本文選題：有效市場 + 市場信息��； 參考：《湘潭大學(xué)》2012年碩士論文

【摘要】：有效市場假說理論是現(xiàn)代金融經(jīng)濟(jì)學(xué)領(lǐng)域兩大基石之一，對市場有效性的研究一直是金融學(xué)研究的重點課題之一。Fama于1970年正式提出了市場有效性被廣為接受的定義，形成了有效市場理論的框架體系，同時，也奠定了理論本身在金融學(xué)理論中的基礎(chǔ)地位。因此，對市場有效理論的研究具有重要的理論與實踐意義。我國股票市場發(fā)展的二十余年中，市場迅速擴張，股票市場總市值占GDP的比重也逐漸上升，表明股票市場的經(jīng)濟(jì)地位也越來越重要了，是一國國民經(jīng)濟(jì)的晴雨表。從萌芽、產(chǎn)生、發(fā)展到向規(guī)范化推進(jìn)的過程中，中國股市在發(fā)展中慢慢成熟，同時也暴露了“股市泡沫”、“政策市”及“信息非對稱”等問題。通過對我國股市有效性程度的研究，一方面，可以提高資源優(yōu)化配置功能的實施，也為證券監(jiān)管部門制定相關(guān)的法律法規(guī)提供參考；另一方面，可以幫助投資者作出合理的投資決策，理性投資。 本文首先對國內(nèi)外學(xué)者在市場有效性方面的研究進(jìn)行了整理歸納，并指出了已有研究存在的問題，本文進(jìn)行相關(guān)研究的改進(jìn)等。其次重點分析了市場有效性的理論基礎(chǔ)，論述了市場有效性的內(nèi)涵及形式、前提條件等基本內(nèi)容，，在正確認(rèn)識股票市場效率的基礎(chǔ)上，闡述了市場信息、股票價格與市場有效性之間的關(guān)系，為接下來的實證研究與分析提供了基礎(chǔ)。然后，運用實證方法檢驗了我國股票市場是否存在弱式有效性，并從新股發(fā)行事件的超額收益率和信息含量兩個角度分析是否進(jìn)入半強式有效。最后，根據(jù)實證結(jié)果分析了我國股市低效率的原因，并提出了相應(yīng)的政策建議。 我國股市成立時間較短，是一個新興市場，對于市場有效性的研究起步較晚，需要進(jìn)行相關(guān)的經(jīng)驗總結(jié)。本文通過規(guī)范研究與實證研究相結(jié)合的方法，運用最新數(shù)據(jù)，對我國股市的有效性進(jìn)行了分析，得出以下結(jié)論：第一，我國股票市場已具有弱式有效性，且滬市比深市更具有效率；第二，我國股市尚未進(jìn)入半強式有效，但有效性水平有所提高。要有效提高股票市場的有效性程度，我們要大力培養(yǎng)和發(fā)展機構(gòu)投資者，努力實現(xiàn)股票全流通，規(guī)范投資者行為，提高理性程度，并建立嚴(yán)格的多層次監(jiān)管體系，以實現(xiàn)我國股票市場的日趨成熟化。
[Abstract]:The theory of efficient market hypothesis is one of the two cornerstones in the field of modern financial economics. The study of market efficiency has always been one of the key topics in financial research. Fama formally proposed a widely accepted definition of market efficiency in 1970. The frame system of efficient market theory is formed, and the basic position of theory itself in finance theory is also established. Therefore, the study of market efficiency theory has important theoretical and practical significance. In the more than twenty years of the development of China's stock market, the market has expanded rapidly, and the proportion of total market value in the stock market has gradually increased, which indicates that the economic status of the stock market is becoming more and more important, and it is a barometer of a country's national economy. In the process from germination, emergence, development to standardization, Chinese stock market has matured slowly in the course of development, at the same time, it has exposed some problems such as "stock market bubble", "policy market" and "asymmetric information" and so on. On the one hand, it can improve the implementation of the function of optimizing the allocation of resources, but also provide a reference for the securities regulatory authorities to formulate relevant laws and regulations; on the other hand, It can help investors to make reasonable investment decisions and rational investment. Firstly, this paper summarizes the research on market effectiveness of domestic and foreign scholars, and points out the existing problems. This article carries on the related research improvement and so on. Secondly, the paper analyzes the theoretical basis of market efficiency, discusses the connotation and form of market effectiveness, and discusses the basic contents, such as preconditions, etc. On the basis of correctly understanding the efficiency of stock market, it expounds the market information. The relationship between stock price and market efficiency provides the basis for the following empirical research and analysis. Then, we use the empirical method to test whether there is weak efficiency in the stock market of our country, and analyze whether to enter the semi-strong efficiency from the two angles of the excess return rate and the information content of the new issue event. Finally, based on the empirical results, this paper analyzes the reasons for the inefficiency of China's stock market, and puts forward corresponding policy suggestions. There is a need for relevant lessons learned. By combining normative research with empirical research, this paper analyzes the effectiveness of China's stock market by using the latest data, and draws the following conclusions: first, the stock market of our country has been weakly effective. Shanghai stock market is more efficient than Shenzhen stock market. Second, our stock market has not entered semi-strong efficiency, but the efficiency level has been improved. To effectively improve the effectiveness of the stock market, we must vigorously train and develop institutional investors, strive to realize the full circulation of stocks, standardize investor behavior, improve rationality, and establish a strict multi-level regulatory system. In order to realize our country stock market maturation day by day.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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