股票市场效率指数研究
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摘要
经济在继续发展,每个经济体系都需要大量资金为了推进其经济活动。股票市场是一个经济体系的最重要机构,为协助公司收集资金进行发展。股票市场的作用也包括协助人民储蓄以及收入分配。股票市场也为广大股民提供能买到大公司股票的机会,使他们成为大公司的股东。
但是股票市场的机制是非常复杂的,新投资者在开始投资买卖股票可能理解不清楚股票市场的制度。而且也难预测未来的股票价格及股票的其它利益。投资在股票有风险,但是也会提供比较高的收益率。由于害怕风险,大部分股民不敢在股票市场上大量投资买卖股票。股票的特性跟其它产品不同的是其它产品的质量可以看见或者有标签告诉买者其产品的质量及价格。一般高质量的产品也有高价格,低质量的产品也有低价格。但是股票的质量来自其公司的经营成果是会变动的,而股票价格来自股票市场上的需求和供应的也是总是变动的。那投资者怎么能知道股票的价格和其实际质量是否合适的。
股票价格的变动及股票的实际质量的变化都来自信息的影响。当有新信息发生出来又瞬间影响到股票价格的变动,同时也影响到公司的经营成果的变化。如果是好信息就影响到股票价格和公司的实际质量都增加,相反,如果是坏信息发生出来就影响到股票价格和股票的实际质量都降低。从而,不论有好信息还是坏信息发生出来,股票价格和股票的实际质量都是有同方向变化的。这样的情况股票的价格是反应了其股票的实际质量跟其它产品同样的,高质量的股票有高价格,低质量的股票有低价格的。因此,投资者都会放心买卖股票的,要买高质量的股票就买高价格的股票,要买低价格的股票就要接受那是低质量的股票。这样的情况来自股票市场的高效率价格机制,显示股票市场效率是高效率的。市场效率的理论发展过了一百多年,而是目前最常用的理论为Eugene Fama的有效市场假说(Efficient Market Hypothesis:EMH)在1970年代开始提出的。EMH指出市场的效率总共有三形式为：(1)弱式有效性表示股票价格已经反映所有过去的股价,从而投资者不能使用股票的技术分析方法为了收到超额收益率；(2)半强式有效性表示股票价格已经反映所有公开的信息,从而投资者不能使用股票的基本面分析为了收到超额收益率；(3)强式有效性表示股票价格已经反映所有发生出来的信息甚至内幕信息,从而投资者都没办法收到超额收益率。EMH没有提到股票的实际质量,可能是EMH的主要假定条件为：(1)理性经济人假说：投资者都是理性的表示投资者都理解清楚信息对股票价格有什么影响的,并没有理解错的,而且也知道哪个信息是实情的,那个信息是虚假的;(2)信息的获得是零成本：投资者都平等及同时间收到所有发生的信息,但是在实际股票市场上这两个假定条件都不能现实的。在股票分析文章上也经常发现有预测股票的价格或者质量是错的,这就显示了连专家也理解信息错的或者不一定能理解那个信息是对股票的价格及质量有什么影响,那么一般的投资者怎么能都正确理解信息。此外,当有新信息发生出来,股票市价瞬间反应信息了,但是股票的质量来自公司的经营成果,需要用比较长时间才显示那个信息的影响,时间越长越有不确定性结果。从而跟着EMH的理论连股票市场是有高效率的也没有显示股票市价能反映股票的实际质量。
本文关注股票市场的反映股票实际质量的性能。因为这个股票市场的性能是容易理解的,所以本文认为投资者都能理解及利用股票市场的反映股票实际质量的性能为了制定其投资的政策。本研究确定股票市场效率的定义为“所有存在股票市场的股票市价都能反映其股票的实际质量”。本研究的股票市场效率的定义跟EMH的定义是不同的,但是本文认为股票市场效率指数的原因跟EMH的原因是同样的。本文的研究方法也跟EMH不同的,本研究运用经济增加值(Economic Value Added:EVA)作为公司或者股票的实际质量的指标,使用相关系数测量股票投资收益率和经济增加值的关系,并作为股票的市场价格效率指数。最后使用股票市场的所有股票的市场价格效率指数通过加权平均方法构建出股票市场效率指数。本研究使用泰国股票市场作为个案研究,并运用泰国股票交易所50家上市公司作为研究的样本。
本研究发现从2007-2011年泰国股票市场的股票大部分都是股票的市场价格效率存在没有效率的情况,而且也有些股票的市场价格效率存在负度效率的情况和有一些存在有效率的情况。2007-2011年泰国股票市场效率指数存在0.12866到0.34150,显示泰国股票市场效率存在没有效率的情况。最后本文对于投资者提出建议：投资者应该买入或者投资在有高经济增加值或者经济增加值继续增加的并市场价格效率是负度效率或者没有效率的股票,而且应该避免或者卖出经济增加值继续存在负数或者经济增加值继续降低的并市场价格效率是负度效率或者没有效率的股票。本文对政府提出的建议为需要发展信息发布系统通过立法或者建立规则影响到上市公司都披露信息,并不能通报虚假的信息,此外需要控制股票分析者必须提高其性能,并不能经常出版分析股票错的文章。对于股票执行经理,本文提出的建议为应该计算每年所有存在股票市场的股票市场价格效率指数并通报给所有的投资者,投资者知道了就要买入质量在增加以及市场价格效率存在负度效率或者没有效率的股票,而且也卖出质量降低及市场价格效率存在负度效率或者没有效率的股票。因此,通过价格机制,股票市场效率是可能提高的。
For the developing economy, a lot of companies need a large number of fund to develop their economic activities. Stock market is a major institute to help many large companies to funding from the publics. Stock market not only helping companies to funding from publics, but also helping people to save their money by investing in listed stocks, and helping people to become a large companies shareholder.
