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1、摘要近两年中国股票市场出现罕见的异常波动，自2014年下半年开始市场快速上涨，而在2015下半年却反复出现―千股涨停‖、―千股停牌‖、―千股跌停‖的异象。上证指数更是在17个交易日内从5000点跌破3000点。本文分析学者们研究―股市赌场论‖的不同观点，结合理论和实证研究，选择从股票市场信息效率和资本配置效率的角度，探究股票市场反映公司基本层面信息的能力，从而论述中国股市是否是赌场。本文得到以下结论：第一：中国股价信息含量与成熟的证券市场相比，中国股市在整体上对公司未来盈利能力预测能力水平相当，自0
2、8年以后股价信息含量增加，波动幅度较大。第二：中国上市公司整体表现出很高的市场收益波动率，因此不能简单通过股价非同步性指标来衡量股市信息效率。第三：中国股市的股价信息含量与资本投资效率在短期中高度相关，股价信息效率越高则资本投资效率越高。根据以上的结论，本文认为中国股票市场一定程度上实现了反映公司层面价值，传递公司层面信息，引导资源配置的功能，尤其在08年以后表现较好，因此一定程度上驳斥了―股市赌场论‖。关键字：股市赌场论，股价信息含量，资本投资效率1万方数据AbstractInthepasttwo
3、years,China‘sstockmarketexperiencedabnormalfluctuations.Inthesecondhalfof2014,themarketroserapidly,whileinthesecondhalfof2015,itkeptrecurringthat"thousandstockslimitup","thousandstockslimitdown","thousandstockssuspended".In2001,JinglianWu,aneconomist,s
4、aidthat"China‘sstockmarketislikeacasino",whichcausedapublicdebateandwell-knowndiscussionsamongseveraleconomists.Thoughthis―casinotheory‖iswidelyacceptedbythepublic,ithasnotbeenthoroughlyresearchedbyacademicliteratures.Thispaperanalyzesdifferentperspect
5、ivesofthisissueinagroupofliteratures,combinestheoreticalandempiricalresearch,anddiscussestheinformationefficiencyandcapitalallocationefficiencyofthestockmarket.Aboveall,thepaperevaluatesthestockmarket‘sabilitytoreflectthefundamentalofapubliccompany.det
6、ermineswhetherChina‘sstockmarketisacasinoornot.Conclusions:First,comparingwithdevelopedmarkets,Chinesestockmarkethassamelevelofefficiencytoforecastthefutureprofitabilityofacompany,andithasbeenperformingbettersince2008.Secondly,sincethevolatilityofmarke
7、treturnishigher,itisnotreasonabletosimplyusetheaverageR2asanindicatortocomparetheinformationefficiencyamongdifferentcounties`stockmarkets.Thirdly,asforChina‘sstockmarket,thestockpriceinformativenessandinvestmentefficiencyarepositivelyrelatedintheshortt
8、erm.Thatmeans:thehighertheefficiencyofinformation,thebetterthecapitalallocationefficiency.Insum,thispaperarguesthatChina‘sstockmarkethasthebasicfunctionstorevealtherealvalueofthepubliccompaniesandtoallocateresourcesefficiently.Mostimpor
