英语论文有效市场假说

所属分类：英文论文阅读次时间：2017-06-01 16:20

本文摘要：本英语论文主要是通过文献检索与阅读，总结和分析有效市场假说(EMH)背后的起源和思想等方面的内容。《现代管理论坛》是一本为企业管理及相关理论服务的社会学期刊。该刊不仅涵盖了管理理念，还涉及对不同业务与企业管理发展趋势的解读、讨论与评价。《现

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　　本英语论文主要是通过文献检索与阅读，总结和分析有效市场假说(EMH)背后的起源和思想等方面的内容。《现代管理论坛》是一本为企业管理及相关理论服务的社会学期刊。该刊不仅涵盖了管理理念，还涉及对不同业务与企业管理发展趋势的解读、讨论与评价。《现代管理论坛》致力于为企业与员工提供高质量的独特交流平台，并通过将期刊传递的有价值信息应用于现实工作环境、通过将管理理念与实际经验的有机结合来惠及企业及员工。

　　为了更好地理解有效市场假说(EMH)背后的起源和思想，第一部分涉及的有效市场概述。第2节与随机游走模型，这是一个密切对应的有效市场假说。然后考察了信息效率存在的不同程度，即弱形式效率、半强形式效率和强形式效率。在第4节中，我们有一个简要概述了不同类型的统计检验，已被用于在文献中检查弱形式的效率。第5节解释有效市场对投资者的影响。

　　In order to better understand the origin and the idea behind the Efficient Market Hypothesis (EMH), the first section deals with an overview of the EMH. Section 2 deals with the Random Walk Model which is a close counterpart of the EMH. We then have examine the different degrees of information efficiency that exist, namely the weak form efficiency, semi-strong form efficiency and the strong form efficiency. In section 4, we have a brief overview of the different types of statistical tests that have been used in the literature to examine the weak form efficiency. Section 5 explains the implications of efficient markets for investors. Section 6a€|a€|a€|a€|a€|a€|a€|a€|..

　　2.1 Efficient Market Hypothesis (EMH)

　　The concept of efficiency is one of the essential concepts in finance. Market efficiency is a term used in many different contexts with many different meanings. Market efficiency involves three related concepts- allocation efficiency, operational efficiency and informational efficiency.

　　* Allocation efficiency: A characteristic of an efficient market in which capital is allocated in a way that benefits all participants. It occurs when organizations in the public and private sectors can obtain funding for the projects that will be the most profitable, thereby promoting economic growth

　　* Operational efficiency: A marketcondition that exists when participants can execute transactions and receive services at a price that fairly equates to the actual costs required to provide them.Economists use this term to describe the way resources are employed to facilitate the operation of the market. It is usually desirable that markets carry out their operations at as low a cost as possible.

　　* Information efficiency: The actual market price of a share should reflect its intrinsic value. Information efficiency implies that the observed market price of a security reflect all information relevant to the pricing of the security. The investor can manage to earn merely a risk-adjusted return from his investment, as prices move instantaneously and in an unbiased manner to any news.

　　The efficiency in the market for financial assets and assets returns refers here to the information efficiency and should not be confused with the other types of efficiency.

　　As explained by Rahman and Hossain (2006):

　　For a stock market to be efficient, stock prices must always fully reflect all relevant and available information. This definition can be expressed as Æ’(Ri,t, Rj,t a€| a€| a€| | Ï†M t-1) = Æ’( Ri,t, Rj,t a€| a€| a€| | Ï†M t-1, Ï†a t-1), where Æ’(.) = a probability distribution function, Ri,t = the return on security i in period t, Ï†M t-1 = the information set used by the market at t a€“ 1, Ï†a

　　t-1 = the specific information item placed in the public domain at t a€“ 1. This equation has two important implications.

　　1. Specific information item at t-1 (Ï†a t-1) cannot be used to earn non zero abnormal return.

　　2. When a new information item is added to the information set Ï†M, it is instantaneously reflected on market prices.

　　The concept of market efficiency was first introduced by Bachelier (1900). Since then, there has been many studies like Working (1934), Cowles and Jones (1937), Kendall (1953), Cootner (1964). However it was Fama (1965) who first used termed it as a€œefficient marketa€. Fama (1970) later stated the sufficient but not necessary conditions for efficiency:

　　i. there are no transaction costs in trading securities;

　　ii. all available information is costlessly available to all market participants, and

　　iii. all agree on the implications of current information for the current price and distributions of future prices of each security

　　He also identified three degrees of informational efficiency namely the weak form, the semi-strong form and the strong form.

　　2.2 Random Walk Model (RWM)

　　The Random Walk Model is a close counterpart of the Efficient Market Hypothesis. The model was originally examined by Kendall (1953). It states that stock price fluctuations are independent of each other and have the same probability distribution. Thus the Random Walk theory suggests that stock price change randomly, making it impossible to predict stock prices. The Random Walk Model is linked to the belief that markets are efficient and that investors cannot beat or predict the market because stock prices reflect all available information and the new information arises randomly. As mentioned in Fama (1970) the two hypotheses constituting the Random Walk Model , that is (i) successive price changes are independent and (ii) successive changes are identically distributed, are implicitly assumed in the Efficient Market Hypothesis.

　　The Random Walk Model is in direct opposition to technical analysis, which suggests that a stock's future price can be forecasted based on historical information through observing chart patterns and technical indicators.

　　2.3 3 Forms of Market Efficiency

　　2.3.1 Weak-Form Efficiency

　　Fama (1970) stipulates that no investor can earn excess returns by formulating trading strategies based on historical price or return information in a weak-form efficient market. The weak-form efficiency thus assumes that the price of a stock fully reflects all information contained in past prices, that is the historical sequence of prices, rate of returns and other historical market information. A weak-form efficient market implies that it is of no use to engage in technical analysis that use past prices alone to find undervalued stocks.

　　In order to test whether past share prices can be used to predict future share prices( that is, weak-form efficiency), statistical or econometric tests can be used. These studies seek to study the evolution of share prices from one period to the next period and try to detect correlation between the successive price changes. Technical analysts study the evolution of past share prices, with the aim of predicting share prices to make gains.

　　2.3.2 Semi-Strong Form Efficiency

　　Fama (1970) described the semi-strong form efficiency as one where share price fully reflect all information contained not only in past prices but all public information. All public information includes capital market information as used in the weak form Efficient Market Hypothesis(EMH) as well as non-market information such。