However, stock market system is so complicate. A lot of people dare not investing their money in stock market, because they are afraid of investment risk. Stock character is different from any common product. For any common product, buyer can read its quality and price from product label, so they can use a little time to read product label before deciding to buy the product. But for stocks, stocks price come from demand and supply for stocks, that also changing with changing in demand or supply. Furthermore, stock's quality comes from its company's performance, that also away change with any effect from any factors.
Both stock price and quality of stock will change when receive a new information. If has a new good information, both price and quality of stock will be increasing. On the contrary, if has a new bad information, both price and quality of stock will be decreasing. Whether there is good or bad information take place also effecting both price and quality of stock to change in the same direction. This is express that stock price can reflect the real quality of stock like any common product, high quality one also has high price and low quality one also has low price. As a result, investors can trust the stock price and be assured to trading stock. This condition express that stock market has high efficiency.
Market efficiency theory has developed for a hundred years, and the most frequency usage is Efficient Market Hypothesis(EMH) in1970s by Eugene Fama. EMH has three major of market efficiency forms:(1) weak-form market efficiency means that stock price already reflect all of past trading price, so investors can't use any technical analysis methods to take the excess profit;(2) semi-strong-form market efficiency means that stock price already reflect all of publicly available information, so investors can't use any fundamental analysis methods to take excess profit;(3) Strong-form market efficiency means that stock price already reflect all of information including inner information, so investors have no way to take excess profit. However, EMH does not refer to quality of stock. This may be the about two major assumption of EMH:(1) all of investors are reasonable, that imply all of investors can understand all received information, cannot misunderstand received information and also knowing which information is true and which information is false, furthermore they are also know that information has what effect to stock price;(2) all of investors are fairly and on time receiving all information. But, in realistic stock market this two conditions cannot come true. We often find that there are some stock analysis reports giving wrong forecasted stock price and wrong suggestion. This show that even specialist may not really understand all received information and its effect. Therefore, any common investors also may not understand received information and its effect. These reasons may be showing that why EMH's market efficiency may not reflect real quality of stock.
This study concerned about ability of stock's market price to reflect real quality of stock. The definition of stock market efficiency is "All of stocks'market price can reflect stocks'real quality". This research use economic value added(EVA) as real quality of stock, and use correlation co-efficiency of stock's return rate and EVA of company to estimate relationship between stock's return rate and company's EVA. This correlation co-efficiency is "stock-market-price efficiency index". Then use stock-market-price efficiency index of all stocks to calculate Stock Market Efficiency Index (SMEI) by using weighted average method. This research use Thailand's stock market as case study and use50listed stock from the Stock Exchange of Thailand (SET) as research sample.
The result of this research is that in2007-2011, most of SET's listed stocks have stock-market-price efficiency index at inefficiency condition, some stocks have stock-market-price efficiency index at negative efficiency condition and some stocks have stock-market-price efficiency index at efficiency condition. However,2007-2011, SET's SMEI is in the range between0.12866-0.34150, express that Thailand's stock market is in inefficiency condition.
The last part of this research is the suggestion of researcher for investors, government and stock market's managing director. Suggestions for investors is that should buy stocks which have increasing EVA and have stock-market-price efficiency index at negative efficiency or inefficiency condition. In contrary, should sell or not invest in stocks which have decreasing EVA and have stock-market-price efficiency index at negative efficiency or inefficiency condition. Suggestions for government is that government should legislate law for forcing all listed companies to disclosed and publicize all related stock price information also not publicize false information. Furthermore government should force stock analysis companies and stock analyst to develop their skill and cannot publicize too much false analysis reports. Suggestions for stock market managing director that stock market should calculate stock-market-price efficiency index of all listed stock and SMEI for each year and publicize to all investors. Researcher hope all these suggestion can improve stock market efficiency
