上海股票市场有效性的实证研究

发布时间：2018-02-08 23:22

本文关键词： 有效市场假说弱势有效检验技术分析半强势有效检验财务信息　出处：《云南财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：对于想要做股票投资的人来说,作者觉得最重要的是要先对市场的总体效率做一些了解和分析。本文就是用统计方法对上海股票市场的效率进行了分析。在第一部分文献综述中,作者用简单的语言叙述了尤金·法玛提出的效市场假说。根据这个重要的理论,作者分别在本文第二部分(在有效市场假说下对上证指数进行弱势有效性检验)和第三部分(在有效市场假说下对上海股票市场进行半强势有效检验)进行了实证检验。在第二部分中对市场进行随机性趋势检验时发现市场确实具有随机性趋势,收益序列也不相关,这说明在市场中只使用过去的价格信息不能很好地预测未来的收益,但是使用技术分析(用到了历史成交量和成交价信息)时,发现技术分析可以对未来收益的预测提供帮助,这说明市场并没有达到弱势有效。得出这样的结论,作者认为,在市场达到弱势有效的前提下,股指会出现随机性趋势,但反过来,不成立。接着在第三部分中,作者对平安银行用重要财务信息(净利润波动)来预测未来收益情况,没能成功,这说明使用平安银行的某些财务信息不能预测出其未来的收益。但是作者同时也发现了,市场中个股与指数之间有极高的相关性,甚至个股间出现协整关系的情况,低相关性可以理解,但高相关性必然说明股价没有反应公司的真实经营情况,即市场没有达到半强势有效。在市场整体没有达到半强势有效的情况下,平安银行的净利润变动的财务信息却不能对股票的未来收益做出预测,面对这样的情况,假设平安银行也没有达到半强势有效,那么作者认为,市场达到半强势有效时财务信息对未来收益预测无效,反之不成立。由于在对弱势有效性的推论(技术分析无预测能力)进行验证时,作者发现技术分析的预测能力很强,所以作者认为上海股票市场没有达到弱势有效。股票价格近似服从随机游走只能说明单纯依靠过去的收益不能预测未来的收益,但结合成交量进行分析后,可以有效地预测未来的收益。
[Abstract]:For those who want to invest in stocks, The author thinks that the most important thing is to make some understanding and analysis of the overall efficiency of the market. This paper analyzes the efficiency of the Shanghai stock market by means of statistical methods. In the first part of the literature review, The author uses simple language to describe the efficient market hypothesis proposed by Eugene Farmer. According to this important theory, In the second part of this paper (to test the weak validity of Shanghai stock market index under the efficient market hypothesis) and the third part (semi-strong efficient test of Shanghai stock market under the efficient market hypothesis). In the second part, when we test the random trend of the market, we find that the market does have a random trend. The return sequence is also irrelevant, which means that using only the past price information in the market can not predict the future income very well, but when using the technical analysis (using the historical volume and the transaction price information), It is found that technical analysis can help predict future returns, which indicates that the market is not weak and effective. In conclusion, the author believes that if the market is weak and effective, the stock index will have a random trend. In the third part, the author uses significant financial information (net profit volatility) to predict future earnings. This shows that using certain financial information from Ping an Bank can not predict its future earnings. However, the author also finds that there is a very high correlation between individual stocks and indices in the market, and even there is a co-integration relationship among individual stocks. The low correlation is understandable, but the high correlation must indicate that the stock price does not reflect the true operating situation of the company, that is, the market is not semi-strong and efficient. However, the financial information on the changes in net profit of Ping an Bank cannot predict the future income of the stock. In the face of such a situation, assuming that Ping an Bank is not semi-strong, the author thinks, When the market is semi-strong and efficient, the financial information has no effect on the forecast of future income, otherwise it does not hold true. Because when the corollary of weak effectiveness (technical analysis has no predictive ability) is verified, the author finds that the prediction ability of technical analysis is very strong. Therefore, the author thinks that the Shanghai stock market is not weak and effective. The fact that the stock price is moving from random to random can only show that the future returns cannot be predicted simply by relying on the past returns, but after analyzing the transaction volume, You can effectively predict future earnings.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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