Study On Mean Regression And Theoretical Innovation Of Capital Market Efficiency

How to allocate scarce economy resources to an optimal status is the most precedent, fundamental and complicated aim in economics research. The mainstream criterion to measure resource allocation efficiency is Pareto standard, and the traditional theory lies in two main defects, the first of which is unable to determine whose resource allocation efficiency is higher if two resource allocation can't achieve at Pareto optimality, that is to say, the measure of resource allocation efficiency lack continuance; the second of which is no final conclusion that the status that a second optimality achieve the corresponding optimality is whether or not unique, stable and existent by means of Pareto improvement by reliving exterior constraint conditions.The efficiency research on capital market relatively presents immaturity, complexity and instability, and the EMH which aims at information efficiency exists more serious defects, such as the time and status dynamic inconsistence of market efficiency, informational sufficiency paradox, the compatibility problem of information efficiency with allocation efficiency, the serious statistic trend of market efficiency connotation, the average weight problem in the time series analysis, the function vulnerability of market efficiency, the insufficient explanation to abnormalities, and joint test and so on. Although EMH is therefore a mainstream, is not mature and stable, meanwhile other non-mainstream efficiency theories of capital market such as FMH, function-based efficiency theory are comparatively lack of theoretic rigorousity and systematicity,therefore it is very necessary for to further probe into the theory related to capital market efficiency. This thesis improves the traditional EMH combing with Pareto standard under certain information ration expectation, and meanwhile intruduces inavailable information into expectation model by taking advantage of Bayse study and market series equilibrium theory, so that makes an attempt to establish a new analysis framework of capital market efficiency, and finally makes a conclusion in accordance with certain information ration expectation.The first part of this thesis firstly introduces common resource allocation standard such as Pigou standard, Pareto standard, Hick-Kardor standard, X-efficiency standard and information standard. This part secondly probes into the resource allocation problems in Warlas equilibrium, in which all consumers are the price-taker, and the mathematics expectation about price is equivalent to the trade price of every consumer. Thirdly this part probes into the existence, stability and uniqueness of Pareto equilibrium, which points out the second optimality can arrive at the optimality equilibrium status provided with existence, uniqueness and stability of the first order status, moreover, the price in Pareto equilibrium equals to the mathematics expectation of price or mean, namely as price presents mean regression, however, although its zero order status exists, is not unique and stable. Meanwhile this part provides the second-optimality conditions based on the commodity combine-trade, and suggest making use of the price variance of resource allocation to weigh the efficiency height of the second optimality, and explains its statistic implication.Pareto equilibrium implies mean regressionality, which is the theory basis of capital market mean-regressionality, and to introduce Pareto equilibrium into capital market is one of following main tasks, the other is to improve the traditional efficient market theory and spontaneously to maintain the coordination and consistency of the two tasks.Under the above thinking locked, the second part of this thesis mainly improves the traditional efficient market theory based upon certain information ration expectation. First, this part introduces certain information and uncertain information ration expectation methods in order to introduce inavailable information into expectation models, which is the methodology basis to improve traditional efficient market theory and to establish mean regression theory. Second, an indispensable step is simply to review the efficient market theory, including the basic intension of efficient market, classification, empirical test technology and its development thread, and to rethink its defects. Finally, returning to the topic, this part probes into the relationship between information efficiency and allocation efficiency of capital market by defining some concepts and by introducing unavailable information into the model of certain information ration expectation, and points out under certain conditions that market condition-efficiency is equivalent to post-Pareto optimality, and market perfection-efficiency is equivalent to prior-Pareto optimality, and also points out that the security price variance under prior-Pareto optimality is zero, and the other is not zero.The third part of this thesis develops the efficient market theory in terms of another thinking—based on uncertain information ration expectation. First, this part expounds and proves that price completely reflecting on all available information is equivalent to the mean regressionality of price by Bayse statistic theory and market series equilibrium theory. Second, this part probes into the measurement problems of capital market efficiency, which points out that the price variance of security can do it, and meantime also explains its statistic implications. A common conclusion between the second and the third part is that the uncertainty of capital market stems from unavailable information to a large extent, and thus how to avoiding the impact of unavailable information is the important basis and thread to raise capital market efficiency.The task next to the theory research work is to do empirical test and to put forward corresponding propositions. The fourth part of this thesis mainly test china's capital market efficiency based on mean regression theory using SZZS data, while the task based on the traditional efficient market theory is neglectful since the test literatures are very abundant. The first problem in the process of empirical test is that the traditional econometric methods are very insufficient due to neglecting volume factor, and therefore this part first criticize the average weight problem, which points out that only price series is unable to accurately predict the price trend in the series analysis unless combing with volume series or the sample's volume being infinite, which the sample volume more than 4000 is convenient for the test of this thesis. Second, on the basis of above analysis this part does common empirical test, such as basically statistically describes and judges the SZZS data combing mean regression theory, and does cointegrating analysis, Granger causality test, and dynamic regression analysis between SZZS series and its optimal series; and finally this part calculates the variance of SZZS series based on mean regression theory by EXCELL programming, and judges the normality of the distribution of SZZS series, and meantime explains the implications of efficiency. The test conclusions indicates that the long-term equilibrium relationship between SZZS series and its optimal series is not significant, but the short-term dynamic relationship is comparatively significant; since 2007, the ratio of variance to its mean is more than 0.4, which implies that SZZS is deviated from its optimal level to a great extent, which is the basic feature of bull market or bear market, and this also verify the robustness of these conclusions.The fifth part of this thesis first summarizes the basic views of the full text, then put forwards the corresponding propositions based upon endogenously avianizing unavailable information so as to raise capital market efficiency, which concludes establishing the complete public goods about market prediction mechanism, improving market structure and transaction system, reducing transaction costs, reducing and avianizing information asymmetricity as well as information incompleteness. Finally, this part briefly comments on the research value and insufficiency of this thesis, and probes into possible follow-up research orientation.