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本文首先对效率市场理论的发展做了回顾 ,阐述了对这一领域进行研究的现实意义 ;然后 ,将其引入中国 B股市场 ,应用 ADF检验 ,对自 1 996年 4月中旬至 1 999年 7月中旬的沪、深收盘指数进行了尝试性的经验分析 ,研究结果表明 :沪、深 B股市场尚未达到弱式效率 ,仍属非效率市场 ;最后 ,我们从信息披露制度、股权制度等制度层面对 B股市场的非效率进行成因解说 ,结论表明 :B股市场非效率的本质原因在于一系列有缺陷的制度供给 ,是既有的一些有缺陷的制度安排造成了 B股市场的非效率。
This article first reviews the development of efficiency market theory and expounds the practical significance of the research in this field. Then, it introduces it into China’s B-share market and applies ADF test. From mid-April 1996 to 1999 In the middle of July, the empirical analysis of the Shanghai and Shenzhen stock indexes conducted a tentative empirical analysis. The results show that: the Shanghai and Shenzhen B-share markets have not yet reached the weak efficiency and are still inefficient markets; and finally, from the information disclosure system and the equity system Institutional level explanation of the causes of non-efficiency of the B-share market, the conclusion shows that: the inefficiency of the B-share market is essentially due to a series of flawed institutional supply, is the existing flawed institutional arrangements caused by the B-share market effectiveness.