关于中国资本市场有效性的实证研究

An Empirical Study on the Efficiency of Stock Markets of China

摘要: 过去十年，随着QFII的引入、开放式基金的扩容、上市公司数量的倍数增增加。中国证券市场在制度建设和规模上有了迅速的发展。由于博弈的因素和博弈资金的增多，证券市场经常出现结构性风险，令短线投资者即使在大盘没有出现明显波动的情况下也亏损累累。本文拟以实证分析方法，比较中国与英国股票市场的有效性，意在分析不同成熟阶段市场之间的特性与共性，希望为投资者的策略制定提供一些参考。

Abstract: During last decade, Chinese securities market has developed rapidly both in institutional im- provement and scale, as the practice of QFII was introduced, much more new open-end funds were set up and the quantity of listed companies was more than doubled. However, behind the fluctuation of index, the in- creasing number of gambling factors and volume of gambling funds have intensified the structural risk in the market, and caused many short run investors lose money, even though the index has not shown enormous fluctuating, especially in the past two years. Applying empirical study methodology, this paper aims to ana- lyze the features and general characters of fluctuations at certain stages of maturity, by comparing the effi- ciency of stock markets of ChinaandUK, in the hope of bringing some enlightenments to investors in defin- ing their strategy.