上海股票市场有效性实证研究  

Empirical Research on Shanghai Stock Market Efficiency

作　　者：杨红婕[1] 许永龙[1] 

机构地区：[1]天津师范大学管理学院,天津300070

出　　处：《天津师范大学学报（自然科学版）》2005年第4期70-72,共3页Journal of Tianjin Normal University：Natural Science Edition

基　　金：国家自然科学基金资助项目(70072039);天津市自然科学基金资助项目(013605411)

摘　　要：选择2003年上海股市50只高转赠的股票作为样本,运用事件研究法,对信息公布日前后,股票的超额收益率和累计超额收益率的变化进行分析,得出了上海股市还没有达到半强式有效的结论,并对如何提高中国证券市场的有效性提出了几点建议.Fifty stocks in shanghai stock market were selected as sample, which has a high proportion of delivering stock in 2003. By event study, the change of stock excess income rate and stock accumulative excess income rate around the day of information published was analyzed. The conclusion that shanghai stock market didn＇t reach semistrong-form efficiency was given. And several suggestions about how to improve China stock market efficiency were proposed.

关 键 词：市场有效性 半强式有效 累计超额收益率 

分 类 号：F830.91[经济管理—金融学]