Is The Mainland Stock Market Effective?

The effectiveness of the stock market has been one of the focuses of financial research.Since Eugene Fama proposed an effective market hypothesis in 1970,many scholars have made empirical research on the effectiveness of different securities markets.However,there is not much research on the Chinese stock market which is in the period of perfect development.Therefore,it is very important to study the effectiveness of China’s stock market.This article is mainly on the mainland three major stock indexes,the Shanghai Composite Index,Shenzhen index and the GEM index data for empirical research.On the one hand,the empirical test of the effectiveness of the Chinese stock market can understand the development level of China’s stock market.On the other hand,the combination of theoretical research and empirical test is of great significance to the development of China’s stock market.In this paper,we study the upper and lower shadow line models at high level and the upper and lower shadow line models under the low level,and the data of the three major stock indexes in the mainland.Conduct empirical research.The results show that there is a significant effect on the upper and lower shadow line and the returns of 1-5 days in the Shanghai Composite Index,Shenzhen Index and GEM Index at high or low level.Therefore,the mainland stock market does not satisfy the weak validity.According to the weak validity hypothesis,if the current price of the securities fully reflects all the information contained in the historical price of the securities,then attempting to use the historical transaction information to predict the future of the securities price,thus obtaining the excess return technical analysis and technical trading strategy Weak efficient market will be ineffective.Because the mainland stock market does not meet the weak effect,so according to technical information can predict the future short-term trend of the stock index.Then,the paper analyzes whether there is any asymmetry effect between the upper and lower shadow and the return of the Shanghai index,the Shenzhen index and the GEM index,that is,whether there is a difference between the local bull market and the local bear market(asymmetry)The The results show that there are very significant asymmetric bear and bear effects in Shanghai index,Shenzhen index and GEM index,that is,two models can not be merged into one model.Finally,the article summarizes and prospects the article,and suggests that if we want to further improve the model,we can also add more factors that affect the stock market price changes as independent variables to establish multiple regression models,such as macro factors,industry and regional factors,Company factors,etc.,but some information is difficult to obtain and quantify.