摘要
上海银行间同业拆放利率经过两年多的发展,期限在1个月以下的利率基本上达到了弱式有效市场水平,其中隔夜利率的市场性最好。实证检验表明,股票市场重大融资行为,如大规模的新股首次公开发行会显著地影响这些利率,尤其是SHIBOR1周利率和2周利率。但是SHIBOR隔夜利率受到的影响最小,因此它的抗干扰性最好。
After more than two years＇ development, SHIBOR less than one month satisfies weak efficient market hypothesis and overnight rate is the most effective one. Empirical results suggest that large scale financing activity in the financial market, such as IPOs, will affect these rates greatly, especially SHIBOR one-week rate and two-week rate. But SHIBOR overnight rate is affected slightly, so its property of anti-disturbance is best.
出处
《证券市场导报》
CSSCI
北大核心
2009年第7期51-56,共6页
Securities Market Herald
基金
教育部人文社会科学研究2006年度规划项目(06JA790070)
上海财经大学研究生创新基金项目(CXJJ2008331)
