XBRL格式财务报告对基金市场有效性的影响研究

Study on the Effect of XBRL Financial Report on the Efficiency of Chinaive Return Predictabi

本文利用上交所推出的上证基金指数、深交所推出的深证基金指数以及Wind公司推出的大盘基金指数、中盘基金指数、小盘基金指数、价值型基金指数、成长型基金指数等7个指数的相关数据验证采用XBRL格式的财务报告对基金市场有效性的影响。实证结果表明,无论以任何基金指数作为中国基金市场的代理指标,采用XBRL格式财务报告均可以降低其对随机游走的偏离程度,即提高了中国基金市场的有效性。具体而言,其提升效果有所差异:采用XBRL格式的财务报告对上交所基金市场有效性的改善效果大于深交所的基金市场;对大盘基金和小盘基金的改善效果优于中盘基金;对成长型股票基金的改善效果优于价值型股票基金。

This paper employs the SSE Fund Index,Shenzhen Fund Index,large-scale fund index,middle-scale fund index,small-scale fund index,value-style fund index and growth style fund index to test the impact of the adoption of financial report based on XBRL on the weak-form efficiency of China's mutual fund market. No matter which index is used as a proxy for the mutual fund market,the empirical result shows that the adoption of financial report based on XBRL can reduce the deviations from a random walk in stock index time series,thus enhance the efficiency of China's mutual fund market. However,the effect is different: the adoption of XBRL enhances the efficiency of the fund market in SSE more than that in SZEX; the adoption of XBRL increases the efficiency of middle scale fund market less than that of large scale and small scale fund market; the adoption of XBRL promotes the efficiency of growth style fund market more than that of value style fund market.