摘要
本文基于股票价格的偏调整模型,估计了中国股市的价格调整系数,给出了股票价格信息揭示能力的直接证据。文章首先确定了中国股票市场价格调整过程中的限幅间隔为13天。对沪、深两市的6只交易指数的实证结果显示,两市均需9天时间方能对新信息冲击实现充分调整。价格调整系数的研究体现了一种基于微观结构的方法、行为金融的视角,把价格形成原理和价格对信息的不完全反应特征相结合进而考察股票市场效率的研究思路,可对事件研究法作有益补充。
This article estimates on the coefficient of stockprices in China and provides with immediate proof of indicativepower of stock prices. Empirical study of Shenzhen andShanghai stock price indices reveals that nine days are needed tohave a piece of information fully reflected in stock prices. Thestudy of stock price adjustment coefficient, based on a micro-structure method and behavior finance perspective, takes intoaccount price-discovery mechanism and incomplete reflectionof price to information. It could be a good complement to eventstudy.
出处
《证券市场导报》
北大核心
2004年第12期36-41,共6页
Securities Market Herald
