金融市场有效性联立检验的再检验

Abstract

中文摘要:在理性预期假定下 ,基于证券历史价格和收益信息 ,不能预测证券的未来价格 ,即市场是弱有效的。 对市场有效性检验无效可能是关于基本价格或者正常收益均衡模型设定有误所导致 ,借助 C - CAPM与行为金融模型可以对“ 市场无效性 ” 进行解释。 研究表明 ,市场有效性假说仅为一个理想范式 ,无论从有效性的联立检验角度 ,还是从非理性投资与金融市场关系的角度 ,都无法对现实的金融市场是否有效做出明确的判断。 英文摘要：Abstract: Under the assump tion of rea sonable expectations and based on the historica l p rice s of securities and the future p rices of securities with unp redic table benefits, analysis could indica te that the market is fairly inefficient . The finding that the marke t is inefficient could be re lated to fundamental p rices or errors in the normal earning equilibrium mode l, but the "market inefficiency" can be exp lained by using C - CAPM and the behavioral financialmodel . The study indicate s that the hypothesis of market efficiency is only valid for an ideal paradigm, and regardle ss ofwhether viewed from the perspective of a va lid simultaneous test or from the perspective of the relationship between irrational investment and financ ial markets, neither can make a clea r dete rmination of whether or not the actual financia lma rkets a re efficient .