本文關鍵詞：中國股票市場效率指標漸進性實證研究　出處：《天津財經大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 市場有效性 市場效率指標 漸進性檢驗

【摘要】：自美國學者尤金法瑪首次提出有效市場假說以來,經過幾十年的金融實踐,有效市場理論現(xiàn)已經成為主流金融學和現(xiàn)代投資理論的基石之一,在理論和實證層面提供了市場有效程度的評價標準,是各類交易策略和定價模型合理性的先決條件。隨著我國金融市場的不斷發(fā)展,中國股票市場的有效程度經歷了一個從低到高的漸進過程,本文以我國股票市場發(fā)展歷程中的幾次重大事件為分隔點,將我國股票市場二十余年的歷史分成三個階段,運用單位根檢驗、收益序列自相關檢驗、分形檢驗、游程檢驗以及向量自回歸模型等多種研究方法,對市場的有效程度進行順次檢驗并對其中的原因進行了分析。 具體來講,第一章敘述了選題的背景、意義和國內外相關文獻綜述等；第二章全面回顧了有效市場理論的發(fā)展情況及其面臨的各種挑戰(zhàn)；第三章運用多種方法對我國滬深股市的有弱式效性進行檢驗,以期在綜合各種方法后何處可靠的結論；第四章則在第三章的基礎上運用向量自回歸模型及脈沖響應函數(shù)方法對股市進行半強勢有效檢驗,并刻畫我國股市有效性程度的變化歷程；第五章概括全文結論,提出政策建議。 經過研究得出,我國滬深兩市股票市場自1996年12月27日之后初步達到弱式有效,自2005年5月9日之后在各個方面都基本達到了弱式有效水平。半強式有效檢驗中,股票市場的有效性呈現(xiàn)顯著的加強趨勢,到了2005年5月9日至今的第三階段,股票價格對基本宏觀經濟變量和公司質量信息的反應已相當迅速,過度反應和反應不足的問題得到明顯改善,通過對歷史價格和已公開信息的分析已經很難獲得持續(xù)的超額收益。
[Abstract]:Since Eugene Fama, an American scholar, first put forward the efficient market hypothesis, after decades of financial practice, efficient market theory has become one of the cornerstones of mainstream finance and modern investment theory. At the theoretical and empirical level, it provides the evaluation criteria of market efficiency, which is a prerequisite for the rationality of various trading strategies and pricing models. With the continuous development of financial markets in China. The efficiency of Chinese stock market has gone through a gradual process from low to high. This paper takes several important events in the development of Chinese stock market as the separation point. The history of Chinese stock market for more than 20 years is divided into three stages: unit root test, income sequence autocorrelation test, fractal test, run test and vector autoregressive model. The efficiency of the market is tested sequentially and the reasons are analyzed. Specifically, the first chapter describes the background of the topic, significance and domestic and foreign literature review; The second chapter reviews the development of efficient market theory and the challenges it faces. The third chapter uses various methods to test the weak validity of Shanghai and Shenzhen stock markets in order to find out where to be reliable after synthesizing various methods. Chapter 4th uses the vector autoregressive model and the impulse response function method to test the stock market semi-strong and effective on the basis of the third chapter, and describes the change course of the stock market efficiency degree in our country. Chapter 5th summarizes the conclusions of the full text and puts forward policy recommendations. Through the research, the stock market of Shanghai and Shenzhen stock market has reached the weak efficiency since December 27th 1996. Since May 9th 2005, it has basically reached the weak effective level in all aspects. In the semi-strong efficiency test, the stock market efficiency shows a significant trend to strengthen. In the third stage from May 9th 2005 to now, the stock price response to the basic macroeconomic variables and corporate quality information has been quite rapid, overreaction and inadequate response problems have been significantly improved. It is difficult to obtain a sustained excess return by analyzing historical prices and published information.
【學位授予單位】：天津財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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