The Measure On Relative Efficiency Of Security Market Based On Integrated Factors-Theory And Empirical Study

With the proposing of the notion of Tobin’s valuation efficiency, somescholars study valuation efficiency and put forward many measurement methods.However, the existing researches still have shortcomings. For example, someonethinks information efficiency is equal to market efficiency and measurement methodscannot comprehensively consider valuation factors.Based on the existing literatures, this paper selects valuation efficiency as theresearch object and chooses industry classification indexes in Shenzhen StockExchange and43companies as samples. Combining theoretical analysis withempirical analysis as well as qualitative analysis with quantitative analysis, the mainresearches are as follows:(1)This paper introduces the basic theories and models of Data EnvelopmentAnalysis(DEA) method, expounds the evaluation thought of valuation efficiency andfurther proposes a integrated factors DEA models(including a integrated factors C2Rmodel and a integrated factors super-efficiency DEA model) based on the stockpricing model that contains four types of pricing elements.(2)We empirically study industry classification indexes in Shenzhen StockExchange by use of the integrated factors C2R model and the constructed inefficientindex of market valuation because they can measure efficiencies of market valuation,preferences of market valuation and other timing features and evolution pattern. Andthe results show that the measure is more comprehensive reflecting of thecharacteristics and trends of relative valuation efficiency of the market and theinternal industries than the traditional P/E indicator.(3)Utilizing the integrated factors super-efficiency DEA model, this paperresearches the relative valuation efficiency of Shanghai A and B share market andefficiency difference using43AB companies from input, output and relativecomparison perspective. The results indicate that the changing trend of valuationefficiency of A-share market is almost similar with that of B-share market and theyare always in constant adjustment.