但是股票市场的机制是非常复杂的,新投资者在开始投资买卖股票可能理解不清楚股票市场的制度。而且也难预测未来的股票价格及股票的其它利益。投资在股票有风险,但是也会提供比较高的收益率。由于害怕风险,大部分股民不敢在股票市场上大量投资买卖股票。股票的特性跟其它产品不同的是其它产品的质量可以看见或者有标签告诉买者其产品的质量及价格。一般高质量的产品也有高价格,低质量的产品也有低价格。但是股票的质量来自其公司的经营成果是会变动的,而股票价格来自股票市场上的需求和供应的也是总是变动的。那投资者怎么能知道股票的价格和其实际质量是否合适的。
股票价格的变动及股票的实际质量的变化都来自信息的影响。当有新信息发生出来又瞬间影响到股票价格的变动,同时也影响到公司的经营成果的变化。如果是好信息就影响到股票价格和公司的实际质量都增加,相反,如果是坏信息发生出来就影响到股票价格和股票的实际质量都降低。从而,不论有好信息还是坏信息发生出来,股票价格和股票的实际质量都是有同方向变化的。这样的情况股票的价格是反应了其股票的实际质量跟其它产品同样的,高质量的股票有高价格,低质量的股票有低价格的。因此,投资者都会放心买卖股票的,要买高质量的股票就买高价格的股票,要买低价格的股票就要接受那是低质量的股票。这样的情况来自股票市场的高效率价格机制,显示股票市场效率是高效率的。市场效率的理论发展过了一百多年,而是目前最常用的理论为Eugene Fama的有效市场假说(Efficient Market Hypothesis:EMH)在1970年代开始提出的。EMH指出市场的效率总共有三形式为：(1)弱式有效性表示股票价格已经反映所有过去的股价,从而投资者不能使用股票的技术分析方法为了收到超额收益率；(2)半强式有效性表示股票价格已经反映所有公开的信息,从而投资者不能使用股票的基本面分析为了收到超额收益率；(3)强式有效性表示股票价格已经反映所有发生出来的信息甚至内幕信息,从而投资者都没办法收到超额收益率。EMH没有提到股票的实际质量,可能是EMH的主要假定条件为：(1)理性经济人假说：投资者都是理性的表示投资者都理解清楚信息对股票价格有什么影响的,并没有理解错的,而且也知道哪个信息是实情的,那个信息是虚假的;(2)信息的获得是零成本：投资者都平等及同时间收到所有发生的信息,但是在实际股票市场上这两个假定条件都不能现实的。在股票分析文章上也经常发现有预测股票的价格或者质量是错的,这就显示了连专家也理解信息错的或者不一定能理解那个信息是对股票的价格及质量有什么影响,那么一般的投资者怎么能都正确理解信息。此外,当有新信息发生出来,股票市价瞬间反应信息了,但是股票的质量来自公司的经营成果,需要用比较长时间才显示那个信息的影响,时间越长越有不确定性结果。从而跟着EMH的理论连股票市场是有高效率的也没有显示股票市价能反映股票的实际质量。
本文关注股票市场的反映股票实际质量的性能。因为这个股票市场的性能是容易理解的,所以本文认为投资者都能理解及利用股票市场的反映股票实际质量的性能为了制定其投资的政策。本研究确定股票市场效率的定义为“所有存在股票市场的股票市价都能反映其股票的实际质量”。本研究的股票市场效率的定义跟EMH的定义是不同的,但是本文认为股票市场效率指数的原因跟EMH的原因是同样的。本文的研究方法也跟EMH不同的,本研究运用经济增加值(Economic Value Added:EVA)作为公司或者股票的实际质量的指标,使用相关系数测量股票投资收益率和经济增加值的关系,并作为股票的市场价格效率指数。最后使用股票市场的所有股票的市场价格效率指数通过加权平均方法构建出股票市场效率指数。本研究使用泰国股票市场作为个案研究,并运用泰国股票交易所50家上市公司作为研究的样本。
本研究发现从2007-2011年泰国股票市场的股票大部分都是股票的市场价格效率存在没有效率的情况,而且也有些股票的市场价格效率存在负度效率的情况和有一些存在有效率的情况。2007-2011年泰国股票市场效率指数存在0.12866到0.34150,显示泰国股票市场效率存在没有效率的情况。最后本文对于投资者提出建议：投资者应该买入或者投资在有高经济增加值或者经济增加值继续增加的并市场价格效率是负度效率或者没有效率的股票,而且应该避免或者卖出经济增加值继续存在负数或者经济增加值继续降低的并市场价格效率是负度效率或者没有效率的股票。本文对政府提出的建议为需要发展信息发布系统通过立法或者建立规则影响到上市公司都披露信息,并不能通报虚假的信息,此外需要控制股票分析者必须提高其性能,并不能经常出版分析股票错的文章。对于股票执行经理,本文提出的建议为应该计算每年所有存在股票市场的股票市场价格效率指数并通报给所有的投资者,投资者知道了就要买入质量在增加以及市场价格效率存在负度效率或者没有效率的股票,而且也卖出质量降低及市场价格效率存在负度效率或者没有效率的股票。因此,通过价格机制,股票市场效率是可能提高的。
For the developing economy, a lot of companies need a large number of fund to develop their economic activities. Stock market is a major institute to help many large companies to funding from the publics. Stock market not only helping companies to funding from publics, but also helping people to save their money by investing in listed stocks, and helping people to become a large companies shareholder.
However, stock market system is so complicate. A lot of people dare not investing their money in stock market, because they are afraid of investment risk. Stock character is different from any common product. For any common product, buyer can read its quality and price from product label, so they can use a little time to read product label before deciding to buy the product. But for stocks, stocks price come from demand and supply for stocks, that also changing with changing in demand or supply. Furthermore, stock's quality comes from its company's performance, that also away change with any effect from any factors.
Both stock price and quality of stock will change when receive a new information. If has a new good information, both price and quality of stock will be increasing. On the contrary, if has a new bad information, both price and quality of stock will be decreasing. Whether there is good or bad information take place also effecting both price and quality of stock to change in the same direction. This is express that stock price can reflect the real quality of stock like any common product, high quality one also has high price and low quality one also has low price. As a result, investors can trust the stock price and be assured to trading stock. This condition express that stock market has high efficiency.
Market efficiency theory has developed for a hundred years, and the most frequency usage is Efficient Market Hypothesis(EMH) in1970s by Eugene Fama. EMH has three major of market efficiency forms:(1) weak-form market efficiency means that stock price already reflect all of past trading price, so investors can't use any technical analysis methods to take the excess profit;(2) semi-strong-form market efficiency means that stock price already reflect all of publicly available information, so investors can't use any fundamental analysis methods to take excess profit;(3) Strong-form market efficiency means that stock price already reflect all of information including inner information, so investors have no way to take excess profit. However, EMH does not refer to quality of stock. This may be the about two major assumption of EMH:(1) all of investors are reasonable, that imply all of investors can understand all received information, cannot misunderstand received information and also knowing which information is true and which information is false, furthermore they are also know that information has what effect to stock price;(2) all of investors are fairly and on time receiving all information. But, in realistic stock market this two conditions cannot come true. We often find that there are some stock analysis reports giving wrong forecasted stock price and wrong suggestion. This show that even specialist may not really understand all received information and its effect. Therefore, any common investors also may not understand received information and its effect. These reasons may be showing that why EMH's market efficiency may not reflect real quality of stock.
