Study On The Chinese Stock Market Efficiency And Investment Decision

The study of market efficiency is the kernel part of financial economics, and it is the foundation of making investment decision. It is not only the analysis of market characteristics, but also the probing processs of investments strategies that can gain abnormal rate of return. It is also the basis whether investors choose active investment management or passive investment management. On the basis of testing the market efficiency, this thesis discusses the investment strategies and the method of making investment decisions. The main results are as following:1. That market is absolutely efficient is lack of micro-foundation. The market is relative efficient. The efficient degree of market and the profitability of investment strategies are dynamic changing. So, investors need to supervise and analyze the market efficiency and the profitability of investment strategies continually, and endeavor to find new and effective strategies. It is also needed for investors to make innovation to investment strategies, to make adjustment to investment portfolio in the guide of the method of stock choosing and time choosing to gain ideal return at the competition of investments.2. The accurate measurement of stock market efficient degree depends on the measurement of efficient degree of all the stocks and stock portfolios in the stock market. So, the concepts of stock efficiency, market efficient degree, market consistent efficient degree, consistent efficient degree of portfolio, market category efficient degree are put forwardd. The correspond methods of measuring efficient degrees are also put forward. Because the stock market is not absolutely efficient, and it is not consistent efficient, the results of a lot of former studies are contrary. Therefore, the measurements of market efficient degree and market consistent efficient degree are more important than simply judging if the market is efficient. The market category efficient degree has important reference value for us to choose investment objects correctly.3. The day return of Shanghai and Shenzhen stock market is reaching ordinary efficient, but high efficient is not reached about runs test, Q statistic test and variance ratio test; The week return reaches ordinary efficient about Q statistic test and variance ratio test, and reaches high efficient about runs test basically. The month return reaches high efficient about the three test method basically. In the test of market category efficiency, it is found that the efficiency degree of small market value companies is higher than that of large market value companies.