股改对中国证券市场有效性影响的实证分析

文章以2005年4月至2007年3月,沪深300指数所包含的股票为样本股,采用股价非同步指标对中国证券市场股价信息含量进行实证研究.结果表明,股权分置改革以后的证券市场中所包含的公司信息含量呈上升趋势,股权分置改革对市场效率的提高产生了积极影响.

An Empirical Study of the Efficiency of China''''s Stock Market after Shareholder Right Splitting Reformation

It is well know that the low efficiency of the security markets has always been a big problem in China. The reformation of shareholder right splitting taking place in 2005 will supply a new institution for the security markets of China, and will pave a more perfect foundation for the improvement of market efficiency. This paper makes an empirical analysis of the stock price information content by using the non-synchronicity index and taking samples of the stocks in hu-shen 300 stock price indexes during May, 2005 - March, 2007. It concludes that the firm-specific information does show a trend of escalation, proving that the shareholder right splitting reformation has generated positive influences over the improvement of market efficiency.