摘要
自Fama提出有效市场假说(EMH)开始,有关市场效率研究的成果层出不穷。国内对中国股市是否达到弱型效率争论较大,否定和支持者基本各半。已有研究大多忽略了分析市场效率的动态演进过程,而渐进有效性检验方法可弥补这一缺陷。引入该方法对深圳股市进行实证检验发现,深圳股市外在效率经历了一个渐进有效的动态演进过程,虽然市场效率朝着有效的方向演进,但仍未达到弱型效率。此结论对投资者、上市公司、政府的决策均有参照作用。
Research results about market efficiency are emerging endlessly following Fama's theory of Efficient Market Hypothesis (EMH) .Regarding China's stock market efficiency, almost half of Chinese researchers argue that China's stock market reached weak-form efficiency, but the other half oppose this conclusion. Most available papers neglect the dynamic efficiency evolution in China's stock market. Nevertheless, evolving market efficiency test can be seen as a remedy for it. Based on the introduction of this method, an empirical test on external efficiency of Shenzhen stock market is conducted. The test indicates that Shenzhen stock market has experienced a dynamic efficiency evolution towards effectiveness, however, fails to reach weak-form efficiency. This conclusion should draw the attention of investors, listed companies and government while making relevant decisions.
出处
《华南金融研究》
2004年第2期40-44,共5页
South China Financial Research
