中国股市市场效率研究毕业论文.doc

硕士学位论文中国股市市场效率研究申请人： 学科专业：金融学指导教师: 2012年6月ABSTRACTThe Study of China’s Stock Market Efficiency A thesis Submitted toXi’an Jiaotong UniversityIn partial fulfillment of the requirementfor the degree ofMaster of EconomicsByYong Jiang(Finance)Supervisor: Associated Prof. Rong Lan June 2012摘 要论文题目：中国股市市场效率研究学科（专业）：金融学 摘 要有效市场假说是有关市场效率的最早理论，从上世纪三十年代至世纪末不断被接受并当做事实传承然而上世纪中后期许多相关的研究结果都对有效市场假说形成挑战，其中包括日历效应、星期效应、小公司效应等在我国，有关市场效率的研究也很多，不过截止目前为止的研究得出的结论不尽一致，支持和反对弱势有效的观点同时存在实际上，在传统金融市场理论中，理性人、正态分布及有限方差的假设，以及以这些假设为基础的理论和模型，如有效市场假说（EMH）理论、资本资产定价模型（CAPM）及套利定价理论（APT）等，一直都在与经验事实相矛盾的背景下发展的。

而倘若EMH理论有问题，那么资本市场中的多数理论和模型就会具有很大的局限性因此，人们需要寻找新的理论和方法，并且它们应该更加符合观察到的现象和事实，包括人的有限理性特征，非线性的市场反馈机制，以及市场中存在的分形和混沌状态等建立在非线性范式基础上的分形市场假说（FMH）理论，或许便是截至目前为止人们所寻找的最符合期望的答案 价格满足随机游动规律的市场将是有效的市场，因为这样的市场其价格具有不可预测性，人们无法根据这些信息来赚取额外的利润因此，本文借用基于FMH的非线性R/S分析法对我国股市进行新的分析，通过赫斯特指数H来衡量股价数据的参差不齐程度，定量得出我国股市的有效性程度大小本文选择我国股市2001至2010十年间的数据进行分析，得其H值约为0.7，明显大于0.5，因此认为我国股市在该十年间呈现弱势非有效的状态本文试着从两个方面，也即市场的内部和外部，分别对我国股市弱势非有效的原因进行了分析一方面，本文运用非线性Polya模型分析了股市对信息的反馈作用，通过简化的假设来模拟影响股价的因素是如何影响价格变化的，并通过蝴蝶效应进一步说明市场的非线性反馈作用是真实存在的，其对市场效率的发挥有直接的影响；另一方面，本文运用行为金融学中的理论对投资者的非理性行为进行了介绍和总结，认为理性人假说在实际中是不成立的，投资者的非理性行为以及有限套利的存在将对市场价格的变化产生间接的影响，使价格在一定程度上失当，市场有效性也会因此大打折扣。

关 键 词：有效市场假说；分型市场假说；R/S分析法；赫斯特指数；反馈；投资者行为 论文类型：应用研究51ABSTRACTTitle: The Study of China’s Stock Market Efficiency Speciality: FinanceApplicant: Yong JiangSupervisor: Associated Prof. Rong LanABSTRACTThe Efficient Market Hypothesis (EMH) is the earliest theories about market efficiency, which is accepted and carried on as a fact from the thirties to the end of the last century. However, Late in the last century, research and findings propose a challenge to EMH, including the Calendar Effect, the Week Effect, and the Small Firm Effect. Much research on market efficiency have be conducted in our country, while no identical conclusion has formed until now, views for and against the idea that the market is vulnerable effective exist at the same time.Actually, in the traditional theories of financial market, the assumptions of rational people, normal distribution, finite variance, and the theories or models based on these assumptions, such as Efficient market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), and the Arbitrage Pricing Theory (APT), have been developing under the context of being in contradiction with the empirical facts. If there are doubts with EMH, then the majority of the capital market theories and models would have significant limitations. Therefore, new theories and methods need be found, which should fit with the observed phenomena and facts better, including the limited rational characteristics of people, the nonlinear mechanism of the market, and the presence of fractal and chaotic states in the market. The Fractal Market Hypothesis (FMH) based on the nonlinear paradigm comes into being, which may be the most desired answer people are looking for so far.The market will be effective if the price of which meet with the law of Random Walk, because the price is unpredictable and people cannot use the information to earn extra profits. Therefore, this thesis conducts a new empirical test on the efficiency of China's stock market by using the nonlinear R/S analysis which is based on FMH, and using the Hurst exponent H to measure the unevenness and randomness of the price data, from which the efficiency of the market can be quantitatively find out.This thesis selects the data between 2001 and 2010 of China’s stock market. The result shows that the H is about 0.7, greater than 0.5 obviously, which means that the China’s stock market is vulnerable non-effective.This thesis tries to analysis the possible reason for the vulnerable non-effective status of the stock market from two aspects. On the one hand, this thesis uses the non-linear Polya model to analyze the feedback effect of the market, and simulate the process how the factors affect the change of price by simplifying the model, then illustrate the the existing of feedback mechanism in the real world and its direct effect on the efficiency of the market by the example of Butterfly Effect; On the other hand, this thesis presents the theories of behavioral finance to introduce and summarize the irrational behavior of investors, and believes that rational people is not exist in the real world. The irrational behavior of investors and the existence of limited arbitrage will indirectly affect the change of price, which would be distorted, and the efficiency of the market will be greatly reduced as a result.KEY WORDS: EMH; FMH; R/S analysis; Hurst Exponent; Feedback; Investors' BehaviorTYPE OF DISSERTATION: Applied Research目 录目 录1绪论 11.1 研究背景和意义 11.2 研究综述 21.2.1 国外研究综述 21.2.2 国内研究综述 41.2.3 国内研究综述小结 61.3 本文研究思路和框架 72 市场效率研究理论与方法 92.1 市场效率概念与传统研究方法 92.1.1 市场效率 92.1.2 市场效率传统研究方法 。