我国股市相对有效性的测度及其动态演变机制分析——基于经济圈、产业链和实际控制人分类指数的实证研究  

The Measurement of Relative Efficiency in China's Stock Market and Analysis of Its Dynamic Evolution Mechanism:Empirical Study Based on Classified Indices Concerning Economic Circle,Industry Chain and Actual Controller

作　　者：徐国祥[1,2] 刘芳[2] 

机构地区：[1]上海财经大学应用统计研究中心,上海200433 [2]上海财经大学统计与管理学院,上海200433

出　　处：《财经研究》2012年第1期49-60,共12页Journal of Finance and Economics

基　　金：上海财经大学"211工程"三期;上海市重点学科建设项目(B803)和上海财经大学应用统计研究中心的资助

摘　　要：文章基于市场相对有效的理论观点,结合Hurst指数提出了股市相对有效性的测算方法;基于适应性市场假说,对股市相对有效性的动态演变机制进行了深入研究;基于经济圈、产业链和实际控制人分类指数,从地域、产业和所有制三个角度刻画了我国多层次股票市场相对有效性的多元化特征。对2009年8月25日至2011年8月31日的中证流通指数、三大经济圈指数、三大产业链指数和三大实际控制人指数的实证结果表明:(1)中证流通指数与中证下游指数的相对有效性显著高于中证上游指数与中证中游指数;(2)目前各指数均处于"相对有效"———"相对无效"的转折期中;(3)经济圈、产业链和实际控制人三个子市场的动态演变机制分别表现为中介式传导、闭合式传导和跨越式传导模式。Based on the theoretical view on relatively efficient market, this paper puts forward the measurement of relative efficiency through Hurst index. Then it deeply analyzes the dynamic evolution mechanism of relative efficiency on the basis of adaptive market hypothesis. Based on indices concerning economic circle, industry chain and classified actual controller,it portrays the diversification of relative efficiency in China ＇s multi-level stock market from the angles of region, industry and ownership. The empirical results of China Securities Free Float Index, classified indices concerning economic circle, industry chain and actual controller from August 25,2009 to August 31,2011 are shown as follows： firstly, the relative efficiency of China Securities Free Float Index and China Securities Downstream Industry Index is significantly higher than the one of China Securities Upstream Industry Index and China Securities Midstream Industry Index; secondly,all the indices are during a period of transition from relative efficient to relative inefficient at present~ thirdly,the dynamic evolution mechanisms of three submarkets, namely economic circle, industry chain and actual controller, are characterized by intermediate transmission mode, closed transmission mode and leaping transmission mode respectively.

关 键 词：相对有效性 动态演变 机制分析 经济圈 产业链 实际控制人 

分 类 号：F830.91[经济管理—金融学]