股票市场的复杂性与有效性(英文)

对金融市场提出有效性指标和复杂性指标,利用"滑动窗技术"研究了上海和深圳股票市场有效性与复杂性之间的关联.结果显示,上海股票市场的复杂性和有效性之间以及复杂性之间存在双向的Granger因果关系,深圳股票市场亦是如此;两个市场的有效性之间存在双向的Granger因果关系,两个市场的复杂性之间亦是如此;上海股票市场的有效性之间以及复杂性之间相互影响强于深圳股票市场,两个市场有效性之间的相互影响强于复杂性之间的相互影响.论文的实证结果支持了刘维奇关于金融复杂性可以改进金融市场效率的理论研究的论断.

The complexity and efficiency of stock markets

In the paper,we proposed the efficiency index and the complexity index for financial markets,and investigated the relationships between the indices of Shanghai and Shenzhen stock markets employing the technique of rolling window.Empirical results showed that there was two way Granger causality relation between the complexity and efficiency for Shanghai stock market and so does for Shenzhen market,there were two-way Granger causality relations between not only the efficiencies but also the complexities for the two markets.The complexity had an increasing influence on efficiency,while the efficiency had a decreasing influence on complexity.The interaction between the complexity and efficiency of Shanghai market was stronger than that of Shenzhen market,and the interaction between the efficiencies was stronger than that between complexities for the two stock markets.Those suggested that the complexity was the essential characteristic of the stock market and the efficiency was the external performance of the complexity,and so the change of complexity was intrinsic factor of the change of efficiency.Those empirical results not only supported Liu's theoretical result that the financial complexity could improve the efficiency of financial market,but also further illustrated some distinct differences in the degree of interaction between the indices of the two stock markets.