本文關(guān)鍵詞：有效市場(chǎng)假說(shuō)：指數(shù)市盈率和行情角度的實(shí)證研究　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 有效市場(chǎng)假說(shuō) 弱式有效 半強(qiáng)有效 市盈率 股票指數(shù)

【摘要】：有效市場(chǎng)假說(shuō)于19實(shí)際70年代走向成熟,是現(xiàn)代金融學(xué)理論發(fā)展的里程碑。投資組合理論和資產(chǎn)定價(jià)理論之所以能成立,均依賴(lài)于理性投資者的競(jìng)爭(zhēng)市場(chǎng)中證券價(jià)格趨于均衡的假設(shè),即市場(chǎng)有效。有效市場(chǎng)假說(shuō)的基本含義是證券價(jià)格能夠迅速充分反映相關(guān)信息。根據(jù)信息的不同,有效市場(chǎng)假說(shuō)可以分為弱有效市場(chǎng)假說(shuō)、半強(qiáng)有效市場(chǎng)假說(shuō)和強(qiáng)有效市場(chǎng)假說(shuō)。在國(guó)外研究的基礎(chǔ)上,國(guó)內(nèi)學(xué)者對(duì)有效市場(chǎng)假說(shuō)是否在中國(guó)股市成立做了大量研究,有了較多發(fā)現(xiàn),但也存在分歧和不足。本文希望通過(guò)合適的方法對(duì)我國(guó)證券市場(chǎng)的效率進(jìn)行研究,作為對(duì)過(guò)去文獻(xiàn)的補(bǔ)充。本文首先對(duì)有效市場(chǎng)假說(shuō)進(jìn)行論述,接著對(duì)國(guó)內(nèi)外的文獻(xiàn)進(jìn)行綜述,在此基礎(chǔ)上本文用1996年至2013年之間的指數(shù)數(shù)據(jù)對(duì)我國(guó)股市的效率進(jìn)行研究。選用ADF檢驗(yàn),序列相關(guān)檢驗(yàn)和游程檢驗(yàn)方法對(duì)弱有效市場(chǎng)假說(shuō)進(jìn)行研究,從市盈率對(duì)收益率的預(yù)測(cè)能力角度研究半強(qiáng)有效市場(chǎng)假說(shuō)。實(shí)證檢驗(yàn)的結(jié)論是：05年之后我國(guó)股市存在弱式有效特征；我國(guó)股市的弱式有效存在逐漸增強(qiáng)的現(xiàn)象；市盈率對(duì)長(zhǎng)期收益率有預(yù)測(cè)能力,且呈負(fù)相關(guān)關(guān)系,半強(qiáng)有效市場(chǎng)假說(shuō)在我國(guó)不成立；滬市有效性強(qiáng)于深市。
[Abstract]:The efficient market hypothesis matured in 70s, which is the milestone of the development of modern finance theory. Portfolio theory and asset pricing theory can be established. The efficient market hypothesis is that the stock price can reflect the relevant information quickly and fully according to the different information. The efficient market hypothesis can be divided into weak efficient market hypothesis, semi-strong efficient market hypothesis and strong efficient market hypothesis. Domestic scholars have done a lot of research on whether the efficient market hypothesis has been established in Chinese stock market, but there are still some differences and shortcomings. This paper hopes to study the efficiency of China's securities market through appropriate methods. As a supplement to the past literature, this paper first discusses the efficient market hypothesis, and then summarizes the literature at home and abroad. On this basis, this paper uses the index data from 1996 to 2013 to study the efficiency of China's stock market. ADF test is used. Sequential correlation test and run test are used to study the hypothesis of weak efficient market. The semi-strong efficient market hypothesis is studied from the perspective of the forecasting ability of price-earnings ratio to the yield. The empirical results are as follows: there are weak efficient characteristics in China's stock market after 2005; The weak form efficiency of our country stock market exists the phenomenon that strengthens gradually; The price-earnings ratio has the ability to predict the long-term yield and has a negative correlation. The semi-strong efficient market hypothesis is not established in China. Shanghai is more effective than Shenzhen.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 何誠(chéng)穎;中國(guó)股市市盈率分布特征及國(guó)際比較研究[J];經(jīng)濟(jì)研究;2003年09期

，

本文編號(hào)：1386238