中国证券评论信息供给效率的统计分析

Statistical Analysis on the Supplied Efficiency of Securities Comments Information in China

证券评论分析师的预测能力一直受广泛的关注,通过机构分析师对大盘的走势看法的抽样,编制好友指数,运用各种不同统计手段,检验分析师预测效果的好坏。从VAR脉冲效应和方差分解的结论上,可以看到收益率波动的对好友指数变动率的影响较小,而好友指数变动率的波动对上证指数收益率有一定冲击。格兰杰因果检验也显示了好友指数变动率对上证指数收益率有影响。结论表明机构分析师对大盘短期预测判断的准确性不强,但机构预期的作用对大盘的波动是有一定影响的,投资者也不能忽视机构评论信息存在的作用。

The forecasting capacity of securities comment analysts has been widely concerned in the market. Through sampling the viewpoints of analysts in the securities companies on stock market trend, this study prepares the friends index, and uses various statistical tools to inspect prediction effect of analysts. From the conclusion of the VAR pulse effects and variance decomposition, you can see that the fluctuation of earning rate has a little effect on the friend index fluctuation. The friend index fluctuation rate has much effect on the Shanghai stock market index. Grange test shows same result. It is concluded that the short-term forecasting made by agency analysts in the stock market is not accurate, but the role of organizations＇ forecasting has some impact on the broader market fluctua-tions. Investors can not ignore the role of existed agency comments information.