Enterprise Property Right System And Market Efficiency

The market efficiency is the basic issue of the stock market study. Whether the stock market has effectiveness will have a direct impact on performing the function of resource allocation of capital'market, and will have significant impact on the overall macro-economic operation. It has been 20 years since the establishment of the Shanghai Stock Exchange. Although it encountered many difficulties during the developing course, the overall stock market forms, mechanisms and other aspects growing upward. Especially in the new century, a series of reforms of the split share reform, small plates, the GEM, stock index futures generate a qualitative change to our stock market. The reform of share structure split resolved historical issue smoothly of shares having no counterpart rights, which makes transmission of information more efficient. So it is necessary to study the effectiveness of the stock market since the reform of share structure split in China.The development has a more mature American market, foreign scholars have already reached consensus that the market has weak efficiency in the light of developed market. But the domestic scholars are still having differences in the stage of China's stock market. Some studies suggest that the market has reached a weak form efficiency, while others hold the opposite conclusion.The paper illustrated the system of enterprise property right so as to show the effect of reform of share structure split to the stock market in the second chapter. The third chapter illustrated of the theory of market form efficiency at home and abroad. And it makes whether the market has weak form efficiency the core argument and empirical analysis on the basis of domestic research. The fourth chapter illustrates the selected empirical method of GARCH. Chapter V tests the validity of the market efficiency of the small plate KLCI, Shanghai market, Shenzhen market, since June 8,2005. It can not reach conclusion that the market reach weak form efficient. And the paper has further test of the market efficiency of the small plate KLCI, Shanghai market, Shenzhen market, since 8th June 2008. And it show that the market reach weak form efficiency. so it tell us the impact of the reform of split share structure to market efficiency. Finally, the paper analyzes courses for the weak form effectiveness of China's securities market and raise suggestion to the further development of China's stock market.