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Discussion of the concept of market efficiency and empirical approaches to test for it-市场效率和实证方法测试的概

时间:2014-04-10 18:30来源:www.ukthesis.org 作者:英国论文网 点击联系客服: 客服:Damien
Discussion of the concept of market efficiency and empirical approaches to test for it
市场效率和实证方法测试的概念的探讨


This essay will have a brief discussion of the concept of market efficiency and empirical approaches to test for the market efficient, firstly this essay will discuss the source of efficient-market hypothesis and then continue to discuss the three kinds of efficient markets which are weak-form efficient market ,semi-strong-form efficient market ,and strong-form efficient market. Secondly this essay has a review and discussion of the empirical approaches to test for the market efficiency .Finally there is a conclusion and a discussion about the validity of the EMH hypothesis.
本文将简要讨论了市场效率的实证方法和概念,对市场有效的测试,首先,本文将讨论有效市场假说的来源,然后继续讨论三种有效市场是弱势有效市场,半强势有效市场和强势有效市场。其次,本文综述和实证的方法探讨了市场效率的测试。最后是结论部分,对有效市场假说的假设的有效性进行探讨。
 
I A review of market efficiency  市场效率的检验
 
In finance,the efficient-market hypothesis (EMH) asserts that financial markets are informationally efficient. That is, one cannot consistently achieve returns in excess of average market returns on a risk-adjusted basis, given the information publicly available at the time the investment is made.
There are three major versions of the hypothesis: "weak", "semi-strong", and "strong":
one can define a weak-form efficient market in the following sense:consider the arrival in the market of a new piece of information concerning the value of a security.a weakly efficient market is a market in which it may take time to evaluate this information with regard to its implications for the value of the security.once this evaluation is complete,however ,the price of the security immediately adjusts (in an unbiased fashion)to the new value implied by the information.in such a weakly effcient market,the past price series of a security will contain no information not already impounder in the current price.[i]
在金融领域,有效市场假说(EMH)认为,金融市场就是信息效率。这是一个始终不能达到的收益,在市场平均收益超过风险调整的基础上,给出了信息公开的同时做出了投资。
有三个主要版本的假设:“弱”,“半强”,“强”:
你可以在以下意义上定义一个弱势有效市场:考虑在一个新的信息有关的证券价值市场的到来。弱势有效市场是一个可能需要一段时间来考虑其安全性.一旦这个评价是完整的,但评价这一信息的价值意义,证券的价格立即调整(在一个无偏的方式)为新值的信息,这样的弱有效市场的暗示,一个安全的过去的价格系列将不包含目前价格的信息。[i](责任编辑:charlie)


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