【作者】 田华；

【导师】 曹家和；

【作者基本信息】 河海大学 ， 企业管理， 2003， 硕士

【副题名】关于信息有效性、报酬与波动的实证分析

【摘要】 20世纪80年代以来随着我国社会主义市场经济体制的建立与完善，股票市场以其独特的魅力在全国蓬勃发展起来。目前我国的股票市场已经成为中国经济转轨过程中发展最快、影响最广、对社会触动最深的领域。而中国股票市场的价格行为特征则是深刻理解我国股票市场发展道路的重要途径。 本论文主要采用理论和实际结合，定性和定量相结合的分析方法，在已有研究成果的基础上，选择尽可能大的样本量，运用严格的计量经济学方法，系统全面的研究了中国股票市场的价格行为特点。 论文首先介绍中国股票市场的发展状况，分析了市场中存在的问题，并对中国股市价格行为的基本统计特征进行了计算和统计，为后面几章的分析奠定基础。第二章介绍了股票市场的效率体系以及股票价格的形成机制，实证检验了中国股票市场有效性程度，得到市场在整体上尚未达到弱式有效性的结论。第三章探讨了市场异象-周日效应问题，发现中国股票市场存在显著的周日效应。第四章运用GARCH模型对中国股票市场的市场波动特征以及市场波动和报酬间的关系进行实证分析。最后用R/S分析法研究市场收益的持久性特征，检验市场是否遵循有偏的随机游走过程或分形布朗运动。最后一章分析中国股价波动的深层原因，并归纳以上讨论提出相关的政策建议。更多还原

【Abstract】 With the development of China market economy, the stock market is booming in all the places in our country because of its unique glamour. But how to analyze and evaluate the characters of the price performance, how to find out the origin of the fluctuation and how to decrease it have become urgent task which need to be solved. The essay wants to do something in these fields.This essay applies all kinds of ways to analyses the characters of the price performance, especially by the econometrics models.Altogether, there are six chapters. Chapter one is a brief introduction of our stock market, including its characters and some problems, aid gives some statistics data about our stock market. The second chapter introduces the theory of market efficiency, and researches the informational efficiency of china stock market by different ways. In chapter three, the market anomaly-weekday effect is analysed using the normal ways and the GARCH models. Chapter four is an research on the risk, return and fluctuation of our market. Chapter five analyzes the relation between the fractural theory and the informational efficiency andcalculates the Hurst exponent of our market by R/S. The last chapter makes some deep analysis about our stock market and gives some suggestions based on the whole paper.更多还原