本文選題：中小板 + 創(chuàng)業(yè)板　； 參考：《五邑大學》2013年碩士論文

【摘要】：20世紀50年代有效市場假設理論開始發(fā)展起來,成為了現(xiàn)代微觀金融理論,也為現(xiàn)代金融經(jīng)濟學奠定了基礎。有效市場假設認為市場對不同層次信息的反映程度是不一樣的,該理論將證券市場分成三種不同的類型：弱式有效市場、半強式有效市場以及強式有效市場。研究市場有效性具有重要意義：第一,很多的例如資本資產(chǎn)定價模型、套利定價模型等投資理論都是以有效市場假設理論為基礎,所以對我國股票市場有效性進行實證研究有助于為其他投資理論研究提供適合我國股票市場的理論基礎；第二,由于對中小板和創(chuàng)業(yè)板市場有效性的研究較少,多數(shù)只是研究主板市場的有效性,所以此研究可以擴展對我國股票市場有效性的研究范圍,加深對市場有效性理論的理解和研究；第三,市場有效意味著證券價格變化反映了證券市場信息傳遞的完全、公平、及時、透明,根據(jù)自身的風險承受能力投資者可做出相應的投資判斷,滿足自身的投資需求；從公司的角度來說,公司自身價值是可以通過有效市場進行反映的,這樣可以增加證券供給,能夠促進公司的進一步發(fā)展；從監(jiān)管者角度來說,消除不公平競爭和保護投資者利益可以通過提高證券市場有效性來實現(xiàn),從這個意義上來說維持證券市場健康發(fā)展有著十分重要的意義。 在我國,根據(jù)對發(fā)行人的發(fā)行資格的要求不同,股票市場分為三個層級：主板市場、中小板市場和創(chuàng)業(yè)板市場。簡單來說,主板市場是股票市場最重要的組成部分,是一個地區(qū)或國家證券發(fā)行、上市和交易的主要場所；中小板市場是相對于主板市場而言的,有些企業(yè)的條件達不到主板市場的上市要求,所以只能在中小板市場上市；創(chuàng)業(yè)板是指專門協(xié)助高成長的新興創(chuàng)新公司特別是高科技公司籌資并進行資本運作的市場。中小板和創(chuàng)業(yè)板的快速發(fā)展也對我國股票市場產(chǎn)生了重大影響,其中也有很多成長為家喻戶曉的知名企業(yè),對我國投資者有著巨大的吸引力,是我國股票市場中不可或缺的兩個重要板塊�，F(xiàn)在學者多是對主板市場有效性的研究,而對中小板和創(chuàng)業(yè)板的研究較少,因此本研究運用了ADF檢驗、序列相關檢驗、游程檢驗和信息熵理論對主板市場、中小板市場和創(chuàng)業(yè)板市場進行了有效性的實證分析,研究結(jié)果表明主板市場、中小板市場和創(chuàng)業(yè)板市場均達到了弱式有效,并且深市主板市場的弱有效程度最高,中小板市場最低。
[Abstract]:In the 1950s, the efficient market hypothesis began to develop, which became the modern micro finance theory and laid the foundation for the modern financial economics. The efficient market hypothesis holds that the degree of market response to different levels of information is different. The theory divides the securities market into three different types: weak efficient market, semi-strong efficient market and strong efficient market. First, many investment theories such as capital asset pricing model and arbitrage pricing model are based on efficient market hypothesis. Therefore, empirical research on the effectiveness of China's stock market is helpful to provide a theoretical basis for other investment theories. Secondly, there are few studies on the effectiveness of the small and medium-sized board and the growth enterprise market. Most of them only study the effectiveness of the main board market, so this research can expand the scope of the research on the effectiveness of the stock market in China, and deepen the understanding and research on the theory of market efficiency. Third, Market efficiency means that the change of securities price reflects the complete, fair, timely and transparent transmission of information in the securities market. Investors can make the corresponding investment judgment according to their own risk bearing capacity to meet their investment needs. From the perspective of a company, the value of the company itself can be reflected through an efficient market, which can increase the supply of securities and promote the further development of the company; from the perspective of the regulator, The elimination of unfair competition and the protection of investors' interests can be realized by improving the effectiveness of the securities market. In this sense, it is of great significance to maintain the healthy development of the securities market. In China, the stock market is divided into three levels: the main board market, the small and medium-sized board market and the gem market according to the different requirements of the issuer's issuing qualification. To put it simply, the main board market is the most important component of the stock market, and it is the main place for a region or a country to issue, list and trade securities; the small and medium-sized board market is relative to the main board market. Some enterprises can not meet the requirements of the main board market, so they can only be listed in the small and medium-sized market. The gem refers to the market where the new and innovative companies, especially high-tech companies, are specially assisted to raise funds and operate their capital. The rapid development of the small and medium-sized boards and the gem has also had a great impact on the stock market in China, and many of them have grown into well-known enterprises, which have great appeal to Chinese investors. Is our country stock market indispensable two important plates. At present, scholars mostly study the effectiveness of the main board market, but the research on the small and medium-sized board and the growth enterprise board is less, so this study applies ADF test, sequence correlation test, run test and information entropy theory to the main board market. The empirical analysis of the effectiveness of the small and medium-sized market and the growth enterprise market shows that the main board market, the small and medium-sized board market and the growth enterprise board market have achieved weak efficiency, and the Shenzhen main board market has the highest degree of weak efficiency. Small and medium-sized board market is the lowest.
【學位授予單位】：五邑大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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