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有效市场理论是金融学的基础理论之一。金融学中的核心理论,资产定价理论前提假设之一就是证券市场是有效的,证券价格充分反映了公开信息。在Fama的关于市场效率综述论文发表之后,市场效率的理论和实证研究获得了丰硕的成果。从一般的随机理论,到前沿的混沌分形理论,经济学家在不断的证明市场有效性假设的正确性。对这些研究做一系统的综述有利于我们更好的把握金融学理论。
Efficient market theory is one of the basic theories of finance. One of the core assumptions in finance theory and asset pricing theory is that the stock market is effective and the price of securities fully reflects the public information. After Fama’s presentation of the market efficiency review paper, theoretical and empirical research on market efficiency has yielded fruitful results. From the general stochastic theory to the frontier theory of chaos and fractal, economists are constantly proof of the correctness of the hypothesis of market effectiveness. A systematic review of these studies helps us to better grasp the theory of finance.