摘要
证券市场宏观政策是一种重要的市场信息,这种信息效用的发挥与证券市场的有效性紧密相关,并且呈现出联动关系.从证券市场有效性的检验出发,采用基于Eviews编程的游程检验,梳理历年来的51个宏观政策大事件与大事件前后35个交易日市场有效性的联动结果.结果发现54.90%的宏观政策与证券市场的有效性是处于积极联动状态,而45.10%的宏观政策出台后反而降低了市场运行的有效性.这说明我国证券市场的有效性程度不高,非线性特征明显,证券市场有待进一步健全.
Macro-policy of securities market is a kind of important market's information.The utility of this information closely related to the effectiveness of the securities market,and they present an interactive relationship.Starting from the test of the securities market efficiencies,the interactive relationship in market efficiencies and 51macro-policy information has been sorted by Eviews within 35 days before and after.It is concluded that 54.90% of macro policies have significant positive relationship with the effectiveness of the securities market,while 45.10% of the macroscopic policy reduce the efficiency of market operation.It means that the efficiency of the securities market in China is in little weak level,and with obvious non-linear features,so the securities market should be further perfected.
关键词
证券市场有效性
宏观政策信息
联动关系
游程检验
securities market efficiency
macro-policy
interactive relationship
runs test
