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新兴市场的弱式有效市场假说

时间:2016-05-02 10:31来源:www.ukthesis.org 作者:英国论文网 点击联系客服: 客服:Damien

新兴市场的弱式有效市场假说
Weak Form Efficient Market Hypothesis For Emerging Markets

新兴市场的市场效率问题对新兴经济体的外国投资者和政策制定者都具有重要意义。这个项目致力于这一领域的深入的文献综述。本课题的研究内容是:理论基础、试验方法和实证结果。首先,传统的有效市场假说(Fama,1970;makiel,1973)和行为金融学的理论是近几十年发展起来的(barbris,1998;Shleifer,2000),已经形成了两个主要的思想流派对市场效率的问题。其次,一系列的方法的演变对测试市场效率是很重要的。第三,实证研究的主要因素是:交易量与非线性行为、结构断裂和市场演化三大主要因素。最后,它也反映了一些重要的政策对新兴市场的影响。

许多实证研究已经对弱形式有效的市场假说和新兴市场广泛地进行了调查,结果这两者是混合的。一般情况下,大多数新兴市场被认为是低效的。但对于一些国家,如伊斯坦布尔,埃及和约旦,在纠正机构的特点和交易条件,如薄的交易和非线性的存在,股票市场时被认为是有效的。当考虑到结构破坏因素时,印度、巴西、希腊、阿根廷等国的市场有效性遭到了强烈的排斥。也有证据表明,最初的新兴市场是无效率的,但随着时间的推移,由于经济自由化政策,如爱沙尼亚语,立陶宛和俄罗斯他们正在朝着更有效发展。

这些结果反映了一些重要的政策含义。频繁的交易和资本市场的流动性影响了市场效率,所以经济政策制定者应该努力减少金融市场对资本流动的制度约束和壁垒,实行严格的信息披露要求,使投资者可以很容易地获得高质量和可靠的信息。

Literature Review——文献综述

The issue of market efficiency in emerging markets is of great significance for both foreign investors and policy makers in emerging economies. This project devotes large efforts to produce a thorough and in-depth literature review for this area. This topic is to be investigated from these aspects: theoretical foundation, methodologies of tests and empirical results. Firstly, traditional efficient market hypothesis (Fama, 1970; Makiel, 1973) and behavior finance theories developed in recent decades (Barbris, 1998; Shleifer, 2000) have formed two main schools of thought for the issue of market efficiency. Secondly, the evolution for a series of methodologies is important for testing market efficiency. Thirdly, the empirical evidence is reviewed by consideration three major factors: trade volume and non-linear behavior, structural breaks and market evolution through time. Finally, it also reflects some important policy implications for emerging markets.

Many empirical studies have been widely carried to investigate the weak-form efficient market hypothesis for emerging markets, and the results are mixed. Generally, most of emerging markets are found to be inefficient. But for some countries, such as Istanbul, Egypt and Jordan, after correcting for institutional characteristics and trading conditions, such as thin trading and the presence of non-linearity, equity markets are found to be efficient. When structure break factors are taken into account, market efficiency is powerfully rejected for countries such as Argentina, Brazil, Greece and India. There is also evidence showing that initially emerging markets are inefficient, but over time they are moving toward to be more efficient, such as in Estonian, Lithuanian and Russia duo to economic liberalization policies.(责任编辑:anne)



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