This study concerned about ability of stock's market price to reflect real quality of stock. The definition of stock market efficiency is "All of stocks'market price can reflect stocks'real quality". This research use economic value added(EVA) as real quality of stock, and use correlation co-efficiency of stock's return rate and EVA of company to estimate relationship between stock's return rate and company's EVA. This correlation co-efficiency is "stock-market-price efficiency index". Then use stock-market-price efficiency index of all stocks to calculate Stock Market Efficiency Index (SMEI) by using weighted average method. This research use Thailand's stock market as case study and use50listed stock from the Stock Exchange of Thailand (SET) as research sample.
The result of this research is that in2007-2011, most of SET's listed stocks have stock-market-price efficiency index at inefficiency condition, some stocks have stock-market-price efficiency index at negative efficiency condition and some stocks have stock-market-price efficiency index at efficiency condition. However,2007-2011, SET's SMEI is in the range between0.12866-0.34150, express that Thailand's stock market is in inefficiency condition.
The last part of this research is the suggestion of researcher for investors, government and stock market's managing director. Suggestions for investors is that should buy stocks which have increasing EVA and have stock-market-price efficiency index at negative efficiency or inefficiency condition. In contrary, should sell or not invest in stocks which have decreasing EVA and have stock-market-price efficiency index at negative efficiency or inefficiency condition. Suggestions for government is that government should legislate law for forcing all listed companies to disclosed and publicize all related stock price information also not publicize false information. Furthermore government should force stock analysis companies and stock analyst to develop their skill and cannot publicize too much false analysis reports. Suggestions for stock market managing director that stock market should calculate stock-market-price efficiency index of all listed stock and SMEI for each year and publicize to all investors. Researcher hope all these suggestion can improve stock market efficiency
引文
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[4]Al-Saleh, Nadhem, and Al-Ajmi, Jasim. Weak-Form Efficiency in the Saudi Stock Market[J]. International Research Journal of Finance and Economics. ISSN1450-2887. Issue87:Eurojournals Publishing, Inc.,2012
[5]Al-Zoubi, Haitham, and Kh. Al-Zu'bi, Bashir. Market efficiency, time-varying volatility and the asymmetric effect in Amman stock exchange[J]. Managerial Finance. Vol33. No7:P.490-499,2007
[6]Arnonkitpanit, Tanut. Testing the Efficiency in the Stock Exchange of Thailand[D]. Khon Kaen:Khon Kaen University,2008
[7]Asiri, Batool. Testing weak-form efficiency in the Bahrain stock market[J]. International Journal of Emerging Markets. Vol3. Nol:P.38-53, 2008
[8]Black, F., Jensen, M., and Scholes, M. The Capital Asset Pricing Model: Some Empirical Test. Studies in the Theory of Capital Markets. Praeger Publisher Inc,1972
[9]Bloxham, Eleanor. Economic Value Management[M]. New Jersey:John Wiley&Sons Inc.,2003
[10]Boonyatistan, Ekachai. EVM Economic Value Management[M]. Bangkok, 2010
[11]Brealey, R. An Introduction to Risk and Uncertainty from Common Stocks[M]. Cambridge:MIT Press,1969
[12]Cabrera, Juan F.. Essays in market efficiency[D]. New York City:The City University of New York,2009
[13]Chaimahasan, Mullika. A Testing of Efficient Hypothesis of The Stock Exchange of Thailand[D].Bangkok:Kasetsart University,2005
[14]Chaity, Naznin Sultana, and Sharmin, Sanjida. Efficiency Measures of Capital Market:A Case of Dhaka Stock Exchange[J]. International Journal of Business and Management. Vol7. Nol:P.102-108, Jan 2012
[15]Chen, Jeng-Hong. Variance Ratio Tests of Random Walk Hypothesis of The Euro Exchange Rate[J]. International Business & Economics Research Journal. Vol7. No12:P.97-106, Dec2008
[16]Chuenhangor, Arporn. Fundamental analysis of securities listed in The Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2005
[17]Chughtai, Sumayya. Semi strong Market Efficiency:An empirical study of Karachi stock exchange [J]. Interdisciplinary Journal of Contemporary Research In Business. Vol2. No2:P.179-206, Jan 2010
[18]Cooper, R. Efficient Capital Markets and the quantity theory of money[J]. Journal of Finance. Vol.19:P.887-908, June1974
[19]Demos, Antonis, and Vasillelis, George. U. K. Stock Market Inefficiencies and the Risk Premium[J]. Multinational Finance Journal. Vol11. No1/2:P.97-122, Mar-Jun2007
[20]Dima, Bogdan, and Milos, Laura Raisa. Testing the Efficiency Market Hypothesis for the Romanian Stock Market[J]. Annales Universitatis Apulensis:Series Oeconomica. Vol11. No1:P.402-415,2009
