证券市场是金融市场的重要组成部分,以其运行状态可以透析资源配置、企业融资与经济发展的变化状态。当“效率”或“有效性”的经济学内涵,被界定为生产活动所得到的成果与投入的比值时,证券市场的效率可以理解为证券市功能实现程度的反映。从这个角度说,功能发挥程度越好,市场效率越高。而传统的证券市场效率研究,主要集中在信息效率的检验上——基于有效市场假说,检验利用信息进行交易能否获得超额收益。尽管这方 The securities market is an important part of the financial market. With its operating status, the securities market can analyze the changing status of resource allocation, corporate financing and economic development. When the economic connotation of “efficiency ” or “validity ” is defined as the ratio of the result obtained from the productive activity to the input, the efficiency of the stock market can be interpreted as a reflection of the degree to which stock market functions are realized. From this perspective, the better the function is played, the higher the market efficiency. However, the traditional research on stock market efficiency mainly focuses on the test of information efficiency - based on the effective market hypothesis, it is possible to test whether the information can be used to gain the excess returns. Despite this side