摘要
一般利用事件研究法来检验证券市场是否满足半强式有效的假定,该方法始终停留在事件发生前后样本公司的股票收益率是否有显著变化方面。针对此方法研究的不足,利用反应样本公司违约状况的违约距离(DD)指标,替代了传统事件研究法中的核心因素——收益率,以期转换角度利用事件研究法来评判我国证券市场的效率。通过实证分析法得到的结果与大多数研究者的结论相同,证实了该方式具有一定的可行性,同时避免了传统半强式有效市场证明的有关争论。
Event study method is generally used to determine whether the semistrong form market efficiency hypothesis is true of the securities market. This method focuses on whether there are remarkable changes in the rate of return of sample company stock before and after the event occurrence. This paper substitutes default distance of sample companies for the core factor, rate of return, of event study method, expecting to evaluate the efficiency of the securities market of our country from a different angle. Results of empirical analysis agree with the conclusions of the majority of researchers ,which proves the feasibility of this method. The default distance based event study method also helps avoid the disagreements about market evaluation by means of the conventional semistrong form market efficiency hypothesis
出处
《西南石油大学学报（社会科学版）》
2012年第2期44-50,共7页
Journal of Southwest Petroleum University(Social Sciences Edition)
基金
国家社会科学基金项目"马尔科夫链抽样方法的金融市场随机波动的联动性及预警机制研究"(10BJL020)
重庆市教委人文社科项目"通过重庆上市公司信贷违约状况对当前股票价格合理性的研究"(08JWSK209)
关键词
证券市场
半强式有效市场
事件研究法
违约概率
KMV模型
semi - strong form market efficiency hypothesis
event study
default probability
KMV model
securitymarket