[21]Dixit, Alok, Yadav, Surendra S., and Jain, P. K.. Informational efficiency of implied volatilities of S&P CNX Nifty index options[J]. Journal of Advances in Management Research. Vol7. Nol:P.32-57,2010
[22]Dumlao, Luis F.. Efficiency of The Philippine Stock Exchange, Using Serial Correlation and Variance Test Ratio[D]. Fordham University:New York,2000
[23]Ehrbar,A. EVA:The Real Key to Creating Wealth[M]. New York:John Willey&Sons,1998
[24]Fama, E. The behavior of stock market prices [J]. Journal of Business. Vol.38. No.1:P.34-105, Jan1965
[25]Fama, E. Efficient capital markets:a review of theory and empirical work[J]. Journal of Finance. Vol.25. No.2:P.383-417, May1970
[26]Fama, E., and Blume, M. Filter rules and stock market trading[J]. Journal of Business. Vol.39. Issuel:P.226-241, Jan1966
[27]Fama, E., Fisher, L., Jansen, M., and Roll, R. The adjustment of stock prices to news information[J]. International Economic Review. Vol.10: P.1-21, Feb1969
[28]Grant, James L.. Foundations of Economic Value Added[M]. New Jersey: John Wiley&Sons Inc.,2003
[29]Iamwashirakul, Saowaluk. The association between firm's characteristics and segment discloslure level of the companies listed in the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University, 2006
[30]Ieamwijarn, Rugkita. A study of fundamental financial function and cumulative abnormal return from stock repurchase schemes operated by companies on the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2006
[31]Ifeakachukwu, Philip, and Olasunkanmi, Isiaq. Efficient Market Hypothesis and Nigerian Stock Market[J]. Research Journal of Finance and Accounting. Vol2. No12:P.38-47,2011
[32]Jiakjerm, Itiphan. The Behavioral of analysis'on earning forecast [D]. Bangkok:Chulalongkorn University,2000
[33]Katesuwan, Naiyanet. The effectiveness of fundamental analysis on future stock returns[D]. Bangkok:Chulalongkorn University,2006
[34]Keane, Simon M. Stock Market Efficiency[M]. Glasgow:University of Glasgow,1985
[35]Knight, J. A. Value-Based Management[M]. New York:McGraw-Hill,1998
[36]Krasaesindhu, Pratpong. A study on the relationship between stock return based on analyst recommendation and size of listed company in Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2011
[37]Kunvoraweth, Rawiphan. The relationship between economic value added and return in common stock of in SET100 index[D]. Bangkok:Chulalongkorn University,2011
[38]Kuwongbundhit, Nattakarn. The relationship between stock market prices and economic value added[D]. Bangkok:Chulalongkorn University, 2006
[39]Li, Xiaoming. China's Evolving Stock Market Efficiency Reconsidered: The Kalman Filter Analysis. SSRN Working Paper Series, Feb2007
[40]Lintner, John. Security Prices, Risk and Maximum Gains from Diversification[J]. Journal of Finance:P.587-615
[41]Lo, Andrew W. Market Efficiency:Stock Market Behaviour in Theory and Practice[M]. Cheltenham:Hartnolls Limited, Bodmin, Cornwall,1997
[42]Markowitz, Harry. Portfolio Selection[J]. Journal of Finance. Vol7: P.77-91, Mar1952
[43]Martin, John D., and Petty, J.William. Value Based Management[M]. Boston:Harvard Business School Press,1945
[44]Mossin, Jan. Equilibrium in a Capital Asset Market [J]. Econometrica. Vol34. No4:P.768-783,Oct1966
[45]Moustafa, M. A.. Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market [J]. INTERNATIONAL JOURNAL OF BUSINESS. Vol9. No3: P.309-325,2004
[46]Muhammad, Junaina, Ibrahim, Izani, Sufar, Saiful Bahri, and Rahman, Nik Mutasim Abd. The Efficiency of Stock Market Based on the Inclusion-[34] Exclusion Exercise of the Kuala Lumpur Syariah Index (KLSI)[J]. IUP Journal of Applied Finance. Vol15. No5:P.33-48, May2009
[47]NopakornWisaes, Thepnarong. Technical trading rule with testing of efficient market hypothesis for Stock Exchange of Thailand[D]. Bangkok: Chulalongkorn University,1997
[48]Nopcharoenkul, Songwut. The effect of investments by foreign investors on returns from the Stock Exchange of Thailand[D]. Bangkok: Chulalongkorn University,2000
[49]Norasasawat, Kittikarn. A comparision study of the returns on technical analysis instruments in the Stock Exchange of Thailand:RSI, MACD and modified stochastic[D]. Bangkok:Chulalongkorn University,2006
[50]O'Byrne, S. EVA and Shareholder Return. Financial Practice and Education:P.50-54, Spring/Summer1997
[51]Phanomthornnijakul, Dhammayos. The Comparative in Efficiency of the Stock Exchange of Thailand between before and after financial crisis in year 2007[D]. Bangkok:Thammasat University,2009
[52]Righi,Marcelo Brutti, and Ceretta, Paulo Sergio. Random Walk and Variance Ratio Tests for Efficiency in the Sub-Prime Crisis:Evidence for the U.S. and Latin Markets[J]. ISSN1450-2887. Issue72:EuroJournals Publishing, Inc.2011
[53]Robinson, C. Justin. Stock Price Behavior in Emerging Market:Tests for Weak Form Market Efficiency on The Jamaica Stock Exchange [J]. Social and Economic Studies. Vol54. No2:P.51-69,163, Jun 2005
[54]Roll, Richard. Review of Richard A. Brealey'An Introduction to Risk and Return from Common Stocks'[J]. Journal of Financial and Quantitative Analysis. Vol 5:P.501-503, Dec1970
