我国主板、中小板、创业板的信息效率之比较——基于Kalman滤波的实证研究

Contrast of Informational Efficiency among Chinas Main Board, SMEs Board and GEM: An Empirical Study Based on Kalman Filter

中文关键词:  信息效率  Kalman滤波  市场微观结构  多层次资本市场

英文关键词:informational efficiency  Kalman filter  microstructure  multi-level capital market

中文摘要:

      为研究多层次资本市场体系下中国各股市板块之间信息效率的差异，基于带噪声的股价偏调整模型，运用Kalman滤波工具，选取价格调整参数和平均相对离差指标，分别从动态和静态两个视角考察了我国证券市场的信息效率，并将我国两个证券交易所的主板、中小板、创业板的信息效率与纽约证券交易所和纳斯达克交易所进行了比较。结果显示，我国各板块证券市场之间的信息效率相较美国的两个交易所过于相似，这说明我国的证券交易所市场并未达到市场微观结构的差异化。最后，在此基础上为中国证券市场的多层次化建设提出了相应建议。

英文摘要:

      To study the differences among the boards of Chinas stock market in the context of multi-level system, this paper uses the tool of Kalman filter, based on the partial adjustment with noise model. The indicators including the mean partial adjustment parameter and the mean relative differences are selected to examine the informational efficiency of Chinas stock market from both dynamic and static aspects. A contrast of informational efficiency is made among the main board, SMEs board and GEM in China, NYSE and NASDAQ. It turns out that Chinas board markets have too much similarity in figures of informational efficiency, reflecting that Chinas stock markets still dont have diversified microstructures. On that basis, some proposals are put forward to construct multi-level stock markets in China.