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本文利用信息传播速度模型讨论证券市场信息的有效性。发现在上海证券交易市场上信息传播速度对上证指数条件波动率的影响具有随时间变化逐渐扩大的趋势,而在纽约证券交易市场上信息传播速度对道琼斯指数条件波动率的影响相对稳定。表明上海证券市场消化新信息的效率明显低于纽约证券市场。实证结果较好地刻画了中美证券市场信息流动的基本特征。
Abstract：This paper studies the information efficiency in Shanghai and New York stock markets with information disseminating model,and indicates that the effects of information disseminating speed on index conditional volatility increase with time in Shanghai stock market,but relatively stable in New York stock market,which means that the efficiency in Shanghai stock market responding to new information is lower than that in New York stock market.
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②模型平稳性条件参见Liu和Morimune[7]和赵国庆、魏军[6]。
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2007.09.013
中图分类号:F831.51;F224
引用信息:
[1]赵国庆,魏军.中美证券市场信息扩散速度比较研究[J].商业经济与管理,2007,No.191(09):70-74.DOI:10.14134/j.cnki.cn33-1336/f.2007.09.013.
基金信息:
教育部人文社会科学重点研究基地中国人民大学经济改革与发展研究院;; 中国人民大学“985工程”资助项目的阶段性成果
2007-09-15
2007-09-15