我国证券市场有效性检验分析
本站原创 论文中文摘要：有效市场理论又称为有效市场假说(Efficiency Market Hypothesis, EMH),是现代资本市场理论体系白勺重要基石。许多现代金融投资理论如资产定价模型(CAPM)、套利定价理论(APT)等都是建立在有效市场理论白勺基础之上白勺。根据有效市场假说,市场有效性可分为三种不同白勺形式:弱式有效、半强式有效和强式有效。目前,我国学者在我国证券市场是否符合半强式有效白勺问题上还存在着分歧。因此,研究当前我国证券市场有效性白勺最新动态就成为了本文研究白勺主要目白勺。本文采用事件研究白勺方法以新会计准则白勺颁布作为中心事件,从赢家组合与输家组合、舞弊与非舞弊、上市公司财务指标与股票一致性三个不同白勺角度对我国证券市场白勺证券市场有效性进行了检验。得出白勺结论是:新会计准则颁布这一事件对沪深两市中白勺不同类型白勺组合白勺股价走势有显著影响;股票不能充分白勺反映上市公司财务状况,表明我国白勺证券市场不符合半强式有效白勺假设
Abstract（英文摘要）：www.328tibEt.cn Chinese securities market from the beginning of the 1990s experienced more than 10 years of development and scored remarkable achievements, is the world’s fastest-growing market. In the development of the national economy, the market will not only play an important role as direct financing channels. As a barometer for the national economy and improve the effectiveness of macroeconomic policies he no alternative role. In the course of the development of Chinese securities market, how comprehensive and objective evaluation of Chinese securities market, give full play to their role in economic development, optimizing the allocation of resources to enhance their level of efficiency. Ensure Chinese economic reform and stable economic operation, it is the sector has been explored. Based on the test of the effectiveness of Chinese securities market Semistrong-form Efficiency, hope to provide some reference for the development of Chinese securities market.The issue of efficient market is one of the core subjects in Financial Economics. It is concerned with whether security prices at any time fully reflect all ailable information. The efficient level of a stock market is an important mark, which measures the mature degree of this market, a key factor that decides whether it can correctly allocate resources and perform its function thoroughly.Theoretical and empirical studies on the effectiveness of the securities market, in May 1970, University of Chicago economist Eugene Fama on the relationship between information and price first proposed the "Efficiency Market Hypothesis.”Fama consider that in the effective market, and impart information disclosure is adequate, good news that will immediately lead to price increases, the bad news immediately lowering prices. This is because in the exchange of information and information, full competition in the market, a specific information known to investors in the stock market quickly, driven stock prices will be fully competitive market. The information reflected in a timely manner, thus enabling investors according to the information for transactions. If the information has been fully reflected in stock prices, then there will not be changes in the prices of securities inherent link nor abnormal returns that investors can earn a risk-adjusted market rate of return on the erage. So long as the securities market prices fully reflect all the valuable and timely information at any time, securities prices will be the best assesent of the value of securities; the prices of securities represent the true value of the securities. This market is as effective marketing. Effective market in a fair, open and equitable principles can be fully reflected the more rational and effective allocation of resources.Efficient Market Hypothesis to a put on by the widespread concern, it has become One of the most classical and the most basic theories in Western economics. And Efficient Market Hypothesis occupies an important role not only in Western economics, but also the theory is an important cornerstone of the modern capital market theory, Many modern financial and investment theories, such as Capital asset pricing model (CAPM), Arbitrage Pricing Theory (APT) has been built on the basis of the theory of market efficiency. EMH and the theory based on its financial economics made more enriched and perfected, make the increasing importance of this discipline. Fama 1970 in the light of all the ailable information the different content classified as "historical information" and "public information" and "internal information", this definition corresponds to the three sets of information: 1.Weak-form Efficiency; 2.Semistrong-form Efficiency; 3.Strong-form Efficiency. The emergence of the Efficiency Market Theory and financial is a major and far-reaching impact to economic fields. This paper has studied the effectiveness of the securities market, with empirical method, test on the current situation of Chinese stock market efficiency tests.First , this paper describes the issues raised, the structure and methodology of this study. First introduced in the proposal for the development of Chinese securities market and the existence of the problem; Finally, introduce this research method, the test of the Semistrong-form market research mainly Event Study, using winners and losers portfolio,disclosure of the fraud action in the financial statements of listed companies and no fraud in the calculation of new accounting standards promulgated the cumulative abnormal return around the same time, use of financial indicators and stock price consistency test the Semistrong-form of the China Securities, analyzing Chinese Semistrong-form Efficiency of the latest developments in the stock market.Second, the theoretical study of the overseas and domestic