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有效市场假说是现代金融理论中最重要也是最有争议的概念之一。一般认为,市场有效性可以分为三个程度:弱式有效性、半强式有效性和强式有效性,其中研究最多、争议最大的是市场的弱式有效性。关于中国证券市场有效性经验检验,大部分人认为尚未达到中强式有效,但对是否达到弱式有效分歧较大。因为中国证券市场有效性的检验受制于一些特殊因素,因此,这种检验更多的应结合市场运行过程来进行。φt?1
Efficient market hypothesis is one of the most important and controversial concepts in modern financial theory. Generally speaking, market effectiveness can be divided into three levels: weak efficiency, semi-strong efficiency and strong effectiveness, of which the most studied, the most controversial is the market’s weak effectiveness. Regarding the empirical test of the effectiveness of China’s securities market, most people think that they have not yet reached the medium-strong level but effectively diverged if they reach a weak level. Because the test of the effectiveness of the Chinese stock market is subject to some special factors, so this test should be more in line with the market operation process. φt? 1