CAJ | 학술논문

本文主要利用时间序列单位根检验和事件研究方法从不同的角度对香港与大陆股市不同指数进行有效性的实证检验比较，认为相对于半强式有效的香港股市，大陆股市在时间序列方面的非平稳性、对事件反应的超额投资收益，呈现了弱式有效市场的特征，本文对此进行了简要的原因分析，并提出了培育机构投资者及加强信息披露等建议。
본문주요이용시간서렬단위근검험화사건연구방법종불동적각도대향항여대륙고시불동지수진행유효성적실증검험비교，인위상대우반강식유효적향항고시，대륙고시재시간서렬방면적비평은성、대사건반응적초액투자수익，정현료약식유효시장적특정，본문대차진행료간요적원인분석，병제출료배육궤구투자자급가강신식피로등건의。
This paper compare the validity of stock market＇s index between mainland and HKSAR from demonstration aspect. This study based time sequence identity radix proof-testing and event study. It believes that the stock in mainland is infirm available market against half-strong available market in HKSAR on unbalanced time sequence and excess yield from reflection to the event. This paper analyses the reasons simply. Then advises cultivating the investing organization and enhancing throwing daylight on information.