| As the cornerstone of modern financial theory, Efficient Market Hypothesis (EMH)has been a hot research topic of financial circles for four decades. Its importance not only to reveal the nature of stock price behavior, that the volatility of stock price is actually caused by the information shock.. It has also changed the understanding to market characteristics and supply a basic research framework of market research.. EMH systematiclly elaborated the dynamic relationship between the information shock and the stock prices volatility. And stock prices always reflect the impact of timely and accurate information on the fundamental values of the company. The School of noise, such as behavioral finance school finance school of thought represented by emerging from the study of human behavior characteristics of the individual starting that investors in the decision-making process is not fully rational, the market presence of large numbers of non-rational investment behavior, and this kind of behavior does not function as rational investors arbitrage disappear. Therefore, securities prices affect not only the fundamental value of information, but also includes the market noise, that the market is not always effective.This paper systematically reviewed the production of efficient market theory and the theory itself for nearly four decades of research results, and then based on the clues of anomalies, researching on the differences.between efficient market theory and behavioral finance school .Finally from the point of view of impacting of stock price volatility and information relations, based on the stock price volatility non-synchronous models and covariance ratio model, doing empirical test of the information content of stock prices and the stock price reaction on the extent and impact of information dynamic adjustment process before and after the split share structure reform of listed companies, getting the conclusions as follows:1. efficient market theory is the extension of Adam Smith"invisible hand"in the financial markets and as a perfect state of market equilibrium. The theory itself is a highly abstract of real market, so it can only been served as a reference frame of the theoretical research, but can not be used to explain the reality of the market.2. Behavioral finance school, noise school and other new financial school based on the assumption of irrational investors and limited arbitrage pointing out that stock prices are not always able to respond the market information timely and accurately. due to the large number of existence of non-rational investment behavior, the Securities prices not only includes the basic information which affecting the value of the company, but also includes the market noise. So short-term securities prices always show overreaction and underreaction, but the long term stock prices trended to returning its fundamental value due to the presence of arbitrage behavior of rational investors. therefore, securitise prices always up and down around its value fluctuations. Behavioral finance school takes the real market as its research object and be the supplement of efficient market theory.3.The fundamental value of the company's information accouted the absolute percentage in stock prices both in pre-split share structure reform.and reform, so the market is efficient to some extent. this proportion in The share reform later is less than pre-split share structure reform., indicating investors'expection has greatly affected by the the macro level information"split share structure reform", but the fundamental values of the company information did not too much affect the investors decision-making behavior too much, this phenomenon reflects the irrational behavior of domestic investors. In addition, the information content of stock prices of small companies are more than large companies, reflecting the possbility of value underestimation in large companies stocks, represented by the blue-chip stocks.4. Before the share reform, the market reaction to the arrival of new information is almost timely and adequate. After the share reform there is a significant over-reaction of the market reaction to the arrival of new information in the first day, then leveled off. On one hand shows before the market share reform there may be insider trading in the market and menifest the market characteristics of insufficient trading. on the other hand it reflects the non-rational behavior of domestic investors called"chasing sell into corrections"after the share reform. In addition, both in before and after share reform, the stock trading activity and the speed of the price adjustment in the small company are higher than that of large companies. Confirmed the main characteristics of the market speculation.Text is divided into five chapters, the specific structure is as follows: Part of the first chapter. Article introduces the research background, ideas and innovation points.Chapter II Literature Review on the efficient market theory. This chapter describes the definition of efficient market theory and the expression of theory , and the three levels of efficient markets classification by Eugene Fama. And carding the production and empirical research of the efficient market theory to capture the the development process of the efficient market theory.Chapter III research on the reaction efficiency of stock market information. From the financial market"anomalies"and the premise of EMH hypotheses, leads to the point of view of behavioral finance that is challenge for effective market, and then indicate that the information in response to real market is not immediate completely. As the the cognitive level deviation and the existence of market frictions, there are financial market noise in the market, and thus stock prices do not only contain the relevant market information, but also noise, so the market is not effective at any time. in the short term stock prices often shows over-reaction and underreaction, but in the long term it returns to its fundamental value.Chapter IV empirical research on the information content of stock prices. Taking the size of the company's top 200 listed firms in Shanghai and Shenzhen as samples before January 1, 2002, doing empirical test upon stock market information content based on index of stock price non-synchronous model from Jan. 1, 2002 to June 30, and then study the the degree of the company stock price reaction to fundamental information of. Finally getting the conclusion. Chapter V research on the dynamic adjustment process of stock prices to the information shocks. Similarly, based on samples and sample interval in the fourth, using, calculating the price adjustment cofficients in different size companies before and after share structure reform periods by ments of self-covariance ratio model. And studying the dymamic process of the prices adjustmentin in different different company sizes and market environments. and finally reach a conclusion.There are deficiencies as follows:First, the model itself may be flawed. for example, Ashbaugh, Gassen & Lafond (2006)'s study shows that the reasonable degree of non-synchronous model has significant differences in different countries when it's used to measuring stock price information. therefore, the reasonableness of this measurement method will inevitably be questioned in the study of Chinese stock market , and the lacking of domestic research in this area may lead to deviation conclusion of the study.Second, the sample number is too small is the biggest problem of this article. As the data processing constraints, only take the top 200 listed companies as a sample in the process of empirical research in Chapters IV and V, while the 200 listed companies may not represent the market completely. To describing stock market reaction efficiency more accurately, it needs to take more listed companies as samples, which is needed for improvement in this article. Finally, because time is so short, coupled with my ability, knowledge is limited, the errors and shortcomings in papers are inevitable, it is needed to be collected.. |
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