本文關(guān)鍵詞： 有效市場假說 弱勢有效檢驗 技術(shù)分析 半強勢有效檢驗 財務信息　出處：《云南財經(jīng)大學》2017年碩士論文　論文類型：學位論文

【摘要】：對于想要做股票投資的人來說,作者覺得最重要的是要先對市場的總體效率做一些了解和分析。本文就是用統(tǒng)計方法對上海股票市場的效率進行了分析。在第一部分文獻綜述中,作者用簡單的語言敘述了尤金·法瑪提出的效市場假說。根據(jù)這個重要的理論,作者分別在本文第二部分(在有效市場假說下對上證指數(shù)進行弱勢有效性檢驗)和第三部分(在有效市場假說下對上海股票市場進行半強勢有效檢驗)進行了實證檢驗。在第二部分中對市場進行隨機性趨勢檢驗時發(fā)現(xiàn)市場確實具有隨機性趨勢,收益序列也不相關(guān),這說明在市場中只使用過去的價格信息不能很好地預測未來的收益,但是使用技術(shù)分析(用到了歷史成交量和成交價信息)時,發(fā)現(xiàn)技術(shù)分析可以對未來收益的預測提供幫助,這說明市場并沒有達到弱勢有效。得出這樣的結(jié)論,作者認為,在市場達到弱勢有效的前提下,股指會出現(xiàn)隨機性趨勢,但反過來,不成立。接著在第三部分中,作者對平安銀行用重要財務信息(凈利潤波動)來預測未來收益情況,沒能成功,這說明使用平安銀行的某些財務信息不能預測出其未來的收益。但是作者同時也發(fā)現(xiàn)了,市場中個股與指數(shù)之間有極高的相關(guān)性,甚至個股間出現(xiàn)協(xié)整關(guān)系的情況,低相關(guān)性可以理解,但高相關(guān)性必然說明股價沒有反應公司的真實經(jīng)營情況,即市場沒有達到半強勢有效。在市場整體沒有達到半強勢有效的情況下,平安銀行的凈利潤變動的財務信息卻不能對股票的未來收益做出預測,面對這樣的情況,假設(shè)平安銀行也沒有達到半強勢有效,那么作者認為,市場達到半強勢有效時財務信息對未來收益預測無效,反之不成立。由于在對弱勢有效性的推論(技術(shù)分析無預測能力)進行驗證時,作者發(fā)現(xiàn)技術(shù)分析的預測能力很強,所以作者認為上海股票市場沒有達到弱勢有效。股票價格近似服從隨機游走只能說明單純依靠過去的收益不能預測未來的收益,但結(jié)合成交量進行分析后,可以有效地預測未來的收益。
[Abstract]:For those who want to invest in stocks, The author thinks that the most important thing is to make some understanding and analysis of the overall efficiency of the market. This paper analyzes the efficiency of the Shanghai stock market by means of statistical methods. In the first part of the literature review, The author uses simple language to describe the efficient market hypothesis proposed by Eugene Farmer. According to this important theory, In the second part of this paper (to test the weak validity of Shanghai stock market index under the efficient market hypothesis) and the third part (semi-strong efficient test of Shanghai stock market under the efficient market hypothesis). In the second part, when we test the random trend of the market, we find that the market does have a random trend. The return sequence is also irrelevant, which means that using only the past price information in the market can not predict the future income very well, but when using the technical analysis (using the historical volume and the transaction price information), It is found that technical analysis can help predict future returns, which indicates that the market is not weak and effective. In conclusion, the author believes that if the market is weak and effective, the stock index will have a random trend. In the third part, the author uses significant financial information (net profit volatility) to predict future earnings. This shows that using certain financial information from Ping an Bank can not predict its future earnings. However, the author also finds that there is a very high correlation between individual stocks and indices in the market, and even there is a co-integration relationship among individual stocks. The low correlation is understandable, but the high correlation must indicate that the stock price does not reflect the true operating situation of the company, that is, the market is not semi-strong and efficient. However, the financial information on the changes in net profit of Ping an Bank cannot predict the future income of the stock. In the face of such a situation, assuming that Ping an Bank is not semi-strong, the author thinks, When the market is semi-strong and efficient, the financial information has no effect on the forecast of future income, otherwise it does not hold true. Because when the corollary of weak effectiveness (technical analysis has no predictive ability) is verified, the author finds that the prediction ability of technical analysis is very strong. Therefore, the author thinks that the Shanghai stock market is not weak and effective. The fact that the stock price is moving from random to random can only show that the future returns cannot be predicted simply by relying on the past returns, but after analyzing the transaction volume, You can effectively predict future earnings.
【學位授予單位】：云南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 田景坤;倪博;;融資融券交易促進股票市場有效性了嗎[J];南方經(jīng)濟;2015年11期

2 劉榮茂;劉恒昕;;滬港通對滬市股票市場有效性的影響[J];經(jīng)濟與管理研究;2015年08期

3 張璇;;基于資本配置效率的中國股票市場制度有效性分析[J];技術(shù)經(jīng)濟;2015年04期

4 余澳;李恒;;我國貨幣政策對股票市場影響的有效性分析[J];四川大學學報(哲學社會科學版);2012年03期

5 李佳;王曉;;中國股票市場有效性的實證研究——基于方差比的檢驗方法[J];經(jīng)濟經(jīng)緯;2010年01期

6 鄧杰;唐國興;;中國股票市場技術(shù)交易規(guī)則有效性的實證研究[J];華東經(jīng)濟管理;2009年05期

7 張敏;陳敏;田萍;;再論中國股票市場的弱有效性[J];數(shù)理統(tǒng)計與管理;2007年06期

8 馬樹才;趙豐義;;中國滬深股市可預測性研究[J];當代經(jīng)濟管理;2007年03期

9 王早;;CAPM模型應用于房地產(chǎn)股票市場的有效性檢驗[J];重慶師范大學學報(自然科學版);2007年03期

10 余壽喜;;中國股票市場行業(yè)有效性研究[J];經(jīng)濟與管理研究;2006年12期

，

本文編號：1496523