系统复杂性熵理论下股市有效性与复杂性的变化分析——以股权分置改革的视角

Change Analysis of Validity and Complexity of Stock Market Under Entropy Theory of System Complexity——From the Perspective of Share-trading Reform

运用复杂性熵(近似熵与样本熵)估计探究了股权分置改革对中国股票市场有效性与复杂性的影响变化。研究表明,股市复杂性的动态变化反映了股权分置改革使股价具有的随机性得到增强,股票市场有效性获得提升,但提升幅度较小;股市的复杂性、随机性与有效性之间存在正向变化关系;股市收益率与其复杂性、有效性之间存在反向变化关系;度量复杂性的近似熵比样本熵在描述和刻画股市序列变化总趋势方面更显著,但样本熵在检测数据的灵敏度上强于近似熵,拓展了仅强调样本熵更优的理论观点;应继续实施证券制度改革,完善监管体系建设,规范信息披露,增强股市的市场性,股市的有效性将进一步提升。

Estimation of Complexity Entropy(Approximate Entropy and Sample Entropy) is applied to explore the share-trading reform on the impact change of the effectiveness and complexity of China’s stock market. The study shows that: the dynamic change of the complexity of stock market reflects that the randomness of stock price is enhanced by the reform of the shareholder structure, and the effectiveness of the stock market has improved, but only slightly;there is a positive relationship among the complexity, randomness and effectiveness of the stock market;there is a reverse relationship between stock market return rate and its complexity or effectiveness;approximate entropy of measurement complexity is more significant than sample entropy in describing and characterizing the general trend of stock market sequence changes, but sample entropy is stronger than approximate entropy in detecting data sensitivity, and the theoretical viewpoint that only emphasizes better sample entropy is extended;the reform of securities system should be continued to implement, improving the construction of supervision system, regulating information disclosure, enhancing the marketability of the stock market, the stock market effectiveness will be further enhanced.