观察法视角下的股市半强势有效性研究  

A Study on Semi-Strong-Form Efficiency of China’s Stock Market from the Perspective of Observations

作　　者：张书君 ZHANG Shu-jun(Economics School,Jiujiang University,Jiujiang 332005,China)

机构地区：[1]九江学院经济学院,江西九江332005

出　　处：《唐山师范学院学报》2022年第4期98-103,共6页Journal of Tangshan Normal University

摘　　要：观察法能带给金融监管从业者强烈的画面感和代入感。我国内地股市的信息有效性水平较低,有其独特的原因。研究结果表明:上证综合指数的价格变化可能还达不到半强势有效性的水平。新事件发生的观察窗口日之间存在系统性的关系。信息泄露导致不知情利益相关方的利益受损。戒备心、认知偏见、心理传染和羊群效应依然存在于我国内地A股市场,并且导致短期的市场失灵。Observations can bring a strong sense of picture to financial regulatory practitioners. There are unique reasons for the low level of information effectiveness of the stock market in China. The research results show that the price change of the Shanghai Composite Index may not reach the level of semi-strong effectiveness. There is a systematic relation between the observation window days when a new event occurs. Information leakage leads to the loss of interests of uninformed market stakeholders. Suspicion,cognitive bias, psychological contagion and herding behaviors still exist in the Chinese A-shares market, leading to short-term market failure.

关 键 词：信息有效性 随机游走 股市指数 

分 类 号：F830.91[经济管理—金融学]