中国股票市场有效性实证分析  

An Empirical Analysis of Validity of Stock Market in China

作　　者：马岩祥[1] 

机构地区：[1]新疆财经大学金融学院,乌鲁木齐830012

出　　处：《新疆财经》2009年第5期47-50,77,共5页Finance & Economics of Xinjiang

摘　　要：股票市场的有效性直接影响资金配置的效率,中国股市的有效性问题一直是业界讨论的焦点,其有效性的检验主要集中在市场是否具有弱式有效方面。本文依据Fama对股票市场的定义及三个层次市场对应的有效市场检验方法,对国内股市的有效性进行检验。首先使用沪、深两市日收益率数据,对各自日收益率之间的相关性进行检验,发现日收益率之间不存在自相关和偏自相关,由此认为中国股票市场弱式有效。然后采用事件研究法,以年报公布作为事件,以年报公布日前、后共30日,120支股票收益率数据为样本,对我国股票市场半强式有效性进行检验,结果发现年报公布日前、后超额收益存在明显变化,以此认为中国股市目前不符合半强有效市场的定义。最后对市场中存在的问题进行了分析,并给出了政策建议。The Validity of stock market affects the efficiency of the financial resources allocation directly. The validity of stock market is the hot topic discussed by the figures of financial circle. Currently, the test of validity mainly focuses on the weak valid- ity of the market. This paper checks the validity of the Chinese stock market according to Fama＇ s definition of the valid market theory and the test method of the three layers valid market. Firstly the text checks the correlogram of the daily rate of return each market by using the data of the daily rate of return of the SZ and SH stock market. The test result shows that there isn＇t the autocorrelation and partial Correlation between the daily rate of return, So I believe that the Chinese stock market has the features of the weak valid market. Then I adopt the event research method and choose the publication of yearly financial report as the event, select the data of the rate of return of the 30 trading days between 15 trading days before the publication day and 15 trading days after the publication day and 120 equity shares as sample, to test the semi - strong validity of stock market in China. The test result shows that there is apparent change on the super rate of return before the publication of the yearly financial report and after the publication of the yearly financial report, so I think that the test result doesnt support the definition of the semi - strong validity of Chinese stock market. Lastly, the paper analyzes the existing problem in the market and give the policy suggestions on these problems.

关 键 词：弱式有效市场 半强式有效市场 强式有效市场 

分 类 号：F224[经济管理—国民经济] F832.51