An Empirical Study On Weak Efficiency Of China 's Securities Market Based On Shanghai Stock Index

In real life, individual investors often be banker "calculation" to build their trap in the stock investment.We can see a stock on red all the way, suddenly fallen sharply after a lot of retail investors go into. What mad e the banker is profitable? Why do they always make a market judgment correctly for big profits? It will involve the issue of the securities market efficiency. Effective market hypothesis theory began in the early20th century in Europe,and put forward by the American economist Eugene fama in1970. The starting point of this paper is the efficient market hypothesis, on the basis of these, Jordan farmar and future generations make the division of three forms of effective market. Through the method of econometrics and statistics to analyze the effectiveness of the securities market in China,they provide the theoretical basis and the efficiency of financial markets to improve China’s securities market.This article focuses on China’s securities market weak validity check, what is decided by our country securities market in the primary stage. Vast amounts of data collected from domestic and overseas show that European and American countries such as the securities market has basically achieved half strong type of effective, and China’s securities market basically has reached the weak form efficient, the article USES the day’s closing price of Shanghai composite index in recent years to verify this statement, this same basic reflect the Shanghai stock market, and even the market of whole country. On the basis of these data, we establish model, which uses the time series stationarity test to verify this weak market efficiency in China securities market analysis, mainly adopts the autocorrelation test and unit root test, whether it has reached the weak form efficiency.Model results show that, whether through autocorrelation test, or the unit root test, it has achieve the weak type of effective securities market in China. The paper combined with the actual situation based on the results of this analysis, further expounds the causes of this conclusion, and put forward countermeasures in accordance with the train of thought, in order to promote the healthy and rapid development of China’s financial markets.