股改前后中国A股市场有效性广义谱方法检验

股改是我国资本市场发展过程中的一项重大制度变革，本文对股改前后A股市场的有效性分别进行了检验。我们采用的广义谱方法考虑了高频时间序列的特征事实，可以检测出序列存在的线性和非线性序列依赖，允许存在未知形式的条件异方差，并且可以检验所有的滞后阶数，具有较强的检验效力。检验结果表明，股改前市场是非有效的，股改之后市场达到了弱式有效。本文从股权的全流通效应、股市参与度的提升两个角度给出了实证结果的经济解释。

The Efficiency of China's A - Share Markets Before and After Spilt Share Reform:A Study Base on Generalized Spectrum

Spilt share reform is a fundamental change ofinstitution in the development of Chinese stock markets. This article teststhe A - share market efficiency before and after spilt share reform. The generalized spectrum method is applied to check thechange of market efficiency of A - share market due to spilt share reform. Allowing forthe stylized facts of high frequency data,this method can capture linear and nonlinear serial dependence while being robustto unknown form of conditional heteroskedastici-ty and checking allthe lags, and thus has good power against departures from market efficiency. The results show that whereas theA - share markets were inefficient before spilt share reform,they have reached the weak -form efficiency afterthat. This paperprovides economic explanations of empiricalresults from the angle offull- circulation effect and the increase of stock market par-ticipation rate.