有效市场理论与我国股票市场有效性分析

发布时间：2018-06-10 00:28

本文选题：有效市场 + 市场信息　；参考：《湘潭大学》2012年硕士论文

【摘要】：有效市场假说理论是现代金融经济学领域两大基石之一，对市场有效性的研究一直是金融学研究的重点课题之一。Fama于1970年正式提出了市场有效性被广为接受的定义，形成了有效市场理论的框架体系，同时，也奠定了理论本身在金融学理论中的基础地位。因此，对市场有效理论的研究具有重要的理论与实践意义。我国股票市场发展的二十余年中，市场迅速扩张，股票市场总市值占GDP的比重也逐渐上升，表明股票市场的经济地位也越来越重要了，是一国国民经济的晴雨表。从萌芽、产生、发展到向规范化推进的过程中，中国股市在发展中慢慢成熟，同时也暴露了“股市泡沫”、“政策市”及“信息非对称”等问题。通过对我国股市有效性程度的研究，一方面，可以提高资源优化配置功能的实施，也为证券监管部门制定相关的法律法规提供参考；另一方面，可以帮助投资者作出合理的投资决策，理性投资。本文首先对国内外学者在市场有效性方面的研究进行了整理归纳，并指出了已有研究存在的问题，本文进行相关研究的改进等。其次重点分析了市场有效性的理论基础，论述了市场有效性的内涵及形式、前提条件等基本内容，，在正确认识股票市场效率的基础上，阐述了市场信息、股票价格与市场有效性之间的关系，为接下来的实证研究与分析提供了基础。然后，运用实证方法检验了我国股票市场是否存在弱式有效性，并从新股发行事件的超额收益率和信息含量两个角度分析是否进入半强式有效。最后，根据实证结果分析了我国股市低效率的原因，并提出了相应的政策建议。我国股市成立时间较短，是一个新兴市场，对于市场有效性的研究起步较晚，需要进行相关的经验总结。本文通过规范研究与实证研究相结合的方法，运用最新数据，对我国股市的有效性进行了分析，得出以下结论：第一，我国股票市场已具有弱式有效性，且沪市比深市更具有效率；第二，我国股市尚未进入半强式有效，但有效性水平有所提高。要有效提高股票市场的有效性程度，我们要大力培养和发展机构投资者，努力实现股票全流通，规范投资者行为，提高理性程度，并建立严格的多层次监管体系，以实现我国股票市场的日趋成熟化。
[Abstract]:The theory of efficient market hypothesis is one of the two cornerstones in the field of modern financial economics. The study of market efficiency has always been one of the key topics in financial research. Fama formally proposed a widely accepted definition of market efficiency in 1970. The frame system of efficient market theory is formed, and the basic position of theory itself in finance theory is also established. Therefore, the study of market efficiency theory has important theoretical and practical significance. In the more than twenty years of the development of China's stock market, the market has expanded rapidly, and the proportion of total market value in the stock market has gradually increased, which indicates that the economic status of the stock market is becoming more and more important, and it is a barometer of a country's national economy. In the process from germination, emergence, development to standardization, Chinese stock market has matured slowly in the course of development, at the same time, it has exposed some problems such as "stock market bubble", "policy market" and "asymmetric information" and so on. On the one hand, it can improve the implementation of the function of optimizing the allocation of resources, but also provide a reference for the securities regulatory authorities to formulate relevant laws and regulations; on the other hand, It can help investors to make reasonable investment decisions and rational investment. Firstly, this paper summarizes the research on market effectiveness of domestic and foreign scholars, and points out the existing problems. This article carries on the related research improvement and so on. Secondly, the paper analyzes the theoretical basis of market efficiency, discusses the connotation and form of market effectiveness, and discusses the basic contents, such as preconditions, etc. On the basis of correctly understanding the efficiency of stock market, it expounds the market information. The relationship between stock price and market efficiency provides the basis for the following empirical research and analysis. Then, we use the empirical method to test whether there is weak efficiency in the stock market of our country, and analyze whether to enter the semi-strong efficiency from the two angles of the excess return rate and the information content of the new issue event. Finally, based on the empirical results, this paper analyzes the reasons for the inefficiency of China's stock market, and puts forward corresponding policy suggestions. There is a need for relevant lessons learned. By combining normative research with empirical research, this paper analyzes the effectiveness of China's stock market by using the latest data, and draws the following conclusions: first, the stock market of our country has been weakly effective. Shanghai stock market is more efficient than Shenzhen stock market. Second, our stock market has not entered semi-strong efficiency, but the efficiency level has been improved. To effectively improve the effectiveness of the stock market, we must vigorously train and develop institutional investors, strive to realize the full circulation of stocks, standardize investor behavior, improve rationality, and establish a strict multi-level regulatory system. In order to realize our country stock market maturation day by day.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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