中国股票市场价格时滞——二十年的变化

Time Lag of Chinese Stock Market Price:Changes in 20 Years

由于市场摩擦的存在,资产价格对新信息的反应存在滞后性,因此市场的信息效率可以用价格时滞来表征。测算1996—2016年我国沪深A股市场个股及总体市场的年价格时滞。针对投资者认知假说、流动性假说、投机性假说和市场分隔假说,选取相应的代理指标,经过实证检验明晰上述4个假说对中国股票市场价格时滞解释的有效性。结果发现,投资者认知假说和市场分隔假说对中国股票市场稳健有效。最后,从投资者认知程度、虚拟经济与实体经济背离角度对提高我国股票市场信息效率提出了一些建议。

Because of the market friction,the asset price always lags behind on the reaction to new information,so the market information efficiency can be characterized by time lag of price.This paper measured and calculated the annual time lag of price of individual shares in Shanghai-Shenzhen A-share market and the overall market from 1996 to 2016.In view of the investor recognition hypothesis,liquidity hypothesis,speculativeness hypothesis and market separation hypothesis,the empirical test was used to verify the efficiency of the four above-mentioned hypotheses to explain the time lag of Chinese stock market price,after selecting the corresponding proxy indicators.It turns out that the investor recognition hypothesis and the market separation hypothesis are stable and effective in Chinese stock market.Finally,some suggestions were made to improve the information efficiency of Chinese stock market from the perspectives of investor recognition degree and virtual economy deviating from entity economy.