Has Chinese Art Market Reached Weak Form Efficiency?

Since the reform and opening up,with the sustained and healthy development of Chinese economy and the steady improvement of residents’ income and living standards,Chinese art market has also achieved rapid development.With the rapid development of Chinese economic level,Chinese art market has become an indispensable part of the global art market.In this context,a large number of investors with asset management and financial needs,especially high net worth investors,began to pay attention to and enter the art market.The art market began to keep pace with the stock market and real estate market,becoming the three major investment markets preferred by high net worth investors.The efficiency of art market is closely related to the healthy development of the market.To test whether Chinese art market has achieved weak form efficiency is helpful for investors to better carry out risk management and formulate more reasonable portfolio strategies,and also can promote the sustained prosperity and rational and healthy development of Chinese art market.In addition,the test of market efficiency is closely related to the predictability of investment income,and the ability of investors to obtain income in the long run will largely depend on the efficiency of the art market.At present,foreign scholars have carried out a large number of theoretical and empirical studies on the efficiency of the art market,but domestic research on Chinese art market mainly focuses on the return on investment,asset pricing,the correlation between the art market and macro-economy,and so on.It is urgent to carry out the research on the efficiency of Chinese art market.This paper is carried out in accordance with the idea of "theoretical analysis--empirical research--cause analysis".First of all,it defines some important concepts such as efficient market hypothesis,random walk,mean reversion,and discusses the theoretical basis of unit root test to examine the efficiency of art market.Secondly,this paper constructs the quantile unit root test model of the art price index.Considering the obvious heterogeneity of different types and schools of art,the development process of Chinese painting market,oil painting market and contemporary art market in Chinese art market are different,and their market efficiency may also be significantly different.Therefore,according to the market price index of Chinese art market from 2000 to 2019,this paper uses quantile unit root test to judge whether the price presents random walk or mean reversion,and obtains the empirical results that the traditional Chinese painting market reaches weak form efficiency while the oil painting and contemporary art market does not achieve weak form efficiency.Meanwhile,the quantile single root test results are compared with the traditional linear unit root test results,which overcomes the low test efficiency of the traditional unit root test method for the nonnormal distribution price series with the characteristics of "peak and thick tail".Secondly,according to the current situation of Chinese art market,from the perspective of the degree of information disclosure determining the market efficiency,this paper explores the reasons why the traditional Chinese painting market has achieved weak form efficiency while the oil painting and contemporary art market has not.Finally,according to the conclusion of the study,the reasonable prospect of improving the efficiency of Chinese art market in the future is put forward.