| 引用本文： |
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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 [点击复制]
- YI Rong-hua,ZHANG Yang-bin,LIU Jia-peng.证券市场效率及其计量研究方法综述：回顾与展望[J].INTERNATIONAL BUSINESS RESEARCH,2013,(3):64-74 [点击复制]
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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。 |
| 关键词: 证券市场效率 子效率 相对效率 回顾与展望 |
| DOI： |
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| 基金项目: |
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| Stock Market Effi ciency and Its Research Methods: Review and Prospect |
| YI Rong-hua,ZHANG Yang-bin,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. |
| Key words: stock market efficiency sub-efficiency relative efficiency research methods review and prospect |
