我国股票市场的有效性实证分析
摘要股票市场是市场经济体系的重要组成部分，股票市场的有效性问题也成为衡量一国证券市场成熟与否的关键标志。20世纪90年代我国股票市场诞生发展以后，日益成为影响国民经济的重要因素。在其不断走向规范化的过程中，也暴露了许多问题，如信息传导机制低效、市场制度单一、上市公司治理不当、政府监管本质界定不当等，这些都影响了我国股票市场的效率问题。股票市场有效性的检验方法有许多种，本文通过单位根检验与资本资产定价模型来研究我国股票市场的特征，分析我国股票市场低效的原因，并依据实证分析的结论对提高我国股票市场有效性提出相应合理的对策。从实证分析结果可看出，我国股票市场基本达到弱式有效，有效性很弱。51034
毕业论文关键词：有效市场假说；弱式有效；资本资产定价模型；单位根检验
An Ampirical Analysis of the Effectiveness of Chinese Stock Market
Abstract Stock market is an important part of the market economy system, The effectiveness of the stock market problem has become a key sign to measure a country's securities market is mature or not. After the stock market in our country was born in the 199s, it has increasingly become the important factors that affect the national economy. In the process of its continuously towards standardization, it also exposed many problems. Such as information transmission mechanism inefficient、distortion of information disclosure、unperfect management of the listed corporation, and government supervision is not enough. All of these affected the efficiency of Chinese stock market. We have many kinds of test method for the effectiveness of the stock market. In this paper, we will study the characteristics of the stock market in China through the unit root test and the stock asset pricing model. We will also analyse the cause of the inefficient stock market in China. We are going to put forward the reasonable countermeasures on the basis of the conclusion of the empirical analysis to improve the effectiveness of stock market in China. We can draw conclusion from the result of empirical analysis, the efficiency of Chinese stock market is weak, it has become weak-form market.
Key Words：Efficient Market Hypothesis；Weak Efficiency；Capital Assets Pricing Model；Unit Root Test
目 录
摘要。-1
Abstract-Ⅱ
目录。Ⅲ
一、绪论-1
（一）研究的背景及意义1
（三）研究框架4
二、有效市场假说的学术原理。5
（一）有效市场假说前提条件。5
（二）有效市场假说涵义5
（三）有效市场假说三种类型。6
（四）有效市场假说检验方法。7
三、我国股票市场发展历程整合。-8
（一）我国股票市场发展历程。8
（二）我国股票市场现状与存在的问题。12
四、我国股票市场有效性实证检验15
（一）数据样本的选取。-15
（二）实证研究16
（三）实证结论20
五、改善我国股票市场有效性的对策-21
（一）改善市场制度。21
（二）强化监管体系。21
（三）提高法律执行能力21
（四）放宽政府管制。21
（五）培养监管机构并完善上市公司治理。-22
六、结论-22
参考文献23
一 绪论
（一） 研究的背景及意义
1. 研究的背景
股票市场是中国多层次经济体系不可或缺的一个重要环节，我国的股票市场仍是一个新兴证券市场，起步晚但发展速度快。1990年，上海证券交易所和深圳证券交易所先后落户中国，标志着中国证券市场的诞生。股票市场一路走来，发展不过二十余载，已经为我国经济增长做出了杰出贡献，现今的证券市场发展历程，挑战与机遇并存。