有效市场假说：指数市盈率和行情角度的实证研究

发布时间：2018-01-06 04:13

本文关键词：有效市场假说：指数市盈率和行情角度的实证研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：有效市场假说于19实际70年代走向成熟,是现代金融学理论发展的里程碑。投资组合理论和资产定价理论之所以能成立,均依赖于理性投资者的竞争市场中证券价格趋于均衡的假设,即市场有效。有效市场假说的基本含义是证券价格能够迅速充分反映相关信息。根据信息的不同,有效市场假说可以分为弱有效市场假说、半强有效市场假说和强有效市场假说。在国外研究的基础上,国内学者对有效市场假说是否在中国股市成立做了大量研究,有了较多发现,但也存在分歧和不足。本文希望通过合适的方法对我国证券市场的效率进行研究,作为对过去文献的补充。本文首先对有效市场假说进行论述,接着对国内外的文献进行综述,在此基础上本文用1996年至2013年之间的指数数据对我国股市的效率进行研究。选用ADF检验,序列相关检验和游程检验方法对弱有效市场假说进行研究,从市盈率对收益率的预测能力角度研究半强有效市场假说。实证检验的结论是：05年之后我国股市存在弱式有效特征；我国股市的弱式有效存在逐渐增强的现象；市盈率对长期收益率有预测能力,且呈负相关关系,半强有效市场假说在我国不成立；沪市有效性强于深市。
[Abstract]:The efficient market hypothesis matured in 70s, which is the milestone of the development of modern finance theory. Portfolio theory and asset pricing theory can be established. The efficient market hypothesis is that the stock price can reflect the relevant information quickly and fully according to the different information. The efficient market hypothesis can be divided into weak efficient market hypothesis, semi-strong efficient market hypothesis and strong efficient market hypothesis. Domestic scholars have done a lot of research on whether the efficient market hypothesis has been established in Chinese stock market, but there are still some differences and shortcomings. This paper hopes to study the efficiency of China's securities market through appropriate methods. As a supplement to the past literature, this paper first discusses the efficient market hypothesis, and then summarizes the literature at home and abroad. On this basis, this paper uses the index data from 1996 to 2013 to study the efficiency of China's stock market. ADF test is used. Sequential correlation test and run test are used to study the hypothesis of weak efficient market. The semi-strong efficient market hypothesis is studied from the perspective of the forecasting ability of price-earnings ratio to the yield. The empirical results are as follows: there are weak efficient characteristics in China's stock market after 2005; The weak form efficiency of our country stock market exists the phenomenon that strengthens gradually; The price-earnings ratio has the ability to predict the long-term yield and has a negative correlation. The semi-strong efficient market hypothesis is not established in China. Shanghai is more effective than Shenzhen.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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