A Study On Market Efficiency Of Chinese Stock Market

As the foundation of mainstream finance and modern investment theory, Efficient Market Theory, also called Efficient Market Hypothesis (EMH), has caused wide concern in the field of finance for a long time. Because of its theoretical and practical significance, it attracts more and more theoretical and empirical researches. This thesis focuses on the market efficiency of Chinese stock market. Since the establishment of Shanghai Securities Exchanges in 1990 and Shenzhen in 1991, Chinese stock market recorded impressive growth in its first decade, and the stock market plays an important role in Chinese economic development now. The fundamental aim of this thesis is to analyze whether the Chinese stock market is efficient, furthermore, to ascertain the degree of market efficiency, and then according to the result, it analyzes the reasons of low efficiency in stock market, and puts forward some executable policies to improve efficiency. The dissertation is composed of preface and five chapters, the main contents in each chapter are as follows:In the first part, this thesis briefly and systematically introduces the theory of Efficient Market Hypothesis, Including definition, history of the theory, and the classical classification of market efficiency: weak form efficiency, semi-strong form efficiency and strong form efficiency.In the second part, it summarizes past empirical research achievements on the efficiency of domestic stock market. What is argued academically is whether Chinese stock market has become one weak-form efficient market. And there are no dissidences on that the market has not changed into semi-strong form efficient market and strong-form efficient market. It also generalizes the test methods existed in academic field, and points out the common defects of existing research. In the third part, it applies some new methods to the study of the efficiency of Chinese stock market through empirical method: Without statistical models, but use many instances and sums of data to demonstrate the level of the efficiency. The result shows that Chinese stock market has not achieved weak-form efficiency, semi-strong form efficiency and strong form efficiency. So that Chinese stock market is low-efficient is not only the instinctive perceive of the masses but also attains the supports from academe.Then in the fourth part, based on the conclusion, it analyzes the reasons for the lack of efficiency, there are several institutional deficiencies, which respectively are isolation of ownerships, government's intervention mechanism, and problem of investors'structure , publication of information and so on.In the last part, it analyzes how to improve the efficiency of Chinese stock market, and puts forward some related policy proposals.