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中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (5): 32-38.

• 论文 • 上一篇    下一篇

基于多空交易者模型的股改对市场有效性影响的检验

余宇新1, 余宇莹2   

  1. 1. 上海应用技术学院经济与管理学院, 上海 200235;
    2. 中国政法大学商学院, 北京 102249
  • 收稿日期:2008-01-21 修回日期:2009-08-31 出版日期:2009-10-31 发布日期:2009-10-31
  • 作者简介:余宇新(1977- ),男(汉族),江西高安人,上海应用技术学院经济与管理学院,讲师,上海财经大学经济学博士,研究方向:证券投资、行为金融学.

Testing Non-tradable Share Reform’s Impacts to the Effectiveness of the Stock Market Based on the Bullish-Bearish Traders’ Model

YU Yu-xin1, YU Yu-ying2   

  1. 1. School of Economics & Management, Shanghai Institute of Technology, Shanghai 200235, China;
    2. Business School, China University of Political Science and Law, Beijing 102249, China
  • Received:2008-01-21 Revised:2009-08-31 Online:2009-10-31 Published:2009-10-31

PDF (PC)

1280

被引次数

3

摘要： 本文从市场价格是由多空交易者相互作用所形成的观点出发,构建了多空交易者模型,将市场相对有效性概念作为实证检验的理论基础,运用我国股票市场数据,检验了股权分置改革对我国股票市场处理新信息效率的影响,结果显示股权分置改革改善了市场运行效率,使我国市场相对有效性得到提高。但结果也表明当前我国市场效率仍不足,需进一步推进相关制度建设来提高我国市场处理信息的效率。

关键词: 多空交易者, 市场相对有效性, 股权分置改革

Abstract: This paper constructs the bullish-bearish traders' model based on the viewpoint that the market price is the results from the interactions of bull-bear heterogeneity trades. Then it uses the conception of relatively efficient market as the basis of empirical testing. It finds tant the non-tradable share reform improves the operating efficiency of China's market and raises the relatively efficient of China' s market by using Chinas stock market data However,the findings also show that China's market is still less than market effciency and we should push the building of system in order to further improve the effectiveness of the market

Key words: bullish-bearish traders, the relative effectiveness of the market, non-tradable share reform

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