我国股市相对有效性的测度及其动态演变机制分析——基于经济圈、产业链和实际控制人分类指数的实证研究
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财经研究 2012 年 第 38 卷第 01 期, 页码：50 - 61
摘要
参考文献
摘要
文章基于市场相对有效的理论观点,结合Hurst指数提出了股市相对有效性的测算方法;基于适应性市场假说,对股市相对有效性的动态演变机制进行了深入研究;基于经济圈、产业链和实际控制人分类指数,从地域、产业和所有制三个角度刻画了我国多层次股票市场相对有效性的多元化特征。对2009年8月25日至2011年8月31日的中证流通指数、三大经济圈指数、三大产业链指数和三大实际控制人指数的实证结果表明:(1)中证流通指数与中证下游指数的相对有效性显著高于中证上游指数与中证中游指数;(2)目前各指数均处于"相对有效"———"相对无效"的转折期中;(3)经济圈、产业链和实际控制人三个子市场的动态演变机制分别表现为中介式传导、闭合式传导和跨越式传导模式。
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[2]郑伟.非线性视角下的股票市场相对有效性思考[J].财经研究,2001,(12):10-17.
[3]Campbell J Y,Lo A W,MacKinlay C.The econometrics of financial markets[M].NewJersey:Princeton University Press,1997.
[4]Cajueiro D O,Tabak B M.The Hurst exponent over time:Testing the assertion thatemerging markets are becoming more efficient[J].Physica A,2004,336:521-537.
[5]Giglio R,Matsushita R,Da Silvas.The relative efficiency of stockmarkets[J].EconomicsBulletin,2008,7(6):1-12.
[6]Love I,Zicchino L.Financial development and dynamic investment behavior:Evidencefrom panel VAR[J].Quarterly Review of Economics and Finance,2006,46:190-210.
[7]Lo A W.The adaptive markets hypothesis:Market efficiency from an evolutionary perspective[J].Journal of Portfolio Management,2004,(9):15-29.
[8]Lo A W.Reconciling efficient markets with behavioral finance:The adaptive marketshypothesis[J].Journal of Investment Consulting,2005,7(2):21-44.
[9]Mantegna R N,Stanley E.An introduction to econophysics:Correlations and complexityin Finance[M].Cambridge:Cambridge University Press,2000.
[10]Shmilovici A,Alon-Brimer Y,Hauser S.Using a stochastic complexity measure tocheck the efficient market hypothesis[J].Computational Economics,2003,22:273-284.
引用本文
徐国祥, 刘芳. 我国股市相对有效性的测度及其动态演变机制分析——基于经济圈、产业链和实际控制人分类指数的实证研究[J]. 财经研究, 2012, 38(1): 50–61.
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