基于股价信息含量对我国股票市场效率的经验检验

Statistical Index,Information Purity and Market Efficiency

统计指标是统计学和计量经济学中常用的统计概念,人们已经对其在统计学与计量经济学基础的功能相对比较熟悉。随着科学的进一步发展与各学科的进一步融合,的意义与作用进一步延伸,现已广泛使用来测度股价信息含量,从而又为量化分析股票市场效率提供了支持。本文选择从蓝筹股角度来测定我国股票市场股价信息含量,同时对影响我国股票市场股价信息含量的因素进行了分析,进而在一定程度上对我国股票市场的效率作出判断。

is commonly used statistical concepts in statistics and economics. It is familiar to people with these function of in statistical or economic basis. With the further development of the science and the further integration of all subjects, the significance and function of further extend, has been widely used to measure the purity of information in share price, thus the quantitative analysis of stock market efficiency may provide support. This paper choose blue chip stock to determine information purity of share price in Chinese stock market, analyse these factors which affect purity of information in share price, so we can judge if it is efficient on stock market in China to a certain extent.