基于制度变迁的美国股票市场有效性分析

摘要

From the initial pilot transactions to a series of standardized reform, the US stock market has experi-enced a series of institutional changes. In this paper, through the generalization of the US stock market and its institu-tional development,we adopt the theory of fractal market to analyze the stock market index empirically and we can see that the US stock market still has fractal characteristics. Moreover, the US stock market is even in the state of ineffi-ciency in some specific periods, but the state get continuously improved as the institutional changes continues and the US stock market gets closer to the efficient market. The conclusion is verified that the volatility of the US stock market has close ties with the institutional changes. This has some reference significance for exploring the efficiency of our stock market.%美国股票市场从最初的试点性交易到规范化改革，经历了一系列的制度变革。本文主要通过对美国股票市场及其相关制度发展进行概括，运用分形市场理论对股票市场指数进行分析，通过对不同时期市场有效性的实证分析对比得出美国股票市场仍然具有分形特性，并且在某些特定时期甚至处于无效率的状态，但是，此种状态随着制度变迁不断改善，市场有效性不断提高，越来越接近有效市场；同时还验证了美国股票市场的波动与制度变迁具有密切联系的结论，这对于探讨我国股票市场的有效性有一定的借鉴意义。