中外股市不同阶段市场有效性的对比分析

Comparative Analysis of the Efficient Market between Chinese and Foreign Stock Markets at Different Stages

根据市场有效假说与股价所反映信息量的大小,证券市场的有效性通常可以分为三种形式:弱势有效、半强势有效和强势有效。不同国家(地区)的股票市场在不同阶段的市场有效性情况是不同的。通过对中国沪、深、香港以及美国证券市场不同时期市场有效性的对比研究,发现深圳、香港以及美国股市在样本区间内为弱势有效,上海股市自1997年后达到弱势有效。在弱势有效向半强势有效的阶段转化过程中,沪市最为明显,美国股市次之,香港股市最慢。根据中国股市研究结果,对政府监管及投资者在证券市场中的行为提出了一些建议。

By the amount of information reflected in the stock price,the efficient of the stock market usually can be divided into three forms according to the efficient market hypothesis. They are weak-form,semistrong-form and strong-form. The efficient of different stock market in different country (region) at different stage is different. After analyzing the efficient of the market in Shanghai,Shenzhen,Hong Kong and U.S. at different times we find that all the markets arrive at weak-form during the sample interval except Shanghai. Shanghai stock market has arrived at weak-form since 1997. At the same time,the most obvious change of the efficient in different stage is Shanghai market. In the end of the article,there are several suggestion given to the government and investors.