证券市场的信息效率:由基本特征到理论猜想

Efficiency of Information in Stock Market: from Normal Characteristics to Theoretical Conjectures

有效市场假说理论对市场和股价行为的解释存在不足,在引述"信息漏出与渗入假说"和"信息反映周期假说"的基础上,研究从信息集合划分和信息反映方式两个角度论述了证券市场股价与信息偏离现象存在的必然性,同时提供了针对股价与信息一致性呈现过程特征的理论说明。研究认为,短期内市场存在对特定信息的反映周期,长期内股票价格与市场信息一致性具有动态周期过程;证券市场信息效率的基本特征通过短期内存在的信息反映周期和长期内存在股价与价值偏离周期两种市场现象呈现。

For the deficiency of EMH,which could not fully explain all the behaviors of the market and stock prices,based on introductions of leakage and infiltration of Hypothesis and Horizon of Reflection to Information Hypothesis,the paper discusses the necessity of deviation between stock price and information respectively from division of information set angle and mechanism of information reflection angle,and applies the theoretical certification to prove that there would be a process of the accordance between stock price and information. The paper suggests that there exists a reflection cycle of specific information in the market for short term,and the accordance between stock price and information shows a dynamic cycle process; information reflection cycle in short term and deviation between stock price and value give an exhibition for the characteristics of market efficiency.