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金融论文：我国股票市场价格运动的同步性检验（成稿）.doc9页
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论文中文标题：
我国股票市场价格运动的同步性检验
论文英文标题：
An Empirical Study of Synchronous Stock Srice Movements in China
内容摘要：股票价格的同步性不仅可以说明市场的发育程度，而且可以表明股价包含其标的公司信息程度，从而反映出市场对金融资源的配置状况。本文对我国上海A股市场的股价同步性实证检验表明， 我国股票市场股价运动具有着较高同步性特征，并且从1996年至2004基本维持在一个比较稳定的范围，这表明股票价格中包含较少的企业信息和较多的市场信息，股票价格还不能真实传递企业信息，价格的资源配置信号功能较弱，并且这种状况并没有随着时间的推移而得到有效的改善。
关键词：股价运动同步性；企业信息；资源配置效率
我国股票市场价格运动的同步性检验
1、华侨大学商学院
2、吉林大学数量经济研究中心
内容摘要：股票价格的同步性不仅可以说明市场的发育程度，而且可以表明股价包含其标的公司信息程度，从而反映出市场对金融资源的配置状况。本文对我国上海A股市场的股价同步性实证检验表明， 我国股票市场股价运动具有着较高同步性特征，并且从1996年至2004基本维持在一个比较稳定的范围，这表明股票价格中包含较少的企业信息和较多的市场信息，股票价格还不能真实传递企业信息，价格的资源配置信号功能较弱，并且这种状况并没有随着时间的推移而得到有效的改善。
关键词：股价运动同步性 企业信息 资源配置效率
在公司理论中，股票市场被看作是一种信息处理器，股票市场信息，企业信息Randall Morck（2000）研究发现，在国家，各个股票价格的走向同步性弱，在新兴市场中企业的市值与政治事件紧密相关，
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Stock prices in emerging economies move in step much more than in advanced economies. Emerging markets prices capitalize less firm specific information, and appear subject to more economy-wide fluctuations. Measures of this consonance of stock returns are positively correlated with indicators of poor property rights protection, inefficient legal systems and corrupt government. Lax ..
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The Information Content of Stock Markets: Why Do Emerging Markets Have So Little Firm-Specific Risk?
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Art Durnev, Randall Morck andBernard Yeung&DOI:&10.1111/j.04.00627.x
The Journal of Finance pages 65&105, Author InformationPublication HistoryIssue online: 27 NOV 2005Version of Record online: 27 NOV 2005
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