文档介绍：对外经济贸易大学
硕士学位论文
中国股票市场弱式有效的实证研究
姓名:张玉波
申请学位级别:硕士
专业:金融学
指导教师:王健
20040401
对外经济贸易大学学位论文中国股票市场弱式有效的实证研究
提要
有效市场广泛采用的是 1965 年美国金融学家尤金法玛提出的定义即在
一个证券市场中价格完全反映了所有可获得的信息从经济意义上讲市场有
效性是指没有人能持续获得超额利润
有效市场假说中把有效市场分为三个层次即弱式有效市场半强式有效市
场和强式有效市场国内学者对我国股票市场有效性进行了近十年的研究股票
市场的有效性直接影响到投资者的投资理念和投资策略影响到政府市场监管的
目标和方向现代资产定价理论建立在市场有效性的基础之上关于资本市场有
效性的各种观点差别很大因此本研究具有重要的理论和现实意义
本文研究的目的是对我国 1996 年以来股票市场的弱式有效性进行实证检
验检验方法为随机游走检验法全文分为三个部分
第一章简要介绍了有效市场理论的渊源定义类型发展和面临的挑战
第二章介绍了有效市场理论的实证研究方法和前人的研究成果
第三章中本文运用自回归游程检验和方差比检验三种模型分别对我国上
海股票市场和深圳股票市场的弱式有效性进行分析
本文最终得出的研究结论为(1)1996 年以来我国股票市场整体上已经基
本达到弱式有效 A 股市场有效性强于 B 股市场上海股票市场有效性强于深
圳股票市场(2)采用月数据分析很难拒绝随机游走假设
关键词有效市场弱式有效随机游走股票市场
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对外经济贸易大学学位论文中国股票市场弱式有效的实证研究
Abstract
Efficient Market is defined formally by Eugene F. Fama who was an American
professor in finance. The definition is widely recognized by public means in which
market the price of a financial asset reflects all the information available and responds
only to unexpected news. In an economic sense, no one can always gain excess profit
in an efficient market.
There are three form of efficient market in Efficient Market Hypothesis:
weak-form efficiency market, semi-strong efficiency market and strong efficiency
market. Researches on domestic capital market have been carried on for about ten
years. The efficiency of capital market has a significant influence on investors in their
investment principal and method, on the government on its objective and way of
governance. Besides, efficient market hypothesis is a foundation of modern asset
pricing theory, while there are many disagreements on market efficiency. So the
significance on this research is great in theory and reality.
The question of whether or not China’s Stock Markets are efficient is best
answered by prehensive and concurrent analysis of the standard tests and
various types of data available while using the largest possible sample sizes. The
thesis pr