| 新兴股票市场有效性及诚实性检验方法和实证分析 |
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| 引用本文： | 张曼,屠梅曾.新兴股票市场有效性及诚实性检验方法和实证分析[J].预测,2001,20(1):71-74. |
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| 作者姓名： | 张曼 屠梅曾 |
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| 作者单位： | 上海交通大学,安泰管理学院,上海,200052 |
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| 摘 要： | 本文介绍了新兴股票市场有效性及诚实性检验方法，通过检验上市公司新发布的公告是否能引起股市交易量的增加和收益率的波动量增加来检验股票市场的有效性及是否存在内部交易的问题。如果在公告发布期间股市没有任何异常变动，市场可能是效率低下的或是存在内部交易。如果进一步分析能够证实在同一公司发布的针对不同持有群体的股票之间,如A股和B股或H股之间，存在滞后的引导关系，则可以基本判定股市存在内部交易。Utpa Bhattacharya已经对墨西哥的Bolsa Mexicana de Valores市场做过类似的研究并且发现该股票市场存在内部交易。本文对中国的股票市场进行研究。结果表明中国股市不存在明显的内部交易，但同时也发现中国股市的A股和B股市场之间的联动性较弱，中国股市有效性较差，尤其是B股市场对市场信息公告的反映很不明显。这些都在一定程度上反映了中国股市作为成长中的股市发展还不成熟，B股市场的发展尤其需要进一步努力。
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| 关 键 词： | 内部交易 事件分析 股票市场 中国 有效性 诚实性 检验方法 实证分析 |
| 文章编号： | 1003-5192(2001)01-0071-04 |
The Methodology of the Integrity Test of Emerging Stock Markets and Empirical Analysis |
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| ZHANG Man,TU Mei- zeng.The Methodology of the Integrity Test of Emerging Stock Markets and Empirical Analysis[J].Forecasting,2001,20(1):71-74. |
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| Authors: | ZHANG Man TU Mei- zeng |
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| Abstract: | This paper gives an introduction of methodology for testing the integrity of emerging stock markets. That is,if there is nothing unusual about volatility of returns,volume of trade in the event window,the stock market may be have insider trading. Furthermore,if there is L ead- L ag relationship between A- shares and B or H shares,the stock market surely have insider trad- ing. Utpal Bhattacharya has used this method in the Bolsa Mexicana de Valores and found it had insider trading. Here this method is used in China stock market. This paper finds there isn't obvi- ous insider trading in China stock m arket.Butthis paper also finds the relationships between China A- shares and B- shares are very weak which shows China market isn't a very mature one,especial- ly B- share market's efficiency is low. |
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| Keywords: | insider trading event studies stock market |
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