上海股市市场有效实证研究

An Efficient and Practical Study of Shanghai Stock Market

市场效率是股票市场研究的基本问题之一。本文把上海股市从上海证券交易所成立开始分为两个阶段，实证检验了从１９９２年年底开始的上海股市第二阶段股价的正态分布规律和随机行走特性，验证了上海股市第二阶段弱形式的有效市场假设。同时指出，上海股市存在明显的小公司效应这一世界各地股市的普遍现象，值得引起管理层和理论界的重视和探讨。规模的扩大、法规的完善和信息正确快速的传播，是我国股市的发展趋势，也是市场有效的基础。

Abstract Efficiency' is one of the basic problem in studying the stock market. This paper divides the Shanghai stock market into two stages since its inauguration. The practices prove the fea:ures of the second stage since its operation at the end of 1992, the rule of positive deployment and random motion, and examine the supposition of efficient market in the second stage of weak mode. The authors further point out that the small-corporation effect manifests clearly in Shanghai stock market just as the stock markets worldwide show.It seems a general phonomenum and it is worthwhile for the managerial and theoretical circles to pay attention to and discussion. The enlargement of scale, the perfection of legislation and the speedy communication of informations are the developmental trends of China's stock markets and they are also the bases of market efficiency.