资本市场对外开放提升了市场有效性吗？--一项国际比较研究

Has Capital Market Opening up Improved Market Efficiency?——An International Comparative Study

本文采用ANP方法建立了资本市场对外开放的评价模型,对15个国家2010年的资本市场开放度进行了测度,同时借助状态空间模型,对相应时期样本市场的有效性程度进行了度量。之后,本文对一国资本市场对外开放与市场渐进有效性之间的关系进行研究发现:对发达国家而言,两者无明显相关关系,对新兴市场而言,两者呈负相关;我国保持了较低的开放程度与较高的市场有效性。最后,本文对实证结果的成因进行了分析,并给出了相应的启示。

In this paper, we used an ANP model to build up the evaluation system of capital market opening up, and investigated the capital market openness of 15 countries in 2010. Meanwhile, we measured the market efficieneies of these countries during the corresponding period with state-space model. According to our analysis of the relationship between capital market opening up and evolving market efficiency, there is no significant correlation in developed countries but negative correlation in developing countries, and China enjoyed a relatively lower extent in capital market openness and higher market efficiency. Furthermore, we analyzed the causes of our empirical conclusions and put forward some inspirations.