基于香农熵的中国林产品市场信息效率评价

Evaluation of informational efficiency of China's forest product market based on Shannon Entropy measurement

基于RESSET数据库2004-2014年上市公司日收益数据,结合滚动窗口评价法和香农熵法,本文测算了林产加工、家具及木地板、造纸三个涉林行业的市场信息效率并与农产种植、农产加工两类涉农行业进行横向对比。研究发现,林产品市场的信息效率高于平均水平但弱于农产品市场,同时还发现与第一产业联系较紧密的行业信息效率水平较高,与第二产业联系较紧密的行业信息效率水平较低。根据结论,从企业、行业层面提出了提高市场信息效率、保障行业正常生产与持续盈利的政策建议。

In this paper,based on RESSET database from 2004 to 2014,the Shannon entropy measurement and rolling window approach were applied to quantify the informational efficiency of China's forest industries,such as forest products processing,furniture,and paper industry. Likewise,Agricultural department,such as agricultural cultivation and agriculture products processing,was quantified for comparison. The result showed that: Firstly,the forest market was less informational efficient than agricultural products market while more efficient than average performance. Furthermore,these sectors which closely allied to primary industry were more informational efficient than other sectors which closely allied to secondary industry. Finally,according to study results,some suggestions from the level of enterprises and sectors were offered for promoting industry development and consistent profitability.