获取超额收益。研究股票市场的半强式有效性可以在理论上检验有效市场理论，为金融理论的发展提供支持或反对的证据。股票市场的效率状况还能够为政策制定者制定政策提供参考。本文就是在股权分置改革已经完成，市场基本实现全流通的情况下，采用最新的市场数据，对上海股票市场的半强式有效性进行检验。论文从理论研究入手，结合上海股票市场的实际情况，采用实证研究的方法，对上海股票市场的半强式有效性进行实证研究。在对市场的半强式有效性的研究中，常用的方法是事件研究法。本文选择了股票市场中普遍存在的定向增发信息首次公布事件和盈余信息公布事件进行研究。在选择样本公司时，力求保持事件窗的独立性。本文分为如下的几个部分：第一，绪论部分。本章对选题的背景和意义做出了说明。第二，理论和方法部分。主要介绍了本文的理论基础以及使用的事件研究方法。本章针对半强式有效市场做了概述。对半强式有效市场定义、特点、实证检验、做了介绍。接下来，针对本文的研究方法——事件研究方法内容、步骤做了详细说明，并给出检验统计量的计算公式。第三，实证分析部分。实证分析部分包括对定向增发首次信息公布事件和年度盈余报告公布事件两个事件的研究。第四，结论和启示部分。给出本研究的结论，并对比两个事件所获得的超额收益率，对政策制定者给予一定的启示。本文通过对上海股票市场的定向增发首次信息公布事件和盈余公布事件进行分析，得出如下结论：对于本文选择的定向增发信息首次公布事件和盈余信息公布事件，在事件窗末期都可以获得累计超额收益率，并且在统计上显著。这与半强式有效性的市场不符。现阶段，上海股票市场还没有达到半强式有效，政策制定者应该制定有利于市场实现半强式有效性的政策。
[Abstract]:The capital market plays an important role in the modern economy, the capital market is an important prerequisite for the effective allocation of social economic resources. In modern financial theory, which has important theoretical and practical significance to semi strong form efficient market. In the semi strong efficient market, can be obtained in modern finance in a series of important theories such as MM theory, the capital asset pricing model. In the actual market, semi strong efficient market system with measures to limit the occurrence of insider trading, market traders can take passive replication market portfolio trading strategies. On the contrary, if the market does not achieve the semi strong efficiency, so market traders should take active trading strategies, obtain excess returns by analyzing the public information. Semi strong efficiency research of the stock market can test the efficient market theory in theory , support or oppose the evidence for the development of financial theory. The efficiency of the stock market can also provide a reference for policy makers to formulate policies. This article is in the share reform has been completed, the basic realization of the market circulation, with the latest market data, to test the semi strong efficiency in Shanghai in the stock market.
The dissertation starts from theory research, combined with the actual situation of Shanghai stock market, using the methods of empirical research, the empirical research on the semi strong form efficiency of Shanghai stock market. In the study of semi strong efficiency on the market, the commonly used method is the method of event study. This paper chose directional common stock market the additional information published for the first time the event and earnings information released events for research. In the choice of the Sample Firms, in order to maintain the independence of the event window.
This paper is divided into the following several parts: first, introduction. In this chapter the background and significance of the topic and explained. The second part, the theory and method. This paper mainly introduces the basic theory and the use of the event study method. This chapter focuses on the semi strong efficient market is summarized. The semi strong efficient market definition, characteristics, empirical test, is introduced. Next, according to the research methods, contents of the event study method, steps in detail, and gives a calculation formula of the test statistic. The third part of empirical analysis. The empirical analysis of privateplacement information first published events and annual earnings report released on the two event event. Fourth, the conclusion and revelation. Given the conclusions of this study, and compare the two events the excess rate of return, for policymakers to give some enlightenment.
The orientation of Shanghai stock market in the first issuance of information published events and earnings announced events are analyzed, the conclusions are as follows: for the additional directional information published for the first time the event and earnings information released in the event, the event window can be obtained at the end of the cumulative abnormal return, and there is a statistically significant. This is inconsistent with the semi strong efficient market. At present, the Shanghai stock market has not reached the semi strong efficiency, policymakers should set the market to achieve the semi strong effective policy.

【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】