股权分置改革后我国证券市场有效性研究——基于非预期非流动性新信息视角  

Study on the Efficiency of the Chinese Stock Markets after the Equity Division Reform:A Perspective from Unexpected Illiquidity New Information

作　　者：叶志强[1] 冯怡[2] 张顺明[3] 

机构地区：[1]华东理工大学商学院,社会学博士后流动站 [2]厦门大学经济学院 [3]中国人民大学财政金融学院

出　　处：《投资研究》2013年第5期124-137,共14页Review of Investment Studies

基　　金：国家杰出青年科学基金(70825003);上海市博士后科研基金(12R21412700)的资助

摘　　要：基于非预期非流动性新信息视角,本文研究了股权分置改革后我国证券市场效率,比较了不同的市场态势下非预期非流动性对股票收益的影响,并且研究了投资者能否基于当期的非预期非流动性新信息进行套利。实证结果表明:我国上证A股市场中,熊市阶段发挥主要作用的是非预期非流动性;市场对非流动性新信息反应不足,我国上证A股市场存在套利机会。This paper studies the efficiency of the Chinese stock markets after the reform of non-tradable shares, in particular, from the perspective of unexpected illiquidity innovations. We compare the influence of expected illiquidity on asset returns with that of unexpected illiquidity in bull and bear markets. In addition, we investigate whether investors can arbitrage based on these contemporaneous unexpected illiquidity innovations. The empirical analysis indicates that, in the Shanghai A-share market, unexpected illiquidity plays a major role in the bear market. We also find that market response to illiquidity innova- tions is not sufficient to cause the arbitrage opportunity.

关 键 词：市场有效性 非预期非流动性 套利 

分 类 号：F224[经济管理—国民经济] F832.51