Empirical Work On The Weak Form Efficiency In Chinese Stock Market

This thesis reviews the theory system of Market Efficiency Hypothesis, empirically tests efficient degree of the Shanghai and Shenzhen stock exchanges respectively using examination methods. On the basis of these positive analyses, main factors influencing efficient degree of our stock market are discussed and the way to strengthen the efficiency of both stock exchanges is provided.In terms of information sets, efficient market is classified into three categories: weak-form efficiency, semi-strong form efficiency and strong form efficiency. After reviewing and analyzing the results that domestic scholars have studied, the thesis emphasizes on the test of weak-form efficiency of China's stock market: run test and autocorrelation of the time sequence test are chose as our examination methods. The results of run test are that the efficiency of both stock markets are increasing, but the run statistics of the whole period do not support the assumption that Shanghai stock market has qualified the weak-form efficiency. While the run statistics of Shenzhen stock market pass the run test. Shenzhen stock market has qualified the weak-form efficiency. Autocorrelation of the time sequence tests show that the time sequence of stock return is correlative. That is to say investors can get higher expect returns if they make full use of historical price or return sequences. So both Shanghai stock market and Shenzhen stock market are not full qualified the weak-form efficiency.Based on all these tests, it is concluded that China's stock market does not meet the conditional of the weak-form efficiency and in general, Shenzhen Stock Exchange has a stronger efficient extent than Shanghai. After analyzing the factors influencing efficient degree of our stock market, we provided some methods to strengthen our stock markets efficiency.