摘要
针对EMH理论无法给出一个综合性的市场效率指数和难以深入认识同类市场间的效率差异以及各种检验方法导致结论不同等问题,我们提出了基于DEA理论的市场效率指数计算模型及市场有效性检验的非参数方法,不仅给出了市场有效性的直观度量,而且可以通过与市场指数的对比研究判断大盘走向,为投资决策提供参考依据。对我国证券市场的实证研究表明,尽管研究期间大盘指数变化较大,但市场效率指数清晰地反映出我国证券市场的有效性逐步增强的变化趋势和不同市场间的效率差异。
The paper analyzes shortcomings of the Efficient Market Hypothesis, i.e. it is unable to obtain a market efficiency index and distinguish the efficiency difference of the same kind market, bring on inconsistent conclusion by different testing. Basing on DEA, we develop a model of measuring market efficiency and non-parameters method testing market efficiency, which not only present apparent measurement about market efficiency, but also offer evidence for investment decision-making. According to the empirical test on Chinese security market, the market efficiency index distinctly indicates promotional movement direction and interior efficiency difference.
出处
《中国软科学》
CSSCI
北大核心
2004年第3期144-147,156,共5页
China Soft Science
