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弹簧振子理论及对上海股市的实证研究
引用本文:赵贞玉 欧阳令南 祝波. 弹簧振子理论及对上海股市的实证研究[J]. 管理科学, 2007, 10(3): 71-79
作者姓名:赵贞玉 欧阳令南 祝波
作者单位:1. 上海大学国际工商与管理学院,上海,200444
2. 上海交通大学安泰管理学院,上海,200030
摘    要:有效市场假说隐含了一个重要的假设前提:市场是如此有效,以至于任何新发生的信息事件,都能在瞬间传播到市场的各个角落,并且市场在同一瞬间就能对该信息做出理性、“正确”的反应,使证券价格在信息事件发生后立即达到了新的均衡.这个假设在现实的资本市场中是根本不存在的,因为信息的传播和市场对信息的反应都要有个过程.为了对有效市场假说进行改进,也便于对证券市场效率进行数量化度量,提出了弹簧振子理论,该理论将有效市场理论框架下的随机游走模型的检验由一阶深化到二阶;在弹簧振子理论下,可以用同一个方程统一表述弱有效市场和次强有效市场的证券价格波动,而且可更好地解释股市中的“过度反应”、“不足反应”等现象,以及在无信息情况下股市突然出现的“井喷”和“崩盘”现象.

关 键 词:有效市场假说  弹簧振子理论  Laplace变换  过度反应
文章编号:1007-9807(2007)03-0071-09
修稿时间:2004-09-17

Spring oscillator theory and empirical research on Shanghai stock market
ZHAO Zhen-yu,OUYANG Ling-nan,ZHU Bo. Spring oscillator theory and empirical research on Shanghai stock market[J]. Journal of Management Science, 2007, 10(3): 71-79
Authors:ZHAO Zhen-yu  OUYANG Ling-nan  ZHU Bo
Abstract:An important assumption lies behind the efficient-market hypothesis: the market is so efficient that every new information is spread to the whole market immediately,and the latter takes rational and "correct" reaction to the new information at once.The prices of the securities reach new balance at the time the news is released.However,this doesn't exist in reality because it takes time for the news to travel and for the market to react.In order to make improvements to the efficient-market hypothesis,and facilitate the quantitative measurement of the efficiency of the securities market,we put forward the Spring Oscillator Theory,which advances the test of the random-walk model within the frame of efficient-market hypothesis from the 1st order to the 2nd order.This model expresses the weak efficient market and the sub-strong efficient market using the unified fluctuation equation.The Theory can better explain the "over-reaction","under-reaction" and the booming and collapse of the stock market with no news.
Keywords:efficient market hypothesis  spring oscillator theory  laplace transformation  over-reaction
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