我国股票市场有效性的研究

发布时间：2018-06-03 10:24

本文选题：中小板 + 创业板　；参考：《五邑大学》2013年硕士论文

【摘要】：20世纪50年代有效市场假设理论开始发展起来,成为了现代微观金融理论,也为现代金融经济学奠定了基础。有效市场假设认为市场对不同层次信息的反映程度是不一样的,该理论将证券市场分成三种不同的类型：弱式有效市场、半强式有效市场以及强式有效市场。研究市场有效性具有重要意义：第一,很多的例如资本资产定价模型、套利定价模型等投资理论都是以有效市场假设理论为基础,所以对我国股票市场有效性进行实证研究有助于为其他投资理论研究提供适合我国股票市场的理论基础；第二,由于对中小板和创业板市场有效性的研究较少,多数只是研究主板市场的有效性,所以此研究可以扩展对我国股票市场有效性的研究范围,加深对市场有效性理论的理解和研究；第三,市场有效意味着证券价格变化反映了证券市场信息传递的完全、公平、及时、透明,根据自身的风险承受能力投资者可做出相应的投资判断,满足自身的投资需求；从公司的角度来说,公司自身价值是可以通过有效市场进行反映的,这样可以增加证券供给,能够促进公司的进一步发展；从监管者角度来说,消除不公平竞争和保护投资者利益可以通过提高证券市场有效性来实现,从这个意义上来说维持证券市场健康发展有着十分重要的意义。在我国,根据对发行人的发行资格的要求不同,股票市场分为三个层级：主板市场、中小板市场和创业板市场。简单来说,主板市场是股票市场最重要的组成部分,是一个地区或国家证券发行、上市和交易的主要场所；中小板市场是相对于主板市场而言的,有些企业的条件达不到主板市场的上市要求,所以只能在中小板市场上市；创业板是指专门协助高成长的新兴创新公司特别是高科技公司筹资并进行资本运作的市场。中小板和创业板的快速发展也对我国股票市场产生了重大影响,其中也有很多成长为家喻户晓的知名企业,对我国投资者有着巨大的吸引力,是我国股票市场中不可或缺的两个重要板块。现在学者多是对主板市场有效性的研究,而对中小板和创业板的研究较少,因此本研究运用了ADF检验、序列相关检验、游程检验和信息熵理论对主板市场、中小板市场和创业板市场进行了有效性的实证分析,研究结果表明主板市场、中小板市场和创业板市场均达到了弱式有效,并且深市主板市场的弱有效程度最高,中小板市场最低。
[Abstract]:In the 1950s, the efficient market hypothesis began to develop, which became the modern micro finance theory and laid the foundation for the modern financial economics. The efficient market hypothesis holds that the degree of market response to different levels of information is different. The theory divides the securities market into three different types: weak efficient market, semi-strong efficient market and strong efficient market. First, many investment theories such as capital asset pricing model and arbitrage pricing model are based on efficient market hypothesis. Therefore, empirical research on the effectiveness of China's stock market is helpful to provide a theoretical basis for other investment theories. Secondly, there are few studies on the effectiveness of the small and medium-sized board and the growth enterprise market. Most of them only study the effectiveness of the main board market, so this research can expand the scope of the research on the effectiveness of the stock market in China, and deepen the understanding and research on the theory of market efficiency. Third, Market efficiency means that the change of securities price reflects the complete, fair, timely and transparent transmission of information in the securities market. Investors can make the corresponding investment judgment according to their own risk bearing capacity to meet their investment needs. From the perspective of a company, the value of the company itself can be reflected through an efficient market, which can increase the supply of securities and promote the further development of the company; from the perspective of the regulator, The elimination of unfair competition and the protection of investors' interests can be realized by improving the effectiveness of the securities market. In this sense, it is of great significance to maintain the healthy development of the securities market. In China, the stock market is divided into three levels: the main board market, the small and medium-sized board market and the gem market according to the different requirements of the issuer's issuing qualification. To put it simply, the main board market is the most important component of the stock market, and it is the main place for a region or a country to issue, list and trade securities; the small and medium-sized board market is relative to the main board market. Some enterprises can not meet the requirements of the main board market, so they can only be listed in the small and medium-sized market. The gem refers to the market where the new and innovative companies, especially high-tech companies, are specially assisted to raise funds and operate their capital. The rapid development of the small and medium-sized boards and the gem has also had a great impact on the stock market in China, and many of them have grown into well-known enterprises, which have great appeal to Chinese investors. Is our country stock market indispensable two important plates. At present, scholars mostly study the effectiveness of the main board market, but the research on the small and medium-sized board and the growth enterprise board is less, so this study applies ADF test, sequence correlation test, run test and information entropy theory to the main board market. The empirical analysis of the effectiveness of the small and medium-sized market and the growth enterprise market shows that the main board market, the small and medium-sized board market and the growth enterprise board market have achieved weak efficiency, and the Shenzhen main board market has the highest degree of weak efficiency. Small and medium-sized board market is the lowest.
【学位授予单位】：五邑大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】