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文章基于市场相对有效的理论观点,结合Hurst指数提出了股市相对有效性的测算方法;基于适应性市场假说,对股市相对有效性的动态演变机制进行了深入研究;基于经济圈、产业链和实际控制人分类指数,从地域、产业和所有制三个角度刻画了我国多层次股票市场相对有效性的多元化特征。对2009年8月25日至2011年8月31日的中证流通指数、三大经济圈指数、三大产业链指数和三大实际控制人指数的实证结果表明:(1)中证流通指数与中证下游指数的相对有效性显著高于中证上游指数与中证中游指数;(2)目前各指数均处于“相对有效”———“相对无效”的转折期中;(3)经济圈、产业链和实际控制人三个子市场的动态演变机制分别表现为中介式传导、闭合式传导和跨越式传导模式。
Based on the theory of relatively effective market and Hurst index, the article puts forward the method to calculate the relative effectiveness of the stock market. Based on the adaptive market hypothesis, the paper studies the dynamic evolution mechanism of the relative validity of the stock market. Based on the economic circle, industrial chain and actual Controlling people classification index, from the geographical, industrial and ownership point of view of the three aspects of the multi-level stock market, the relative effectiveness of the diversified features. The empirical results of the CSI Stock Market Index, the three major economic circle indices, the three major industry chain indices and the three actual controller indices from August 25, 2009 to August 31, 2011 show that: (1) the CSI Stock Exchange Index And the relative validity of the CSI downstream index is significantly higher than the CSI upstream index and the CSI middle reaches index; (2) At present the index are in the transition period of “relatively effective ” - “relatively ineffective ”; ( 3) The dynamic evolution mechanism of the three sub-markets of the economic circle, the industrial chain and the actual controller respectively shows the intermediary conduction, the closed conduction and the leaping conduction mode.