论文部分内容阅读
证券市场的有效性是一切证券市场的存在基础,与之相应,研究市场的有效性是金融研究的出发点与目的。如何挖掘市场的非有效性是多数股票投资行为的动机和决定因素,相反地,消除市场的非有效性是证券市场管理的最重要目标。迄今,有很多研究市场有效性的方法,例如,市场的行为关联模式,信息的非对称性,市场价格的季节性,股票买卖的行为的周末效应。我国证券市场从无到有,一定有与其环境的相应的自身的演化规律。价格变化的关联的强弱是检验市场有效性强弱的充分且必要的手段,这里系统地从股票价格变化的固定时间模式检验市场非有效性,本文详细地研究了指数及公司的周末和季节效应。结果显示我国证券市场是正处在一个从有效性弱向强,逐步向发达国家证券市场的演化、进步的过程中。
The effectiveness of the securities market is the foundation for all securities markets. Correspondingly, studying the effectiveness of the market is the starting point and purpose of the financial research. How to explore the ineffectiveness of the market is the motivation and determining factor of most stock investment behavior. On the contrary, eliminating the ineffectiveness of the market is the most important goal of stock market management. To date, there are many ways to study the effectiveness of the market, for example, market behavior patterns, asymmetric information, seasonal market prices, and the weekend effects of stock trading behavior. Our stock market from scratch, there must be its own environment and the evolution of its own law. The strength of the correlation of price changes is a sufficient and necessary measure to test the effectiveness of the market. Here we systematically test the market inefficiencies from the fixed-time model of the change in stock prices. This paper examines in detail the indices and the company’s weekends and seasons effect. The result shows that the stock market of our country is in the process of evolving and progressing from the weakness of the effectiveness to the strong, and gradually to the securities markets of the developed countries.