基于多空交易者模型的股改对市场有效性影响的检验

Testing Non-tradable Share Reform's Impacts to the Effectiveness of the Stock Market Based on the Bullish-Bearish Traders' Model

本文从市场价格是由多空交易者相互作用所形成的观点出发,构建了多空交易者模型,将市场相对有效性概念作为实证检验的理论基础,运用我国股票市场数据,检验了股权分置改革对我国股票市场处理新信息效率的影响,结果显示股权分置改革改善了市场运行效率,使我国市场相对有效性得到提高。但结果也表明当前我国市场效率仍不足,需进一步推进相关制度建设来提高我国市场处理信息的效率。

This paper constructs the bullish-bearish traders＇ model based on the viewpoint that the market price is the results from the interactions of bull bear heterogeneity trades. Then it uses the conception of relatively efficient market as the basis of empirical testing. It finds rant the non-tradable share reform improves the operating efficiency of China＇s market and raises the relatively efficient of China＇ s market by using China＇s stock market data. However, the findings also show that China＇s market is still less than market efficiency and we should push the building of system in order to further improve the effectiveness of the market.