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1、硕士学位论文 中国股市市场效率研究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 The Study of Chinas Stock Market Efficiency A thesis Submitted to Xian Jiaotong University In partial fulfillment of the requirement for the degree of Master of Economics By Yong Jiang (Finance) Supervisor: Associated Prof. Rong Lan June 201
2、2 摘 要 I 论文题目：中国股市市场效率研究论文题目：中国股市市场效率研究 学科（专业）：金融学学科（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
3、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
4、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
5、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。 西安交通大学硕士学位论文 II 关关 键键 词：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 论文类型论文类型：应用研究 ABSTRACT III Title: The Study of Chinas Stock Market Efficiency Speciality: Finance Applicant: Yong Jiang Supervisor: Assoc
6、iated Prof. Rong Lan ABSTRACT The 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, incl
7、uding 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
8、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), ha
9、ve 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
10、 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 desi
11、red 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 Chi
12、nas 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 Chinas
13、stock market. The result shows that the H is about 0.7, greater than 0.5 obviously, which means that the Chinas 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, t
14、his thesis uses the non-linear Polya model 西安交通大学硕士学位论文 IV 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
15、 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 inves
16、tors 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 Behavior TYPE OF DISSERTATION: Applied Resear
17、ch 目 录 V 目 录 1 绪论1 1.1 研究背景和意义1 1.2 研究综述2 1.2.1 国外研究综述2 1.2.2 国内研究综述4 1.2.3 国内研究综述小结6 1.3 本文研究思路和框架7 2 市场效率研究理论与方法9 2.1 市场效率概念与传统研究方法9 2.1.1 市场效率9 2.1.2 市场效率传统研究方法10 2.1.3 线性范式和 EMH 的失灵12 2.2 分形市场假说与非线性范式理论13 2.2.1 分形概念13 2.2.2 分形维概念14 2.2.3 赫斯特指数 H 和重标极差分析法14 2.2.4 分形市场假说16 2.2.5 非线性范式理论17 3 我国股市有效
18、性检验19 3.1 检验方法R/S 分析法19 3.2 样本与数据处理20 3.2.1 样本20 3.2.2 数据处理21 3.3 结果分析25 4 我国股市弱势非有效的原因分析27 4.1 市场内部原因信息反馈机制27 4.1.1 反馈作用27 4.1.2 非线性 Polya 模型29 4.1.3 简化假设30 4.1.4 蝴蝶效应32 西安交通大学硕士学位论文 VI 4.1.5 反馈机制中的不足33 4.2 市场外部原因投资者行为34 4.2.1 噪声交易35 4.2.2 投资者信念35 4.2.3 投资者偏好37 4.2.4 羊群效应38 4.2.5 有限套利39 4.2.6 小结40
19、5 总结与展望42 5.1 本文主要工作成果42 5.2 相关研究展望42 参考文献44 附录46 致 谢52 声明 CONTENTS VII CONTENTS 1 Preface1 1.1 Research background and significance1 1.2 Research review on market efficiency2 1.2.1 External research2 1.2.2 Internal research4 1.2.3 Summary of ineternal research 6 1.3 The framework of the research7 2
20、 Market efficiency theory and test methods9 2.1 Market efficiency and traditional test methods 9 2.1.1 Market efficiency9 2.1.2 Traditional test methods10 2.1.3 The failure of linear paradigm and EMH12 2.2 Theory of FMH and non-linear paradigm13 2.2.1 Concept of Fractal13 2.2.2 Concept of Fractal di
21、mension14 2.2.3 Hurst exponent and Rescaled range analysis14 2.2.4 FMH16 2.2.5 Non-linear paradigm17 3 Efficiency test of Chinas stock market19 3.1 Test methodsR/S analysis19 3.2 Sample and data process20 3.2.1 Sample20 3.2.2 Data process21 3.3 Result analysis 25 4 Reason analysis for the vulnerable
22、 non-efficient state of Chinas stock market27 4.1 Internal reason-The feedback mechanism 27 4.1.1 Feedback effect27 4.1.2 Non-linear polya model29 4.1.3 Simplifying assumption30 4.1.4 The Butterfly Effect32 4.1.5 Indeficiency in the feedback mechnism33 4.2 External reason-The investor behavior34 4.2.1 Noise Trading35 4.2.2 Investor sentiment35 4.2.3 Investor preferences37 4.2.4 Herding 38 西安交通大学硕士学位论文 VIII 4.2.5 Limited arbitrage39 4.2.6 Summary40 5 Summary and Outlook42 5.1 Main work and result42 5