[55]Sae-jang, Mongkol. Trading pattern of individual, institutional, proprietary and foreign investors and their performances evidence from the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University, 2011
[56]Sharpe, Willium F. Capital Asset Prices:A Theory of Market Equilibrium Under Conditions of Risk[J]. Journal of Finance:Vol 19. No3: P.425-442, Sep1964
[57]Siriratanaboonchai, Apichart. Investment Strategies Using Technical Analysis in the SET[D]. Bangkok:Chulalongkorn University,2011
[58]Srinivasan, P. Stock Market Efficiency and Common Stochastic Trends: A Case of NSE and BSE[J]. IUP Journal of Financial Risk Management. Vol8. No2:P.41-55, Jun 2011
[59]Stern, Joel M., and Shiely, John S.. The EVA Challenge[M]. John Wiley&Sons Inc.,2001
[60]Sungkaew, Jirat. Investment[M]. Bangkok:Thammasat University,1999
[61]Taihuadong, Anusorn. Volatility estimation for the return of set 50 index in the Stock Exchange of Thailand using ARIMA-GARCH Model [D]. Chiang Mai:Chiang Mai University,2008
[62]Techwalaisridecha, Krisanat. A study of an investment strategy in common stocks by Magic Formula of Joel Greenblatt for Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2011
[63]Thanarakpong, Patha. An analysis of risk and rate of return in The Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2007
[64]Thassanakatitum, Sompote. The study of monthly seasonality return of SET index, and Sectoral index:implication for investors, Case Study of The Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University, 2011
[65]Trongma, Jakkrapong. A Test of Relationship Between the Stock Exchange Index Growth and Economic Growth of Thailand[D]. Chiang Mai: Chiang Mai University,2008
[66]Vanichbuncha, Kanlaya. Statistic for Research[M]. Bangkok: Chulalongkorn University,2007
[67]Vichaithammatorn, Tikhumporn. Strategy and return to foreign investors in the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2005
[68]Vittayarak, Sarawut. A Test of market efficiency the warrant issue on the stock price change in the Stock Exchange of Thailand[D]. Chiang Mai:Chiang Mai University,2009
[69]Wongkaroon, Rewat. A Testing of Market Efficiency Using ARIMA Model:The Stock Exchange of Thai land[D]. Bangkok:Saint John's University,2002
[70]Young, S.David, and 0'Byrne, Stephen F.. EVA and Value-Based Management[M]. McGraw-Hill,2001
[71]刘俊.无效市场中主体行为对股票价格影响理论与实证分析[D].上海市：复旦大学,2003
[72]刘柯杰.中国股票市场促进经济增长研究[D].上海市复：旦大学,2003
[73]周颖刚.中国股市效率研究[D].厦门：厦门大学,2001
[74]唐静武.中国股票市场运行效率研究[D].广州市：暨南大学,2009
[75]张兵.中国股票市场有效性分析与实证研究[D].南京市：南京农业大学,2002
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[102]Shareholder Value Advisor:http://www.valueadvisors.com
[103]Studymode:http://www.studymode.com
[104]The free dictionary by Farlex:http://www.thefreedictionary.com
[105]the Stock Exchange of Thailand:http://www.set.or.th
[106]Wikipedia The free encyclopedia:http://en.wikipedia.org
6 W. Sharpe, Capital Asset Prices:A Theory of Market Equilibrium Under Conditions of Risk[J]. Journal of Finance:P.425-442, Sep1964
7 J. Lintner, Security Prices, Risk and Maximum Gains from Diversification[J]. Journal of Finance:P.587-615
8 J.Mossin, Equilibrium in a Capital Asset Market[J]. Econometrica.:P.768-783,Oct1966
32 Ekachai Boonyatistan (2010),EVM Economic Value Management. P.77
[1]Abedini, Bizhan. An Evaluation of Efficiency of Kuala Lumpur Stock Exchange [J]. Interdisciplinary Journal of Contemporary Research In Business. Vol1. No4:P81-101, Aug 2009
[2]Akbar, Muhammad, and Baig, Humayun Habib. Reaction of Stock Prices to Dividend Announcements and Market Efficiency in Pakistan[J], The Lahore Journal of Economics. Vol15. Nol:P.103-125, Summer 2010
[3]Akinkugbe, Oluyele. Efficiency in Botswana Stock Exchange[J]. The Business Review. Cambridge. Vol4. No2:P.223-230, Dec2005
[4]Al-Saleh, Nadhem, and Al-Ajmi, Jasim. Weak-Form Efficiency in the Saudi Stock Market[J]. International Research Journal of Finance and Economics. ISSN1450-2887. Issue87:Eurojournals Publishing, Inc.,2012
[5]Al-Zoubi, Haitham, and Kh. Al-Zu'bi, Bashir. Market efficiency, time-varying volatility and the asymmetric effect in Amman stock exchange[J]. Managerial Finance. Vol33. No7:P.490-499,2007
[6]Arnonkitpanit, Tanut. Testing the Efficiency in the Stock Exchange of Thailand[D]. Khon Kaen:Khon Kaen University,2008
[7]Asiri, Batool. Testing weak-form efficiency in the Bahrain stock market[J]. International Journal of Emerging Markets. Vol3. Nol:P.38-53, 2008
[8]Black, F., Jensen, M., and Scholes, M. The Capital Asset Pricing Model: Some Empirical Test. Studies in the Theory of Capital Markets. Praeger Publisher Inc,1972
[9]Bloxham, Eleanor. Economic Value Management[M]. New Jersey:John Wiley&Sons Inc.,2003
[10]Boonyatistan, Ekachai. EVM Economic Value Management[M]. Bangkok, 2010
[11]Brealey, R. An Introduction to Risk and Uncertainty from Common Stocks[M]. Cambridge:MIT Press,1969
[12]Cabrera, Juan F.. Essays in market efficiency[D]. New York City:The City University of New York,2009
