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萨谬尔逊和比弗等阐述了证券市场有效性的多重含义 ,指出资源配置有效性与信息有效性之间的差异。本文在此基础上 ,从证券市场价格信号对产业转移的引致作用的角度 ,对我国证券市场价格信号的资源配置有效性进行实证研究 ,作为对现有的关于我国证券市场效率研究的一个有益的补充。本文的检验结果表明我国证券市场价格信号在引导上市公司产业转移方面具有正向效应 ,并且从市场价格的变化到引致作用的发挥存在着一定的时滞。同时 ,进入壁垒或退出壁垒不同的行业在价格信号的有效性方面存在着较大差异。此外 ,本文还利用投资额的时间分布检验了市场反应的理性程度 ,结果表明我国证券市场对价格信号存在着一定程度上的过度反应。最后 ,根据检验结果的分析 ,提出了相应的政策建议 :一是通过市场扩容以增强市场弹性、塑造良好的价格形成机制和优化企业决策机制等来强化证券市场的市场约束力 ,增进价格信号的资源配置有效性 ;二是以规则立市 ,弱化市场对价格信号的过度反应。
Samuelson and Beaver elaborated the multiple meanings of stock market effectiveness and pointed out the differences between the effectiveness of resource allocation and information validity. Based on this, from the angle of the inducement of the price signal of the securities market on the industrial transfer, this paper conducts an empirical study on the effectiveness of the resource allocation of China’s securities market price signal. As a useful study on the efficiency of the securities market in our country, supplement. The test results in this paper show that the price signal of the securities market in our country has a positive effect in guiding the industrial transfer of the listed companies, and there is a certain time lag from the change of the market price to the induced effect. At the same time, there are big differences in the validity of price signals in industries with different entry barriers or exit barriers. In addition, this paper also uses the time distribution of investment to test the rationality of market response. The result shows that there is a certain degree of overreaction to the price signal in China’s securities market. Finally, according to the analysis of the test results, the corresponding policy suggestions are put forward: one is to strengthen the market binding of the securities market by expanding the market to enhance the market elasticity, create a good price formation mechanism and optimize the enterprise decision-making mechanism, so as to enhance the price signal Resource allocation effectiveness; the second is to establish the market by rules, weakening the market over-reaction to the price signal.