Empirical Study Of EMH In Shenzhen Stock Market

Efficient Market Hypothesis (EMH) is one of the basic questions which the stock market studies, because whether a stock market is effective will directly make the significant influence on government's policies and the management. The Shenzhen stock market was founded December 1,1990, only some 17-years development history. Compared with the overseas glorious mature stock market, it started late also the development time is short, and the capacity of reacting to information comes to be insufficient, the stock price structure mechanism was not unimpeded and the efficiency was low. Therefore, it appears to be especially important for us to study the efficiency of Shenzhen stock market.This article first outlines to the published literatures of domestic and foreign theories about efficient market,and then establish the final breakthrough point of this article: Shenzhen stock market is whether efficient? In the article the author selects the Shenzhen stock market 1991.4.5-2006.12.29 for the sample and takes the Shenzhen ingredient index Rt (week income rate) closing price as the research object, altogether chooses sample 780. Using the Auto Correlation Test of the time series, the Runs Test, the Unit Root Test, simultaneously makes the longitudinal comparison to 1991.4.5-1996.12.13 and 1996.12.20-2006.12.29 two time intervals samples to find the evolution of Shenzhen stockmarket efficiency. And then we got the same conclusion: The Shenzhen stockmarket still had not achieved weak-form efficiency after 17-years development.After obtaining the conclusion the Shenzhen stock market still has not achieve weak-form, we then analyze the reasons from the constitution of market investor mainbody, the informati- ion disclosed by companies, the supervising and managing, the law environment which impe- rfect and so on the aspect. We suggest we should have to optimize the investor structure,to pe- rfect the market company's information to disclose the system,to perfect the law environment, to change government supervising and managing way as well as reforming the market corpor- ate management system and so on to improve the Shenzhen stockmarket efficiency.