我国股票市场有效性的研究

摘要

本文从有效市场假设出发，重点研究我国股票市场的有效程度。本文作者通过抽样统计，对我国股票市场的有效程度进行了实证分析。先运用序列相关检验的自回归模型对市场指数收益率数据进行检验，得出了我国股票市场处于弱式有效水平的结论；然后引入事件研究法，通过对超常收益率的测算检验市场是否达到半强式有效，进而阐述如下观点：我国股票市场目前已达到弱式有效水平，但并不具有半强型有效市场的特点。%The paper, which is based on the Efficient Market Hypothesis (EMH), detailed studies on the effective degree of Chinese stock market. The author uses the sampling statistics to make an empirical analysis of the effective degree of the Chinese stock market. At first, we should adopt the regression model of serial correlation test to test the market index yield data. It is concluded that the Chinese stock market is at the level of Weak-form Efficiency. Then we introduce the Event Study Method into our study. After the calculation of the Abnormal Return on the market, we may actually check whether the efficiency of our market is Semi-strong-form or not. And then we elaborates the view that Chinese stock market has reached the level of Weak-form Efficiency, but does not has any characteristics of Semi-strong-form Efficient Market.