發(fā)布時間：2018-01-06 04:13

  本文關(guān)鍵詞：有效市場假說：指數(shù)市盈率和行情角度的實證研究　出處：《復旦大學》2014年碩士論文　論文類型：學位論文

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

【摘要】：有效市場假說于19實際70年代走向成熟,是現(xiàn)代金融學理論發(fā)展的里程碑。投資組合理論和資產(chǎn)定價理論之所以能成立,均依賴于理性投資者的競爭市場中證券價格趨于均衡的假設(shè),即市場有效。有效市場假說的基本含義是證券價格能夠迅速充分反映相關(guān)信息。根據(jù)信息的不同,有效市場假說可以分為弱有效市場假說、半強有效市場假說和強有效市場假說。在國外研究的基礎(chǔ)上,國內(nèi)學者對有效市場假說是否在中國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。本文希望通過合適的方法對我國證券市場的效率進行研究,作為對過去文獻的補充。本文首先對有效市場假說進行論述,接著對國內(nèi)外的文獻進行綜述,在此基礎(chǔ)上本文用1996年至2013年之間的指數(shù)數(shù)據(jù)對我國股市的效率進行研究。選用ADF檢驗,序列相關(guān)檢驗和游程檢驗方法對弱有效市場假說進行研究,從市盈率對收益率的預測能力角度研究半強有效市場假說。實證檢驗的結(jié)論是：05年之后我國股市存在弱式有效特征；我國股市的弱式有效存在逐漸增強的現(xiàn)象；市盈率對長期收益率有預測能力,且呈負相關(guān)關(guān)系,半強有效市場假說在我國不成立；滬市有效性強于深市。
[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.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前1條

1 何誠穎;中國股市市盈率分布特征及國際比較研究[J];經(jīng)濟研究;2003年09期

，

本文編號：1386238