基于EMH理论的我国资本市场价格决定与应用分析

Securities Price Determination and Application Analysis of China's Capital Markets Based on EMH Theory

市场有效假设(EMH)是兼具理论性、规范性和实证性的资产定价模型基础,在西方理论界广为盛行,而对于新兴的中国资本市场,同样采用西方成熟市场EMH理论作为定价基础,将会存在很大的偏差。从我国资本市场的微观结构出发,通过对有效市场运行特征的具体考察,来探讨适合我国资本市场价格决定模型的关键性因素,有助于完善我国资产价格决定模型的现实条件与运作机制。

The research of EMH theory has both normative and positive characters. There would exist great deviation in the market efficiency test of the burgeoning markets such as Chinese securities market, if we use random walk model based on western mature markets theory. This paper grounds efficient markets characters on micro-market structure, and dis- cusses how to set up the test models which is suitable to China markets. In the end, we analyze the application of EMH theory to the actual securities business in China capital markets.