中国证券市场有效性的实证研究

发布时间：2018-04-14 12:30

本文选题：市场有效性 + 弱式有效　；参考：《首都经济贸易大学》2013年硕士论文

【摘要】：证券市场有效性的研究一直都是经济系统研究领域的重要课题之一。证券市场是否稳定有效不仅影响公司的资本成本和公司价值，同时也影响整个国家的经济增长与稳定。美国经济学家法马Fama在1970提出了得到普遍接受的有效市场的定义，即有效市场是指这样一个市场：在这一市场中，证券价格总能充分体现所有可以获得的信息变化的影响。中国股票市场自从1990年上海证券交易所正式挂牌开始，在发展中不断规范和完善，其在中国经济中的地位也愈加的重要。在二十多年的发展中，，中国股票市场不仅已经初步形成较为规范和系统的市场框架和监管体制，同时拓宽了我国的金融投资渠道，建立了多元化的市场主体，为我国的社会资金流向和资源的合理配置发挥了市场导向作用，因此对于我国股票市场的有效性研究就显得尤为迫切和重要。本文将着力于中国股票市场近年有效性的实证研究，在传统理论分析的基础上，加入信息披露及时性和星期效应对市场有效性的影响综合分析，力求做到研究方法科学、严谨，并有一定的创新，进而使得实证分析的结果更加可信和准确。在国内外现有的研究成果基础之上，本文将以市场有效性理论为依据，利用随机游走模型及事件分析法分别对上海股票市场和深圳股票市场进行探讨，证明我国股票市场已经达到较为明显的弱势有效，但还没有达到半强式有效。并利用单位根检验、自相关检验等方法进行检验，加入信息披露和星期效应对市场有效性的影响，进而判断我国证券市场的有效性类型并提出相关政策建议。
[Abstract]:The research of stock market effectiveness is always one of the important topics in the field of economic system research.Whether the securities market is stable or effective not only affects the cost of capital and the value of the company, but also affects the economic growth and stability of the whole country.In 1970, American economist Farmer Fama put forward the universally accepted definition of efficient market, that is, efficient market refers to a market in which the stock price can fully reflect the influence of all available information changes.Since the Shanghai Stock Exchange officially listed in 1990, China's stock market has been standardized and perfected in the development process, and its position in the Chinese economy has become more and more important.In the course of more than 20 years of development, China's stock market has not only initially formed a more standardized and systematic market framework and regulatory system, but also broadened our financial investment channels and established a diversified market main body.It plays a market guiding role for the flow of social funds and the rational allocation of resources in our country, so it is very urgent and important to study the validity of stock market in our country.This paper will focus on the empirical research on the effectiveness of China's stock market in recent years. On the basis of traditional theoretical analysis, this paper will add a comprehensive analysis of the impact of the timeliness of information disclosure and the week effect on the effectiveness of the market, and strive to achieve scientific and rigorous research methods.And there are some innovations, so that the results of empirical analysis more credible and accurate.Based on the existing research results at home and abroad, based on the theory of market efficiency, this paper discusses Shanghai stock market and Shenzhen stock market by using random walk model and event analysis method.It proves that China's stock market has achieved obvious weakness and effectiveness, but has not yet achieved semi-strong efficiency.Using the methods of unit root test, autocorrelation test and so on, the influence of information disclosure and week effect on market efficiency is added to judge the validity type of Chinese securities market and put forward relevant policy recommendations.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【共引文献】