The Semi-Strong Form Market Efficiency Research Of The Post-financial-crisis Based On Arbitrary Pricing Theory

With the deepening of the financial reform,the problem of the financial market appeals constantly,including high asset pricing?more and more speculators?high risk premium and so on.So in the essay,we will mine the data from the exchange of the stock market and macro economy to identify Chinese stock market is developing and closer to Semi-Strong Form Market Effectiveness.Through the data query and filtering,we get the data from January 2009 to December 2015 in three different markets of Shanghai and Shenzhen markets,and set up Factor Analysis model,combing with the VAR model?Generalized impulse response function and other analytical techniques analyze and research.The results shows that,First,The relationship between A-share stock yield and factors satisfy the arbitrary pricing theory multi-factor equation;Secondly,Through the research of the macro information impulse,Chinese stock market yields sensitive to some macro-economic factors and the effective duration last long,especially the effect of the dollar against the RMB exchange rate has the characteristics of continuity,easy to cause high volatility.Thirdly,Chinese stock market has the part of the property of "economic barometer" and the the Semi-Strong Form Market.So Chinese stock market is developing and closer to Semi-Strong Form Market Efficienty,it is necessary for investor to analyze the risk factors of the Semi-Strong Form Market when making the investment decisions.