An Empirical Research On Market Efficiency In China Security Market

Determining a financial market, good or bad, the only possible criterion is the level of financial market efficiency. Stock market as an important part of the financial markets, the role of the market to play also depends on the level of market efficiency. Effectiveness of China's stock market has been the controversial hot issue in financial sector. In the efficient market theory (fama) proposed 10 years, efficient market hypothesis in the theory and empirical aspects have been strong support However, since the beginning of the 1980s, under the efficient market theory from the Fractal Market and Behavioral Finance questioned, especially by Edgar ? E ? Peters proposed nonlinear fractal market broke the efficient market hypothesis simple, linear hypothesis, the mainstream financial theory of the strong challenge.China's stock market in the early 20th century, 90 formed from scratch, from small to large stage of development, in just 20 years of development, rapid growth, have gone through the developed western countries for decades development process concern. However, because the market was born in the Chinese economy from a planned economy to a market system transition from its date of production on the obvious "policy market" Characteristics, left behind a number of institutional shortcomings, coupled with the development of a short time, the development of fast, serious constraints to play the stock market efficiency. inefficient Securities market, will pose a threat to the stability of financial markets and macroeconomic developments.This article first analyzes the efficiency of the stock market two, that the internal efficiency and external efficiency, then the information from the market reaction to the starting level, the market is divided into the weak form efficiency, semi-strong form efficiency and strong form efficiency. Through the development of China's securities market and the problems of analysis, the problem boils down to whether China's stock market efficient and to achieve the efficiency, combined with the characteristics of China's securities market empirical analysis. In this paper, based on original research will mainly focus on the Chinese stock market is not consistent with random walk process carried out. Meet the normal distribution in the Chinese Stock Market under the premise of using the Shanghai and Shenzhen Index returns on a sample of the closing price index, used runs test and autocorrelation test, by testing to judging the stock market is not consistent with random walk, which can to make our stock market is weak-form efficiency is the conclusion According to the results of empirical analysis and find out the reasons for the results and put forward corresponding countermeasures to improve the efficiency of China's stock market recommendations, hoping to regulators, securities firms, institutional investors, individual investors, financial and securities research institutions in monitoring, management, investment and research process to provide theoretical and practical reference.