China's Stock Market Efficiency And Risk Research

The securities market is playing a more and more important role in promoting the reform of economic system in China as a concernful implement and carrier. The profundity comprehensive reform of securities market has been a necessity while central plan system shunt to market-oriented economy. However, the securities market of China was born out of the central plan economical systems and owing to the restriction of economic and historical environment, there were some systemic limitations and extrusive problems stayed behind by the plan economy. As a result, there was a securities market that has low efficiency and high risk in China, which severity restricts the development of securities market and against the tropism of market economy. Both the efficiency and risk of a security market are central issues on studying on security market. Presently, there is not a consistent conclusion on whether the degree of efficiency of the China security market is weak or weak-semi-strong. Besides that, there is not a systemic research conclusion how severe the macro and micro risk level is. Based on an empirical study, the conclusion of this dissertation is that the degree of efficiency of Shanghai and Shezhen security market is Weak Efficiency but not Weak-semi-strong Efficiency so far. In the light of this conclusion, in order to improve the efficiency and decrease the risk, China should further strengthen management of the securities market and enhance the efficiency. We propose to enhance the quality of investors, improve the efficiency of supervision of the securities market and reform the management system of the list companies etc. In the first chapter, introduction based on the background of the reform and development of securities market in China, the objective and significance of this research work has been advanced. Then, several concepts were n defined. Correlation literatures were reviewed. At the end of this chapter, the author illuminates the research methodology. The vicissitude of securities market of China was studied in chapter two. The conclusion of this chapter is that the vicissitude of securities market in China was accordant to the vicissitude of social economy. The main problems of China securities market is that small scale market concomitance with some obvious phenomenon, i.e. the abnormality development in the bond issue market and immoderacy speculation in the second trade market. Chapter three is one of the kernel contents of this dissertation. Analysis on the efficiency of the Shanghai and Shenzhen securities market. Firstly, the author defined three kinds of efficiencies, i.e. the resource allocation efficiency, the procedural efficiency of trade and the information efficiency. The information efficiency is the main objective in majority researches and in this dissertation. According to the theory of E.Fama, which called Efficient Market Hypothesis, EMH, securities market can be distinguished to Weak-Form Efficiency Market, Semi-strong-Form Efficiency Market and Strong-Form Efficiency Market. For the empiric research, we adopted two suitable methods and annuity reports data, which issued by the list companies in 2000. The conclusion is that both Shanghai and Shezhen security market are Weak-Form Efficiency Markets but not Semi-Strong-Form Efficiency Market. Chapter four. Beginning with the analysis of general risks of securities market, the author defined three tiers risks, such as micro risk, the per se risk of securities risk and macro risk After that, discussed their rela...