摘要
本文利用相对有效性概念,构建了多空异质交易者转换模型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。但结果同时显示目前我国市场效率仍不足,需继续深入完善相关制度来推动我国市场处理信息的效率进一步改善。
This paper uses the conception of relatively efficient market to construct a heterogeneous traders model as the basis of empirical testing. It finds non-tradable share reform improve the operating efficiency of China's market and raise 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.
出处
《管理工程学报》
CSSCI
北大核心
2010年第3期123-131,共9页
Journal of Industrial Engineering and Engineering Management
关键词
相对有效市场
股权分置改革
市场波动
relatively efficient market
non-tradable share reform
market fluctuation