中国股票市场信息传递效率实证分析

Empirical Analysis on the Efficiency of Information Transfer in China Stock Market

通过对交易时间与非交易时间效应及周日效应的分析 ,对中国股票市场信息传递效率的问题展开实证研究 .对上海、深圳股票市场自 1 990年底开市至 1 998年底以来综合指数的分析表明 :上海股票市场非交易时间的收益率显著高于交易时间的收益率 ;上海股市与深圳股市存在显著的周日效应 ,周五开盘到收盘的收益率

This study attempts to explore the efficiency of information transfer in China stock market by analysis of the trading and non trading time effect and the weekday effect. According to the analysis of China stock market from its opening in the end of 1990 to the end of 1998, it is found that the returns during non trading time is significantly higher than that of trading time in Shanghai stock market and that the weekday effect does exist in China stock market. Moreover, the returns from open quotation to closing quotation of Friday is significantly higher than that of any other trading day in the week.