| 证券市场效率及其计量研究方法综述：回顾与展望 |
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| 引用本文： | 易荣华,张洋彬,刘家鹏.证券市场效率及其计量研究方法综述：回顾与展望[J].国际商务研究,2013(3):64-74. |
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| 作者姓名： | 易荣华 张洋彬 刘家鹏 |
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| 作者单位： | 中国计量学院经济与管理学院,浙江杭州,310018 |
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| 基金项目： | 国家自然科学基金项目，浙江省高校人文社科重点研究基地"标准化与知识产权管理"及浙江省哲学社会科学重点研究基地"产业发展政策研究中心"项目 |
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| 摘 要： | 证券市场效率始终是金融理论与实证研究的核心内容。本文系统地回顾了市场效率的研究历程和新进展,讨论了有关市场效率理论及计量研究方法,进一步厘清了4类子效率——信息效率、估值效率、保险效率、功能效率之间的关系。最后,指出了市场效率研究的发展方向,即回归价格行为研究范式、重视动态相对市场效率研究、加强功能效率和估值效率研究。
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| 关 键 词： | 证券市场效率 子效率 相对效率 回顾与展望 |
Stock Market Effi ciency and Its Research Methods: Review and Prospect |
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| YI Rong-hu,ZHANG Yang-bin and LIU Jia-peng.Stock Market Effi ciency and Its Research Methods: Review and Prospect[J].International Business Research,2013(3):64-74. |
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| Authors: | YI Rong-hu ZHANG Yang-bin and LIU Jia-peng |
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| Abstract: | The stock market efficiency has always been the core of the financial theory and empirical research. This article systematically reviews the the evolution and new progress of market efficiency theory and its measurement method, and analyses the relationship between the four types of sub-efficiency, information-arbitrage efficiency, fundamental valuation efficiency, insurance efficiency and functional efficiency. Finally,the article points out the development direction of the market efficiency research: returning to the price behavior research paradigm, strengthening the research on dynamic relative market efficiency,functional efficiency and valuation efficiency. |
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| Keywords: | stock market efficiency sub-efficiency relative efficiency research methods review and prospect |
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