会计准则国际趋同提升了资本市场效率吗?——来自“一带一路”亚洲地区主要资本市场的经验证据

Does International Convergence of Accounting Standards Promote the Efficiency of Capital Market?——Empirical Evidence from Major Capital Market along the “One Belt and One Road” in Asia Region

运用卡尔曼滤波和TARCH分析计算得出股市收益率的自相关系数,用以反映股市效率的高低。通过对比分析了会计准则国际趋同前后,"一带一路"亚洲地区主要资本市场效率的变化情况,发现趋同效果的发挥跟其实施的环境有很大的关系,市场经济越完善的国家和地区越需要国际趋同的会计准则,趋同的会计准则也更能发挥作用,而市场经济不发达的国家会计准则的作用有限。

In this paper,Calman filter and TARCH model are used to calculate the autocorrelation coefficient of stock return,which is the substitution index of stock market efficiency.By comparing the efficiency of major stock markets along the＂One Belt and One Road＂in Asia before and after the international convergence of accounting standards,we found that the effect of convergence is closely related to the environment of its implementation.The more prosperous the market economy,the more efficient the accounting standard,and it works the other way as well.