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本文主要评述了有效市场理论。首先,比较详细地阐述了有效市场理论及其主要实证技术;其次,关于信息经济学学派、市场微观结构学派、经验主义学派、行为金融学学派和分形市场假说等对有效市场理论的发展也作了简单介绍;最后,尝试对有效市场理论的不足之处进行深刻反思,如讨论了市场有效的动态不一致性、价格反映信息的非充分性、期望利润为零悖论、信息有效和配置有效的兼容性问题、市场有效性内涵的统计性趋向严重、时间序列分析的平均权重问题、市场有效的功能脆弱性等。
This article mainly reviews the theory of effective markets. First of all, Efficient Market Theory and its main empirical techniques are elaborated in more detail. Secondly, on the development of Efficient Market Theory, such as School of Information Economics, Market Microstructure, Empiricism, Behavioral Finance and Fractal Market Hypothesis In the end, we try to deeply reflect on the inadequacies of effective market theory, such as discussing the dynamic inconsistency of the market, the price reflecting the insufficiency of information, the zero profit expectancy, the effective information and the effective allocation Compatibility problems, statistical significance of the market efficiency connotation, the average weight of the time series analysis, the market function of functional vulnerabilities.