[13]Chaimahasan, Mullika. A Testing of Efficient Hypothesis of The Stock Exchange of Thailand[D].Bangkok:Kasetsart University,2005
[14]Chaity, Naznin Sultana, and Sharmin, Sanjida. Efficiency Measures of Capital Market:A Case of Dhaka Stock Exchange[J]. International Journal of Business and Management. Vol7. Nol:P.102-108, Jan 2012
[15]Chen, Jeng-Hong. Variance Ratio Tests of Random Walk Hypothesis of The Euro Exchange Rate[J]. International Business & Economics Research Journal. Vol7. No12:P.97-106, Dec2008
[16]Chuenhangor, Arporn. Fundamental analysis of securities listed in The Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2005
[17]Chughtai, Sumayya. Semi strong Market Efficiency:An empirical study of Karachi stock exchange [J]. Interdisciplinary Journal of Contemporary Research In Business. Vol2. No2:P.179-206, Jan 2010
[18]Cooper, R. Efficient Capital Markets and the quantity theory of money[J]. Journal of Finance. Vol.19:P.887-908, June1974
[19]Demos, Antonis, and Vasillelis, George. U. K. Stock Market Inefficiencies and the Risk Premium[J]. Multinational Finance Journal. Vol11. No1/2:P.97-122, Mar-Jun2007
[20]Dima, Bogdan, and Milos, Laura Raisa. Testing the Efficiency Market Hypothesis for the Romanian Stock Market[J]. Annales Universitatis Apulensis:Series Oeconomica. Vol11. No1:P.402-415,2009
[21]Dixit, Alok, Yadav, Surendra S., and Jain, P. K.. Informational efficiency of implied volatilities of S&P CNX Nifty index options[J]. Journal of Advances in Management Research. Vol7. Nol:P.32-57,2010
[22]Dumlao, Luis F.. Efficiency of The Philippine Stock Exchange, Using Serial Correlation and Variance Test Ratio[D]. Fordham University:New York,2000
[23]Ehrbar,A. EVA:The Real Key to Creating Wealth[M]. New York:John Willey&Sons,1998
[24]Fama, E. The behavior of stock market prices [J]. Journal of Business. Vol.38. No.1:P.34-105, Jan1965
[25]Fama, E. Efficient capital markets:a review of theory and empirical work[J]. Journal of Finance. Vol.25. No.2:P.383-417, May1970
[26]Fama, E., and Blume, M. Filter rules and stock market trading[J]. Journal of Business. Vol.39. Issuel:P.226-241, Jan1966
[27]Fama, E., Fisher, L., Jansen, M., and Roll, R. The adjustment of stock prices to news information[J]. International Economic Review. Vol.10: P.1-21, Feb1969
[28]Grant, James L.. Foundations of Economic Value Added[M]. New Jersey: John Wiley&Sons Inc.,2003
[29]Iamwashirakul, Saowaluk. The association between firm's characteristics and segment discloslure level of the companies listed in the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University, 2006
[30]Ieamwijarn, Rugkita. A study of fundamental financial function and cumulative abnormal return from stock repurchase schemes operated by companies on the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2006
[31]Ifeakachukwu, Philip, and Olasunkanmi, Isiaq. Efficient Market Hypothesis and Nigerian Stock Market[J]. Research Journal of Finance and Accounting. Vol2. No12:P.38-47,2011
[32]Jiakjerm, Itiphan. The Behavioral of analysis'on earning forecast [D]. Bangkok:Chulalongkorn University,2000
[33]Katesuwan, Naiyanet. The effectiveness of fundamental analysis on future stock returns[D]. Bangkok:Chulalongkorn University,2006
[34]Keane, Simon M. Stock Market Efficiency[M]. Glasgow:University of Glasgow,1985
[35]Knight, J. A. Value-Based Management[M]. New York:McGraw-Hill,1998
[36]Krasaesindhu, Pratpong. A study on the relationship between stock return based on analyst recommendation and size of listed company in Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2011
[37]Kunvoraweth, Rawiphan. The relationship between economic value added and return in common stock of in SET100 index[D]. Bangkok:Chulalongkorn University,2011
[38]Kuwongbundhit, Nattakarn. The relationship between stock market prices and economic value added[D]. Bangkok:Chulalongkorn University, 2006
[39]Li, Xiaoming. China's Evolving Stock Market Efficiency Reconsidered: The Kalman Filter Analysis. SSRN Working Paper Series, Feb2007
[40]Lintner, John. Security Prices, Risk and Maximum Gains from Diversification[J]. Journal of Finance:P.587-615
[41]Lo, Andrew W. Market Efficiency:Stock Market Behaviour in Theory and Practice[M]. Cheltenham:Hartnolls Limited, Bodmin, Cornwall,1997
[42]Markowitz, Harry. Portfolio Selection[J]. Journal of Finance. Vol7: P.77-91, Mar1952
[43]Martin, John D., and Petty, J.William. Value Based Management[M]. Boston:Harvard Business School Press,1945
[44]Mossin, Jan. Equilibrium in a Capital Asset Market [J]. Econometrica. Vol34. No4:P.768-783,Oct1966
[45]Moustafa, M. A.. Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market [J]. INTERNATIONAL JOURNAL OF BUSINESS. Vol9. No3: P.309-325,2004
[46]Muhammad, Junaina, Ibrahim, Izani, Sufar, Saiful Bahri, and Rahman, Nik Mutasim Abd. The Efficiency of Stock Market Based on the Inclusion-[34] Exclusion Exercise of the Kuala Lumpur Syariah Index (KLSI)[J]. IUP Journal of Applied Finance. Vol15. No5:P.33-48, May2009
