中国证券市场有效性研究

Study on the Efficient Of Chinese Stock Market

张虎(Hu Zhang) ； 李国俊(Guo-Jun Li)

《Journal of Data Analysis》 6卷1期 (2011/02) Pp. 63-82

https://doi.org/10.6338/JDA.201102_6(1).0005

摘要

文章选取中国证券市场发展过程中的三个重大事件，将中国证券市场划分为S1、S2和S3三个阶段。通过ADF单位根检验和游程检验，发现中国证券市场1997年后即进入弱势有效市场；通过事件研究法发现中国证券市场在事件发生前后股票价格都发生明显波动，平均累积异常收益率曲线在事件发生后均呈现下降趋势，表明市场存在着过度反应，中国证券市场尚未达到半强势有效状态，目前正处于弱势有效市场向半强势有效市场的转变过程中。S1、S2、S3三个阶段市场收益率序列的正态性检验结果显示，从S1到S3阶段，中国证券市场的有效程度是逐渐加强的。

關鍵字

市场有效性 ； 游程检验 ； 事件研究法

並列摘要

By the amount of information reflected in the stock price, the efficient of the stock market usually can be divided into three forms according to the efficient market hypothesis. They are weak-form, semistrong-form and strong-form. This article selects three important events during the development of Chinese stock market and divides the process into three stages. The efficient of stock market is different at different stage. After analyzing the efficient of Chinese market we find that Chinese market arrives at weak-form during the three stages. At the same time, by the testing of the semistrong-form efficient with event study we conclude that Chinese stock market doesn't meet the condition. It doesn't arrive at strong-form market. However, Chinese stock market is becoming more and more efficient during the three stages. It is in the changing of weak efficient stock market to the semistrong-form efficient stock market.

並列關鍵字

Chinese Stock Markets ； EMH ； Event Study

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