market for the effective conducts a systematic review and sum up. Currently, numerous studies he shown the effectiveness of Chinese securities market changes gradually over time. In 1997, the stock market reached a basically Weak-form Efficiency. This not only shows that Chinese securities market to gradually mature market ahead also shows the Chinese government in the regulation of the securities market also played a positive role.Chinese securities market is strong again semi-empirical analysis of the effectiveness test. In this paper, the Event study approach to the new accounting rule promulgated as a central event from the winners and losers portfolio fraud and non-corrupt portfolio, in accordance with new accounting rule issued in the 30 trading days. Using the market model calculates the cumulative abnormal return, and, using of financial index of listed companies and stock prices consistency three different perspectives tests on the effectiveness of Chinese securities market. The results showed that the net asset yield for a combination of winners and losers’portfolio, the market ge a timely response; this shows that the disclosure of the financial data and market information content is obvious effect. However, between the degree of response and efficient market is different, for good company performance, the Shanghai stock market showed excessive reaction and the Shenzhen stock market has demonstrated a lack of response; for the poor performance of the company, the Shanghai stock market has opposite reaction to Efficient Market Theory , the excess revenue is now, This is excessive reaction to the performance of the Shenzhen stock market the cumulative abnormal return decline, showing insufficient response characteristics. And earnings per share was disclosed by the listed companies for fraud, Shanghai stock market fraud portfolio demonstrated reverse that trend. And no excessive reaction to the combination of no-fraud; ShenZhen stock market has the opposite result. Note to the disclosure of listed companies for fraud, the investors more cautious. Financial indicators and stock consistency of the test results showed that although earnings per share reflect the profitability of listed companies he a higher correlation with the stock price, but as the correlation between stock prices and other indicators are not high, it also indicates that financial indicators and stock prices are inconsistent. The three areas discussed above shows that Chinese securities market is not consistent with the assumption of Strong-form Efficiency.Finally, the test results for Event Study and the test results of the incident and financial indicators and stock consistency combined with the current situation of Chinese securities market, Discussed measures to improve the effectiveness of the securities market.
论文关键词： 有效市场假说；事件研究；新会计准则；一致性；
Abstract（英文摘要）：www.328tibEt.cn Chinese securities market from the beginning of the 1990s experienced more than 10 years of development and scored remarkable achievements, is the world’s fastest-growing market. In the development of the national economy, the market will not only play an important role as direct financing channels. As a barometer for the national economy and improve the effectiveness of macroeconomic policies he no alternative role. In the course of the development of Chinese securities market, how comprehensive and objective evaluation of Chinese securities market, give full play to their role in economic development, optimizing the allocation of resources to enhance their level of efficiency. Ensure Chinese economic reform and stable economic operation, it is the sector has been explored. Based on the test of the effectiveness of Chinese securities market Semistrong-form Efficiency, hope to provide some reference for the development of Chinese securities market.The issue of efficient market is one of the core subjects in Financial Economics. It is concerned with whether security prices at any time fully reflect all ailable information. The efficient level of a stock market is an important mark, which measures the mature degree of this market, a key factor that decides whether it can correctly allocate resources and perform its function thoroughly.Theoretical and empirical studies on the effectiveness of the securities market, in May 1970, University of Chicago economist Eugene Fama on the relationship between information and price first proposed the "Efficiency Market Hypothesis.”Fama consider that in the effective market, and impart information disclosure is adequate, good news that will immediately lead to price increases, the bad news immediately lowering prices. This is because in the exchange of information and information, full competition in the market, a specific information known to investors in the stock market quickly, driven stock prices will be fully competitive market. The information reflected in a timely manner, thus enabling investors according to the information for transactions. If the information has been fully reflected in stock prices, then there will not be changes in the prices of securities inherent link nor abnormal returns that investors can earn a risk-adjusted market rate of return on the erage. So long as the securities market prices fully