An Analysis Of The Effectiveness Of China 's Growth Enterprise Market Based On Behavioral Finance

One of the core propositions of traditional financial theory is the Efficient Market Hypothesis (EMH), which is established on the basis of a series of assumptions. However, there is a huge gap between these assumptions and the reality so that the EMH can not fully explain some apparent anomalies that caused by the lack of effectiveness of the stock market. Since the1980s, the Behavior Finance Theory rise rapidly, which is based on the combination of psychology, sociology, economics and some other subjects. It is starting from the assumption that investors are limited rational. It fully considers the psychological factors and the importance of market participants, establishes some descriptive models that can reflect investor behaviors and market conditions, to provide a new perspective of understanding the effectiveness of the stock market. This theory is a challenge and a necessary complement to the EMH.Growth Enterprise Market (GEM) is an important part of China’s capital market, which refers in particular to Shenzhen GEM in China. Since October23,2009, China officially opened the GEM, which has been expanding and gradually improves the system, but in the process it also showed the efficiency problems, such as the trading volume and the stock price fluctuate anomaly. There are many specific performances of these anomalies, such as herding behavior, overreaction, disposition effect, calendar effect and so on. The establishment of Chinese GEM has a significant theoretical and practical significance. It can improve some related theories better and guide Chinese GEM develop more and more rapid and healthy through the studying of the effectiveness of the stock market.In this paper, firstly, introducing the EMH and its challenges encountered by the theoretical and empirical, which leads to behavioral finance theory, and making analysis and concord of the two theories. Secondly, in the process of discussing the situation of Chinese GEM, using statistical data and case studies to prove that Chinese GEM exists some phenomenon such as the trading volume and the stock price fluctuate anomaly, revealing Chinese GEM is lack of effectiveness generally. Thirdly, using the empirical test and the statistical data to show the existence of herding behavior, overreaction, disposition effect and calendar effect of Chinese GEM, revealing Chinese GEM is lack of effectiveness concretely, and analyzing the causes separately through the combination of theory and reality. Fourthly, in this summary basis, proposing suggestions from the aspects of the construction of the stock market and the education of investors.