我国上海证券市场半强式有效性研究——基于半年报公布的实证分析  

A Study on the Semi-Strong Efficiency of Shanghai Securities Market in China——An Empirical Analysis based on the Publication of Semi-Annual Report

作　　者：夏凯俭 XIA Kai-jian(College of Economics and Management,Shihezi University,832000,Shihezi,Xinjiang,China)

机构地区：[1]石河子大学经济与管理学院,新疆石河子832000

出　　处：《特区经济》2020年第8期79-82,共4页Special Zone Economy

摘　　要：自Eugene-Fama提出有效市场假说以来,关于有效市场的研究一直是金融领域重点关注的问题之一。上海证券市场是我国规模最大,大型企业占比最高的市场,很大程度上代表了我国证券市场的整体水平。因此研究其市场的有效性,有助于了解我国证券市场的整体有效性水平,对投资者进行决策以及政府政策的制定具有重要的理论及现实意义。本文借助2019年上海证券市场的上市公司公布半年报为契机,以事件研究法,借助CAPM模型,选取了上海证券市场50只股票进行实证分析,通过分析样本股票整体AR(平均超额收益率)及CAR(累计平均超额收益率)指标,最终得出上海证券市场尚未达到半强式有效市场这一结论并提出相关建议。Since Eugene-Fama put forward the efficient market hypothesis,the research on efficient market has been one of the key issues in the financial field. Shanghai securities market is the largest market with the most famous company in China,which represents the China ’s securities market. Therefore,the study of the effectiveness of the market is helpful to reflect the overall efficiency of China ’s securities market,and has important theoretical and practical significance for investors to make decisions and government poli-cies. With the opportunity of the semi-annual report published by the listed companies in Shanghai stock mar-ket in 2019,this paper selects 50 stocks in Shanghai stock market for empirical analysis with the help of CAPM model. Through the analysis of the overall average excess rate of return and cumulative average excess rate of return of the selected stocks,we finally draw the conclusion that Shanghai securities market has not yet reached the semi-strong efficient market,and put forward relevant suggestions.

关 键 词：事件研究法 半强式有效 CAPM模型 

分 类 号：F830.91[经济管理—金融学]