市场有效理论及我国股票市场有效性的实证检验

我国股票市场近年来出现的一系列事件引发了人们的深刻思考,而传统的资本市场理论已无法圆满地解释我国股票市场现有的发展程度、发展阶段及有效性等问题.为此,本文提出了市场有效性理论.利用该理论,作者通过抽样统计,对我国股票市场的有效性进行了实证分析.本文的重点在于研究我国股票市场的发展层次即其有效性层次.首先通过随机游程和股价自回归检验方法得出了我国股票市场处于弱型有效的结论,然后针对目前关于有效性层次方面的争论,用事件研究法阐述了如下观点:我国股票市场目前正处于弱型有效市场层次,但并不具有半强型有效市场的特点.     

AN EMPIRICAL EXAMINATION OF FINANCIAL LIBERALIZATION AND THE EFFICIENCY OF EMERGING MARKET STOCK PRICES

The efficient markets hypothesis in finance suggests that as equity markets are liberalized and made more open to the public, equity prices should reflect the increased availability of information and be more efficiently priced. In this paper, we examine whether emerging market equity prices have become more efficient after financial liberalization. Using two sets of financial liberalization dates, a battery of econometric tests, and data from sixteen countries and three composite portfolios, we find that in spite of theory suggesting the opposite, liberalization does not seem to have improved the efficiency of emerging markets. In fact, most of our statistical tests indicate that the markets were already efficient before the actual liberalization.     

THE TESTING OF AUSTRALIAN STOCK MARKET INDICES FOR MEAN-VARIANCE EFFICIENCY

Three different market indices are tested for mean-variance efficiency using monthly data for leading Australian securities, and following the methodologies suggested in Roll (1979). The balance of the evidence is against index efficiency and against the two-parameter asset pricing theory. However, this could be influenced by imperfections in the tests, inadequate data, and sampling errors in the betas.     

REVISITING MARKET EFFICIENCY: THE STOCK MARKET AS A COMPLEX ADAPTIVE SYSTEM

Well‐functioning financial markets are key to efficient resource allocation in a capitalist economy. While many managers express reservations about the accuracy of stock prices, most academics and practitioners agree that markets are efficient by some reasonable operational criterion. But if standard capital markets theory provides reasonably good predictions under “normal” circumstances, researchers have also discovered a number of “anomalies”—cases where the empirical data appear sharply at odds with the theory. Most notable are the occasional bursts of extreme stock price volatility (including the recent boom‐and‐bust cycle in the NASDAQ) and the limited success of the Capital Asset Pricing Model in accounting for the actual risk‐return behavior of stocks. This article addresses the question of how the market's efficiency arises. The central message is that managers can better understand markets as a complex adaptive system. Such systems start with a “heterogeneous” group of investors, whose interaction leads to “self‐organization” into groups with different investment styles. In contrast to market efficiency, where “marginal” investors are all assumed to be rational and well‐informed, the interaction of investors with different “decision rules” in a complex adaptive system creates a market that has properties and characteristics distinct from the individuals it comprises. For example, simulations of the behavior of complex adaptive systems suggest that, in most cases, the collective market will prove to be smarter than the average investor. But, on occasion, herding behavior by investors leads to “imbalances”—and, hence, to events like the crash of '87 and the recent plunge in the NASDAQ. In addition to its grounding in more realistic assumptions about the behavior of individual investors, the new model of complex adaptive systems offers predictions that are in some respects more consistent with empirical findings. Most important, the new model accommodates larger‐than‐normal stock price volatility (in statistician's terms, “fat‐tailed” distributions of prices) far more readily than standard efficient market theory. And to the extent that it does a better job of explaining volatility, this new model of investor behavior is likely to have implications for two key areas of corporate financial practice: risk management and investor relations. But even so, the new model leaves one of the main premises of modern finance theory largely intact–that the most reliable basis for valuing a company's stock is its discounted cash flow.     

A NOTE ON THE BEHAVIOR OF SECURITY RETURNS: A TEST OF STOCK MARKET OVERREACTION AND EFFICIENCY

Researchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty-one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. This evidence is contrary to the overreaction investment philosophy.     

STOCK MARKET REACTION TO ETHICAL INITIATIVES OF DEFENSE CONTRACTORS: THEORY AND EVIDENCE

This paper offers an Investor Decision Framework (IDF) to describe and measure investor behavior toward social responsibility information. This framework seeks to explain how investors perceive the effects of social responsibility information on firm value. The formation in 1986 by 32 major defense contractors of the Defense Industries Initiative (DII) provides an ideal example to assess stock market reaction to an ethical initiative. The performance of the DII firms was compared with that of a control group of non-DII defense firms, which did not sign the agreement, in order to measure and determine the extent to which the market placed substance on the DII as a public commitment to ethics. We initially posited that the DII firms stock price would move in a significantly positive direction. However, when our analysis revealed a significant negative impact not only on DII, but also on non-DII defense stock prices, we were forced to reject thisa priorihypothesis. The market interpreted this ethical initiative as (i) a precursor of future sanctions towards firms engaged in defense contracting or (ii) as a penalty for social irresponsibility imposed by socially conscious investors. Either way, it would have a negative impact upon future cash flows.     

MARKET EFFICIENCY IN DEVELOPING COUNTRIES: A CASE STUDY OF THE NAIROBI STOCK EXCHANGE

This study extends evidence on the efficiency of stock markets in developing countries using data from the Nairobi Stock Exchange (NSE), and also addresses some methodological issues which have contributed to the sparseness of similar studies. Evidence is provided that small markets such as the NSE may provide empirical results consistent with weak-form efficiency. This evidence holds for the NSE irrespective of whether bid-, ask-, or market-price series are used in conducting the study.