[47]NopakornWisaes, Thepnarong. Technical trading rule with testing of efficient market hypothesis for Stock Exchange of Thailand[D]. Bangkok: Chulalongkorn University,1997
[48]Nopcharoenkul, Songwut. The effect of investments by foreign investors on returns from the Stock Exchange of Thailand[D]. Bangkok: Chulalongkorn University,2000
[49]Norasasawat, Kittikarn. A comparision study of the returns on technical analysis instruments in the Stock Exchange of Thailand:RSI, MACD and modified stochastic[D]. Bangkok:Chulalongkorn University,2006
[50]O'Byrne, S. EVA and Shareholder Return. Financial Practice and Education:P.50-54, Spring/Summer1997
[51]Phanomthornnijakul, Dhammayos. The Comparative in Efficiency of the Stock Exchange of Thailand between before and after financial crisis in year 2007[D]. Bangkok:Thammasat University,2009
[52]Righi,Marcelo Brutti, and Ceretta, Paulo Sergio. Random Walk and Variance Ratio Tests for Efficiency in the Sub-Prime Crisis:Evidence for the U.S. and Latin Markets[J]. ISSN1450-2887. Issue72:EuroJournals Publishing, Inc.2011
[53]Robinson, C. Justin. Stock Price Behavior in Emerging Market:Tests for Weak Form Market Efficiency on The Jamaica Stock Exchange [J]. Social and Economic Studies. Vol54. No2:P.51-69,163, Jun 2005
[54]Roll, Richard. Review of Richard A. Brealey'An Introduction to Risk and Return from Common Stocks'[J]. Journal of Financial and Quantitative Analysis. Vol 5:P.501-503, Dec1970
[55]Sae-jang, Mongkol. Trading pattern of individual, institutional, proprietary and foreign investors and their performances evidence from the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University, 2011
[56]Sharpe, Willium F. Capital Asset Prices:A Theory of Market Equilibrium Under Conditions of Risk[J]. Journal of Finance:Vol 19. No3: P.425-442, Sep1964
[57]Siriratanaboonchai, Apichart. Investment Strategies Using Technical Analysis in the SET[D]. Bangkok:Chulalongkorn University,2011
[58]Srinivasan, P. Stock Market Efficiency and Common Stochastic Trends: A Case of NSE and BSE[J]. IUP Journal of Financial Risk Management. Vol8. No2:P.41-55, Jun 2011
[59]Stern, Joel M., and Shiely, John S.. The EVA Challenge[M]. John Wiley&Sons Inc.,2001
[60]Sungkaew, Jirat. Investment[M]. Bangkok:Thammasat University,1999
[61]Taihuadong, Anusorn. Volatility estimation for the return of set 50 index in the Stock Exchange of Thailand using ARIMA-GARCH Model [D]. Chiang Mai:Chiang Mai University,2008
[62]Techwalaisridecha, Krisanat. A study of an investment strategy in common stocks by Magic Formula of Joel Greenblatt for Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2011
[63]Thanarakpong, Patha. An analysis of risk and rate of return in The Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2007
[64]Thassanakatitum, Sompote. The study of monthly seasonality return of SET index, and Sectoral index:implication for investors, Case Study of The Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University, 2011
[65]Trongma, Jakkrapong. A Test of Relationship Between the Stock Exchange Index Growth and Economic Growth of Thailand[D]. Chiang Mai: Chiang Mai University,2008
[66]Vanichbuncha, Kanlaya. Statistic for Research[M]. Bangkok: Chulalongkorn University,2007
[67]Vichaithammatorn, Tikhumporn. Strategy and return to foreign investors in the Stock Exchange of Thailand[D]. Bangkok:Chulalongkorn University,2005
[68]Vittayarak, Sarawut. A Test of market efficiency the warrant issue on the stock price change in the Stock Exchange of Thailand[D]. Chiang Mai:Chiang Mai University,2009
[69]Wongkaroon, Rewat. A Testing of Market Efficiency Using ARIMA Model:The Stock Exchange of Thai land[D]. Bangkok:Saint John's University,2002
[70]Young, S.David, and 0'Byrne, Stephen F.. EVA and Value-Based Management[M]. McGraw-Hill,2001
[71]刘俊.无效市场中主体行为对股票价格影响理论与实证分析[D].上海市：复旦大学,2003
[72]刘柯杰.中国股票市场促进经济增长研究[D].上海市复：旦大学,2003
[73]周颖刚.中国股市效率研究[D].厦门：厦门大学,2001
[74]唐静武.中国股票市场运行效率研究[D].广州市：暨南大学,2009
[75]张兵.中国股票市场有效性分析与实证研究[D].南京市：南京农业大学,2002
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[89]Bionic Turtle:http://www.bionicturtle.com [90]Economics Library:http://www.econlib.org
[91]Economy watch:http://www.economywatch.com
[92]Efficient Markets Hypothesis:http://www.e-m-h.org
[93]Finance maps of world:http://finance.mapsofworld.com
[94]Geolibertarian:http://geolib.com
[95]i-Nes wire:http://www.i-newswire.com
[96]Information Management Network:http://www.imn.org
[97]Mint.com:http://www.mint.com
[98]Money-zine.com:http://www.money-zine.com
[99]Ready Ratios:http://www.readyratios.com
[100]Setsmart.com:http://www.setsmart.com
[101]Settrade.com:http://www.settrade.com
[102]Shareholder Value Advisor:http://www.valueadvisors.com
[103]Studymode:http://www.studymode.com
[104]The free dictionary by Farlex:http://www.thefreedictionary.com
[105]the Stock Exchange of Thailand:http://www.set.or.th
[106]Wikipedia The free encyclopedia:http://en.wikipedia.org
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