非效率市场股份的影响因素：以上海股市为例

传统金融理论中的有效市场假说（EMH）,其理论假设存在一些缺陷,股票价格决定模型的适用性也不强。在非有效市场中,市场主体的行为和交易策略会背离理性的原则,对证券价格产生影响,因此,股票价格的影响因素十分复杂。若以上海证券交易所A股市场2000年6月、2001年6月、2002年6月三个横截面的数据为分析样本,建立以股票价格为被解释变量的多因素横截面实证检验模型进行实证分析,可以发现,在我国低效率的股票市场中,除了传统的财务理论对股票价格具有解释能力外,市场主体行为对股票价格也产生着很大的影响。

Influential Factors of Stock Prices in an Inefficient Market--Taking Shanghai Stock Market as an Example

There are many challenges to the financial theory of " efficient market hypothesis" (EMH). Many traditional assets pricing models do not have practical values. In an inefficient market participants' behavior and strategy may have much impact on stock prices, which complicates the determination of ultimate prices. Based on the above theory, this paper tries to analyze the determination of A - share prices in Shanghai stock market by means of a cross - sectional multi - factor model. The data of the model include the stock prices in June, 2000, June, 2001 and June, 2002. This paper finds out that not only the financial instance of listed companies but also participants' behavior influence stock prices in Shanghai stock market.