我国股市相对有效性的测度及其动态演变机制分析——基于经济圈、产业链和实际控制人分类指数的实证研究

发布时间：2018-04-24 05:20

本文选题：相对有效性 + 动态演变　；参考：《财经研究》2012年01期

【摘要】：文章基于市场相对有效的理论观点,结合Hurst指数提出了股市相对有效性的测算方法;基于适应性市场假说,对股市相对有效性的动态演变机制进行了深入研究;基于经济圈、产业链和实际控制人分类指数,从地域、产业和所有制三个角度刻画了我国多层次股票市场相对有效性的多元化特征。对2009年8月25日至2011年8月31日的中证流通指数、三大经济圈指数、三大产业链指数和三大实际控制人指数的实证结果表明:(1)中证流通指数与中证下游指数的相对有效性显著高于中证上游指数与中证中游指数;(2)目前各指数均处于"相对有效"———"相对无效"的转折期中;(3)经济圈、产业链和实际控制人三个子市场的动态演变机制分别表现为中介式传导、闭合式传导和跨越式传导模式。
[Abstract]:Based on the theory of market relative efficiency and Hurst index, this paper puts forward a method to measure the relative efficiency of stock market. Based on the adaptive market hypothesis, the dynamic evolution mechanism of relative efficiency of stock market is deeply studied. The industrial chain and the actual controller's classification index depict the pluralistic characteristics of the relative validity of China's multi-level stock market from the three angles of region, industry and ownership. From August 25, 2009 to August 31, 2011, the index of the circulation of Chinese securities, the three major economic circles, The empirical results of the three industrial chain indices and the three actual controllers' indices show that the relative validity of the circulation index and the downstream index of the Chinese stock market is significantly higher than that of the upstream index and the middle stream index of the Chinese stock market. "relatively effective" --The turning point of "relatively ineffective" is an economic circle. The dynamic evolution mechanism of the industrial chain and the three sub-markets of actual control are intermediary conduction, closed conduction and leapfrog transmission respectively.
【作者单位】：上海财经大学应用统计研究中心;上海财经大学统计与管理学院;
【基金】：上海财经大学“211工程”三期、上海市重点学科建设项目(B803)和上海财经大学应用统计研究中心的资助
【分类号】：F224;F832.51

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