Effectiveness Study On Stock Market In China

The efficient market hypothesis is the basic theory of modern standard finan ce system.Because of the investment portfolio theory and capital asset pricing m odel and so on standard finance classic theory was set up,market must be efficti ve.The research about stock market's effectiveness at home and abroad was unint errupted.One way in mature methods of effectiveness about stock market test is v erifing whether it obey random walk.China's stock market go through twice longer time and larger amplitudes dur ation on bull market and bear market.This paper,based on the perspective of a b ull market and bear market,through the twice bull market twice bear and twice cross the bull market and bear market in China's stock marketr do statistical tes ts.By using ADF unit root test and serial correlation test to prove more than 20 species of Shanghai and Shenzhen major indexes in above six period whether sto ck index obey random walk to explore whether market exist weak efficient.In pre mise of sequences smooth whether stock index prices sequences or stock index lo garithm yield sequences,this paper uses random walk model with control variable s to test samples stock index on each period whether there is lag order autocorre lation.By the same time studying the Shanghai stock index and taking the shenzh en A stock index?the shenzhen B stock index as the control variables,while stu dying the shenzhen stock index and taking the Shanghai A stock index?the Shan ghai B stock index as the control variables.Based on the weak efficient market hypothesis and above sample stock index?two type of control variables containin g stock index are uncorrelated.Joining the control variables essentially does not af fect the sample index's autocorrelation,but to enhance model's interpretation of t he correlation.Test results found that:in the six period stationarity test,in addition to the second time bear market all sample stock index price sequence are smooth,the o ther five period all sample stock index price sequencea are not smooth and its st ock index logarithm yield sequences are smooth.Overall,the major indexes withi n the six period time of the exist lagged within 4 order autocorrelation and its al 1 refused to obey random walk process.So Shanghai and shenzhen two stock mar ket also refused weak efficient.From the explanatory power of the model,model's fitting effect in the second bull market period exist bigger difference,but it is still in the acceptable range,the remaining five period model's fitting effect are good.This paper also verified that the Shanghai stock market and shenzhen stock market exists cointegration effect.