Empirical Research On The Effectiveness Of Stock Market In China

The theme of this paper is the effectiveness of stock market in China. As an important part of financial market, stock market fully plays its role on the condition that the market is effective. The research about the effectiveness of our stock market has fundamental significance in theory and reality. The effectiveness of stock market is a concept which has broad meaning and its own unique system. This paper divides it into the effectiveness of information and that of resource distribution. And the former implies that the stock price reflects all relative information adequately and duly, while the latter represents functional efficiency of stock market, that is, whether price can lead resource to optimal distribution. The effectiveness of information is the headstone and core in the efficiency system of stock market as well as the indispensable condition under which the effectiveness of resource distribution can be achieved. Researched by Fama and the like, the theory about the effectiveness of information has already tended to become well-rounded. This paper researches the condition of our stock market under the framework.This paper emphasizes the quality analysis, at the same time strengthens the empirical analysis. Because the effectiveness of stock market is mostly a empirical matter, while the application of various econometric methods is a feature of this paper. Besides the introduction, this paper mainly refers to the research background and the article review of market effectiveness, weak and half-strength test towards the effectiveness of our stock market information, the research on the non-linear characteristics of market, at last thinks of countermeasures on the above basis. The main research conclusions of this paper are as follows, firstly the core of the effectiveness of information is the randomicity of stock price. The compete mechanism which continuously pursues the information provides the restriction and balance of market efficiency. The effectiveness of information indicates that there is no free meal in financial world, but unobviously contains three premises simultaneously, namely complete and symmetrical information, rational investors and completely competitive security market. As the stock market in China has its own characteristics, all of the three premises can't be satisfied totally. Secondly, using random walk model to do weak effectiveness test towards the market, this paper finds out that our stock market was weakly effective in 2001 and still had weekly effects in stock market transform period. Thirdly, the effectiveness of our stock market isn't half-strength at present. The research...