中国股票市场半强势效率研究

【作者】 范旭东；

【导师】 刘红忠；

【作者基本信息】 复旦大学 ， 金融学， 2010， 博士

【摘要】 金融市场是否实现了半强势效率对于现代金融理论的发展和实践均具有十分重要的意义。新古典金融理论认为,无套利原理的作用使得金融市场上不存在套利的机会,从而股票的价格是其内在价值的反映,市场是半强势有效的。在半强势有效的前提下,可以得出现代金融市场的一系列核心理论,比如MM理论,资本资产定价模型,基于消费的资本资产定价模型等。而方兴未艾的行为金融理论等则认为由于投资者的非理性以及套利的限制使得市场并不是半强势有效的,从而我们需要以一个新的视角去考察金融市场的运行。在实践中,如果金融市场是半强势有效的,并且有良好的法制环境限制内幕交易的发生,那么投资者的策略就应该是被动的复制市场组合进行投资决策。而在市场没有实现半强势效率的情况下,投资者则可以通过分析公开的市场信息以获得超额收益。中国股票市场成立以来经过多年的发展,实现了由初期的试验性质到今天的不断壮大,成为我国资本市场不可缺少的组成部分。可以看到,随着制度设计的不断改进,监管机构的效率不断提高,投资者的不断成熟,中国股票市场的信息效率不断提高。目前,一个相对广为接受的结论是中国股票市场已经实现了弱势效率。但是是否实现了半强势效率还是一个需要进一步研究的问题。研究中国股票市场的半强势效率状况能够在理论上验证有效市场假说,为金融理论的进一步发展提供支持或者反驳的证据。分析中国股票市场上投资者的行为特征,为研究中国经济背景下金融市场和宏观经济的运行模式作出贡献。同时,分析中国股票市场的效率模式也能为投资者的决策提供参考。研究股票市场的半强势效率常用的方法是事件研究法。利用事件研究分析股票市场的半强势效率需要找到不能传递新增信息的事件。近年来中国股票市场所进行的股权分置改革导致的非流通股解禁为研究半强势效率提供了难得的事件。并且,中国近年来货币政策的独立性得到提高,货币政策的制定和执行更加符合市场经济模式。股票市场会对货币政策的冲击做出反应。在投资者能够对货币政策做出一定程度预期的前提下分析股票价格对货币政策冲击的反应同样能为判断市场效率状况提供依据。本文通过对中国股票市场效率状况和实现机制的分析,得到以下结论：第一,中国市场上股票需求曲线是向右下方倾斜的,从而中国股票市场尚未实现半强势效率。没有新增信息的股票供给增加会带来负的异常收益率,表明存在右下倾斜的股票供给曲线。右下倾斜的股票需求曲线意味着市场尚未实现半强势有效。同时,中国股票市场的高度投机性使得中国股票价格中有很强的再售期权效应存在。第二,通过分析股票价格对货币政策冲击的反应发现,即使是能够预期的信息依然会对股票价格发生影响,而股票价格对货币政策冲击的反应是一个持续的过程。这进一步表明了中国股票市场尚未实现半强势效率。第三,研究结论表明,中国股票市场存在着泡沫现象。股票价格泡沫的存在说明中国股票市场缺乏有效的套利机制保证半强势效率的实现。更多还原

【Abstract】 Whether financial market is semi-strong efficient is important to finance theory and practice. Neo-classical financial theory suggests that non-arbitrage law makes no arbitrage opportunities in the financial market, so the stock price equals the stocks’s fundamental value. If EMH holds, we get MM theory, capital asset pricing model (CAPM), consumption based capital asset pricing model (CCAPM). However, behavioral finance theory suggests that because of investors’irrationality and limits of arbitrage, market is not semi-strong efficient, and we need a new perspective to study financial markets. In practice, if the financial markets are semi-strong efficient, and government regulates insider trading effectively, then the investor should copy the market portfolio. However, if the market is not semi-strong efficient, investors can benefit from analyzing public informationWith significant development since its establishment, Chinese stock market has been an integral part of the capital market. With the improvement of institutions and regulation efficiency, as well as the learning of investors, the Chinese stock market’s information efficiency improved. Today, a widely accepted conclusion is that Chinese stock has achieves weak market efficiency. Whether it achieves semi-strong efficiency still needs further research.The study on the semi-strong efficiency state of China’s stock market can verify the efficient market hypothesis. Analysis on the Chinese stock market investors behavioral characteristics can contribute to the study of Chinese financial markets operation and macro-economy. Meanwhile, the analysis of the efficiency of China’s stock market can also provide reference for investors.Event study has been widely used to examine semi-strong efficiency of the stock market. Implementing event study to study stock market’s semi-strong efficiency requires events without new information. The non-tradable shares unlock after China’s share reform provides a scarce event. The reactions of stock prices in China to monetary policy give another perspective to study the semi-strong efficiency of China’s stock market.Our study shows the following results.First, Chinese stock market has downward sloping demand curve which shows China’s stock market has not yet achieved semi-strong efficiency. Meanwhile, the highly speculative character of China’s stock market makes resale option effect play an important role in the stock prices. Second, the response of stock price to the impact of monetary policy shows that, even the expected information still have impact on stock prices and the stock price reaction to the impact of monetary policy is a continuous process.This further demonstrates that Chinese stock market has not achieved semi-strong efficiency.Third, studies show that, there are bubbles in the Chinese stock market. The existence of stock price bubbles in the Chinese stock market means that there is no effective arbitrage mechanism to ensure semi-strong efficiency.更多还原