Theory Analysis And Empirical Study Of Chinese Capital Market Efficiency Test

The theory of market efficiency is always one of the most disputed and important research task for western financial economic field, and the core content is that, the price of efficient market can at all times reflect the relative information timely, correctly and sufficiently. This theory is the base of the modern western financial theory and a series of financial theory including that the pricing of assets are on the basis of efficient market hypothesis. Because of the obvious reality and widely used verification method, it has become an active branch in economics in recent century, and many scholars have rounded research - analysis about it. Especially, people is interested in the judgment of capital market efficiency for a long time. The capital market is the financial market which include security floatation of loan and the management of medium - term and long-term credit for one year at least. The capital market includes the stock market, the bond market, the fund market, medium - term and long - term credit market and so on. The financing fund is made use of the capital for enlarged reproduction. The chief action of the capital market is to reallocate the capital ownership in economic system, and the ideal price of capital market is the right signal for resource allocation. If prices fully reflect all available information, the enterprises can made the right production - investment decision, and the investors can choose the stock and security standing for the ownership of business correctly. When the market price could reflect all available information, we consider the market to be " efficient ". That is the efficient market hypothesis(EMH).Though Chinese capital market gradually become normalized, there are many problems, for example: false,imperfection and no - timely information, the ratio of rational investor is low, the quality of invest company is low, the law construction and government management is hysteresis. Recently, the research of capital market efficiency of our country is at the beginning, and the judging standard and the present status of capital market efficiency of our country haven't become uniform view, and haven't acquired systemic and sophisticated research results. So, it has important value that we study the test theory and method of our country's capital market efficiency.This paper study the character of Chinese capital market first, and find it not only has nonnormal, but also exist heteroscedasticity, for which many methods about testing the market efficiency don't suit our country's capital market. Therefore, on the basis of concluding, analyzing and comparing all kinds of testing the market efficiency methods, we put forward the method of testing market efficiency which suits our country called wild bootstrap variance ratio test. Wild bootstrap variance ratio test not only has no normal hypothesis like traditional variance ratio test, but also can be applied the situation of heteroscedasticity. This method gets the distribution of statistical quantity through the wild bootstrap method, and suits the situations of small sample and heteroscedasticity at the same time. In addition, we choose the stock exponent R_t about closing price in every week of Shanghai and Shenzhen securities aggregative index number as subject investigated, and make a positive analysis about our country's capital market efficiency by means of wild bootstrap variance ratio test. During the analysis procedure, we also use moving sub-sample windows with different width to test the sample by wild bootstrap variance ratio method, so that we can check the trend in development of the market efficiency. The conclusions indicate that the stock exponent profit sequences of Shangha securities aggregative index number follow random walk process or martingal process, so Shanghai market has been efficient of week form. the stock exponent profit sequences of Shenzhen securities aggregative index number follow random walk process in short period, but don't follow random walk process in long period. So we don't think it follows random walk process, and Shenzhen market hasn't been efficiency of week form.The originality innovation in my paper is that we conclude many traditional methods about testing our country's capital market efficiency, and find that the profit ratio of capital market don't follow the normal distribution by ways of statistic test. So, on the basis of the statistic analysis, we put forward the method of testing market efficiency which suits our country's real sitiations - wild bootstrap variance ratio test methods.