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本文从市场价格是由多空交易者相互作用所形成的观点出发,构建了多空交易者模型,将市场相对有效性概念作为实证检验的理论基础,运用我国股票市场数据,检验了股权分置改革对我国股票市场处理新信息效率的影响,结果显示股权分置改革改善了市场运行效率,使我国市场相对有效性得到提高。但结果也表明当前我国市场效率仍不足,需进一步推进相关制度建设来提高我国市场处理信息的效率。
Based on the view that the market price is formed by the interaction of long and short traders, a long and short trader model is constructed. The concept of market relative validity is taken as the theoretical basis of the empirical test. Using the stock market data in our country, The effect of the reform on the efficiency of handling new information in China’s stock market shows that the reform of the non-tradable shares has improved the efficiency of the market and the relative effectiveness of the market in China has been raised. However, the results also show that the current market efficiency in our country is still not enough, and the relevant system construction needs to be further promoted to improve the efficiency of handling information in our market.