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On The Efficiency Of Securities Market Of China

Posted on:2007-04-08Degree:MasterType:Thesis
Country:ChinaCandidate:J SunFull Text:PDF
GTID:2179360182489452Subject:Political economy
Abstract/Summary:PDF Full Text Request
The securities market of China has past 15 years since the establishment of Shanghai and Shenzhen stock exchange between 1990 and 1991. In the past 15 years, the securities market has got tremendous development and created eye-catching achievements at an incredible speed. Although the developmental speed is fast, there are still many things need reform and consummation, especially a lot of problems requiring further theoretical study. Since a long time, the efficiency of securities market has received much concern and controvert from academic and practical circle. For all that there are many domestic savants' research, the conclusion isn't definitive and still exists big divergence.The connotation of efficiency of securities market is various, so this thesis defines the efficiency of securities market as information efficiency. Because information is the key factor in the efficiency of securities market and the information efficiency is the sill of the securities market's efficiency system. And then, the thesis introduces the Efficient Market Hypothesis systematically, which is applied to the research of the securities market's information efficiency, in order to establish the theoretical foundation for empirical analysis in the next chapter. The introduction includes the generation and development of Efficient Market Hypothesis, the main content, the empirical test and some anomalies. In the part of empirical analysis, the thesis summarizes domestic savants' empirical research on the efficiency of securities market and then points out their weakness in the beginning. Then, the author applies the run test and the unit root test to the empirical analysis in the guidance of Efficient Market Hypothesis. The empirical result shows that the securities market has reached the weak form of efficiency. In addition, according to the present domestic savants' research on the semi-strong form of efficiency of securities market, which holds the view that the securities market of China hasn't reached the semi-strong form of efficiency identically, we believe that the direction of the next step's effort is to get to the semi-strong form of efficiency. However,during the transition from the weak form to the semi-strong form of efficiency, the development will be restricted by some factors inevitably. The last part of the thesis analyzes the practical restraint towards the transition from the aspects of information avowal, information transmit ion, information understanding and information feedback. And at last some suggestions has been put forward.
Keywords/Search Tags:Securities Market, Efficiency, Efficient Market Hypothesis
PDF Full Text Request
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