新三板市场有效性实证研究

An Empirical Study of the Market Efficiency of the New Third Board

新三板市场是我国多层次资本市场的重要组成部分。论文用游程检验方法对新三板市场的弱式有效性进行检验,发现新三板市场并非有效市场,同时做市制度并没有有效改善新三板市场的有效性。论文据此从完善信息披露制度、健全监管机制、进一步改善投资者的结构等方面对提高新三板市场的有效性提出了相应的政策建议。

The new third board market constitutes an important part of China's multi-level capital market.In this paper,the weak efficiency of new third board market is tested by the run test method.It is found that the new third board market is not an efficient market,and the market making system has not effectively improved the efficiency of the new third board market.Based on this,the paper puts forward corresponding policy suggestions to improve the effectiveness of the new third board market from the aspects of perfecting the information disclosure system,perfecting the supervision mechanism and further improving the structure of the investors.