The Empirical Test And Policy Suggestions Of The Weak-form Efficiency Of Chinese Stock Market

The establishment of Shanghai Stock Exchange in December 1990 and Shenzhen Stock Exchange in April 1991 marked the establishment of Chinese stock market, and the development of Chinese stock market has begun to take shape. The stock market, as an important component of the financial market, is the barometer of economic development of a country. Although the time from the formation of Chinese stock market is not so long, the number of the accounts of the investors, the security companies and the security job holders has rapid grown. However, in the process, the market expose a lot of questions, such as stock market volatility are too large, the disclosure of information is not complete and not timely, the proportion of institution investors is too low, the price-earning ratio is too higher and the quality of the listed companies is not so high, restricting the market's further development. With the degree of China's economic marketization continually deepening, finance is an important factor in the progress of promoting the modern economy, and its status is significantly increasing. Finance has become the catalyst and the lubricant of the national economy and, and the stock market, the most active market in the financial market, is becoming the focus. Nowadays, in the information society, the role of information can not be ignored. In the stock market, the reflection of information in the stock price is related to the effectiveness of the market and efficient market theory. Efficient market theory explains the pricing mechanism of the stock market from a perspective aspect, provides an important tool in the study of the stock market, and reflects the efficiency of the whole macro-economy. It can be said to assist the theoretical and practical research on the stock market. The stock market's weak-form efficiency means that the market can fully reflect the information of the past stock price. And the research method on the weak-form efficiency is to test the data, using the quantitative analysis to judge the weak-form efficiency of the target market to judge the validity of weak-form, and give some suggestions.In this paper, the sample data is the closing price of Hu Shen 300 Index, using the serial correlation coefficient test to test the weak-form efficiency of Chinese stock market, and get the conclusion that the weak-form efficiency of our stock market is not strong. The article is divided into four parts: the first part gives details about the efficient market theory, showing the generation, the assumptions and the classification of the theory, discussing the measurement of market effectiveness, where points out the different meaning between the effectiveness of the market and the efficiency of the market, and talk about the efficient market theory's theoretical and practical significance. In the second part, first, introduce the three commonly used test methods - the serial correlation coefficient test, run test and filter rule test, followed the review the domestic and foreign research on the weak-form efficiency of the stock market, especially the domestic part. And finally is test of the weak-form efficiency of Chinese stock market, using the Hu Shen 300 index and the serial correlation coefficient test, comparing the test result with the Q statistic to get the conclusion. In the third part, according to the test result, find the problems in the information disclosure system, regulatory system, and market structure and market mechanism.The disclosure of information is not real, timely, fully, and not standardized. To the regulatory, the regulatory laws and regulations is unsoundness and the regulatory supervision is less efficient. The market structure exist the problems of the unreasonable market and investor structure. And the market mechanism lacks of investor protection and risk prevention mechanism. In part four, based on the problem found in the third part, give the some suggestions from the part of the participants of the dealing-the listed companies, the regulator and the dealer. For the listed companies, they must adjust the company structure to enhance corporate value. For the regulator, the improvement of the information disclosure system is the key, it also improve other related systems. As to the investor, when increasing the quality of the individual investors, we must develop institution investor.The innovation of the article is the chosen of the sample data. The Hu Shen 300 Index is an index with high acceptance, high representativeness, high market coverage, and wide industry distribution, so it can reflect the overall situation of Chinese stock market, which is the other indices do not have. However, because the index is established in 2005, the sample volume is not large enough, and the strict restriction of the test method, all makes the test of the theory need to be improved. Considering all disadvantages, we should also pay attention to the effectiveness of the stock market, which will help us promote the formation of the theoretical system of the stock market and find out the existing problems.