reflect all the valuable and timely information at any time, securities prices will be the best assesent of the value of securities; the prices of securities represent the true value of the securities. This market is as effective marketing. Effective market in a fair, open and equitable principles can be fully reflected the more rational and effective allocation of resources.Efficient Market Hypothesis to a put on by the widespread concern, it has become One of the most classical and the most basic theories in Western economics. And Efficient Market Hypothesis occupies an important role not only in Western economics, but also the theory is an important cornerstone of the modern capital market theory, Many modern financial and investment theories, such as Capital asset pricing model (CAPM), Arbitrage Pricing Theory (APT) has been built on the basis of the theory of market efficiency. EMH and the theory based on its financial economics made more enriched and perfected, make the increasing importance of this discipline. Fama 1970 in the light of all the ailable information the different content classified as "historical information" and "public information" and "internal information", this definition corresponds to the three sets of information: 1.Weak-form Efficiency; 2.Semistrong-form Efficiency; 3.Strong-form Efficiency. The emergence of the Efficiency Market Theory and financial is a major and far-reaching impact to economic fields. This paper has studied the effectiveness of the securities market, with empirical method, test on the current situation of Chinese stock market efficiency tests.First , this paper describes the issues raised, the structure and methodology of this study. First introduced in the proposal for the development of Chinese securities market and the existence of the problem; Finally, introduce this research method, the test of the Semistrong-form market research mainly Event Study, using winners and losers portfolio,disclosure of the fraud action in the financial statements of listed companies and no fraud in the calculation of new accounting standards promulgated the cumulative abnormal return around the same time, use of financial indicators and stock price consistency test the Semistrong-form of the China Securities, analyzing Chinese Semistrong-form Efficiency of the latest developments in the stock market.Second, the theoretical study of the overseas and domestic market for the effective conducts a systematic review and sum up. Currently, numerous studies he shown the effectiveness of Chinese securities market changes gradually over time. In 1997, the stock market reached a basically Weak-form Efficiency. This not only shows that Chinese securities market to gradually mature market ahead also shows the Chinese government in the regulation of the securities market also played a positive role.Chinese securities market is strong again semi-empirical analysis of the effectiveness test. In this paper, the Event study approach to the new accounting rule promulgated as a central event from the winners and losers portfolio fraud and non-corrupt portfolio, in accordance with new accounting rule issued in the 30 trading days. Using the market model calculates the cumulative abnormal return, and, using of financial index of listed companies and stock prices consistency three different perspectives tests on the effectiveness of Chinese securities market. The results showed that the net asset yield for a combination of winners and losers’portfolio, the market ge a timely response; this shows that the disclosure of the financial data and market information content is obvious effect. However, between the degree of response and efficient market is different, for good company performance, the Shanghai stock market showed excessive reaction and the Shenzhen stock market has demonstrated a lack of response; for the poor performance of the company, the Shanghai stock market has opposite reaction to Efficient Market Theory , the excess revenue is now, This is excessive reaction to the performance of the Shenzhen stock market the cumulative abnormal return decline, showing insufficient response characteristics. And earnings per share was disclosed by the listed companies for fraud, Shanghai stock market fraud portfolio demonstrated reverse that trend. And no excessive reaction to the combination of no-fraud; ShenZhen stock market has the opposite result. Note to the disclosure of listed companies for fraud, the investors more cautious. Financial indicators and stock consistency of the test results showed that although earnings per share reflect the profitability of listed companies he a higher correlation with the stock price, but as the correlation between stock prices and other indicators are not high, it also indicates that financial indicators and stock prices are inconsistent. The three areas discussed above shows that Chinese securities market is not consistent with the assumption of Strong-form Efficiency.Finally, the test results for Event Study and the test results of the incident and financial indicators and stock consistency combined with the current situation of Chinese securities market, Discussed measures to improve the effectiveness of the securities market.
论文关键词： 有效市场假说；事件研究；新会计准则；一致性；