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中国股票市场多层次体系建设探索——基于有效市场理论的实证分析

The exploration of the multi-level system construction in China's stock market -- An Empirical Analysis Based on effective market theory

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作者:
张莉倩
导师:
陈永生
学科专业:
金融专业学位 
文献出处:
西南财经大学 2014年
关键词:
有效市场假说论文  多层次市场论文  二级市场论文  

摘要:作为资本市场的领头羊,美国的资本市场以其合理的多元化结构和最大的资金规模高效运转,为实体经济发展储备动力,多项建立于砝码的EMH假说的研究成果表明美国资本市场尚未达到强势有效,内幕信息等仍然对市场产生重大影响,尽管如此,美国的市场建设经验仍旧是我国构建层次化资本市场的标准。90年代初深交所和上交所的成立标志着中国股票市场主要战场的成立,随后2004年5月中小板成立为更多规模较小的高速发展企业实现了资金的配置,为2009年10月创业板开闸提供了经验和参考,自此拉开了中国多层次资本市场构建的战略蓝图。然而目前我国资本市场的发展仍然不成熟,各层次市场的效率水平不均衡,资源配置效率,信息传导和价格反映机制不完备成了目前我国实现资金融通多样化,投资渠道多元化的障碍。本文在研究学习了国内外有关市场效率理论及其验证方式,成因探讨以及政策改进的前提之下,基于EMH假说,采用了实证检验的方法对中国股市三个市场的效率水平进行同时期分类考察,其中运用到pp检验,Q统计量检验,以及应用CAPM的时间窗口研究方法。最终得出中国多层次股市发展效率不均衡,主板和中小板达到弱势有效,尚未达到半强有效状态,创业板尚未达到弱势有效地结论,并结合三个市场在上市主体要求,集中投资者类型,监管状态等方面的差别对其效率不高且存在差异的原因进行了探讨,并且立足于股市未来的长期健康发展,三个市场协调稳健的运营,提出了相应的建设高效率二级市场的策略,以响应十六届三中全会以来对打破市场分割,满足不同融资需求,建立互相联系,高效规范的多层次股票市场的号召。

Abstract:As a leader in the capital market, the capital market with its reasonable structure and diversification of the largest scale of capital efficiency, economic development entities to reserve power, a number of research results based on the hypothesis that EMH weights of American capital market has not yet reached the strongefficient insider information still have a significant impact on the market, though. The experience of American construction market is still building hierarchical standard of capital market in china. In early 90s the Shenzhen and Shanghai marks the establishment of the establishment of the main battlefield China stock market, then in May 2004 the establishment of the small for the rapid development of enterprises more smaller realized capital allocation, provides experience and reference for the October 2009 gem floodgates, since this opened a strategic blueprint for the multi-level capital market China construction. However, at present, the development of capital market in China is still immature. The level of efficiency of all levels of the market is not balanced, and the efficiency of resource allocation, information transmission and price reflection mechanism are incomplete. This paper studied the domestic and foreign market efficiency theory and its verification method in the research, the premise and the genesis of the improvement of the policy, based on the hypothesis of EMH, using the method of empirical test on the efficiency of the stock market China level three markets for the same period classification study, which used PP test, Q test, and the application of CAPM time window method. Finally the stock market China multi-level development efficiency is not balanced, the motherboard and small plates reached the weak efficiency, has not yet reached the semi strong effective state, the gem has not yet reached the weak effective conclusion, combined with the three market in the main market, investors focus on types, causes and other aspects of the regulatory state difference to its efficiency is not high and there are differences are discussed, and based on the stock market long-term and healthy development of the future, three market coordination steady operation, put forward the corresponding two levels of building efficient market strategy, in response to the third Plenary Session of the 16th CPC Central Committee to break the market...

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