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通过引入价格调节因子模型将市场价格波动方差分解为市场收益方差、残差方差、企业价值方差,具体研究了中国证券市场价格发现的动态效率.研究发现:中国证券市场对系统信息有强烈的过度反应,市场几乎无法通过自身完成对过度反应趋势的修正.长期内市场对企业内在价值信息仍具有一定的发现功能,在市场的短期定价中,噪声信息对市场价格形成的影响要远远大于企业内部价值信息.从反应速度上看,上海市场的价格发现效率相对要好于深圳市场,上海市场对企业内部价值信息一般要迟缓10天左右才能做出99%的反应,深圳大概为12天.
By introducing the price adjustment factor model, the variance of the market price is decomposed into the variance of market returns, the variance of residuals and the variance of corporate value, and the dynamic efficiency of the price discovery in China’s securities market is studied in detail.The findings show that there is a strong over- Reaction, the market almost can not be completed by their own overreaction trend of overreaction in the long-term market value of the enterprise still has a certain value of the discovery function in the market short-term pricing, noise information on the market price is far greater than the impact of the formation of enterprises Internal value information From the reaction rate point of view, the Shanghai market price discovery efficiency is relatively better than the Shenzhen market, the Shanghai market for enterprise internal value information generally slow to 10 days to make a 99% response, Shenzhen is about 12 days.