The Effciency Analysis Of China's Stock Market

The paper includes four main parts: Introduction, the Actual Proving of China Stock Market Efficiency, the Reason Leading to the Inefficient Stock Market, the Feasible Program Constructing an Efficient China's Stock Market. The introduction interprets the definition and classification of efficient market by the Efficient Capital Market Hypothesis (ECMH), analyzes the actual significance of market efficiency research and expounds the present study state of Chinese and oversea stock market. The actual proving and analyzing of China's stock market is based on the ECMH and the andom Walks model. The opinion that all statistic tests are to verify the prerequisite of price andom Walks unpuzzles the divergence about the present efficient state of China's stock market. The Time Series Autocorrelation Test, Runs Test and the Filtration Test of the random samples draw the conclusion that the history information does remarkable influence on the stock price and the China's stock market does not achieve the Weak-form Efficiency. The inefficient stock market shows the character of a speculative market: high price-earning ratio, exchange ratio and market risk; market holding and milking; indemnificatory lack of legal equity of capital of investor; price and inherent value diverging; resource allocation efficiency losing. Non-complete competition is the direct causation resulting in the inefficiency of China's stock market and the special equity capital and market structure is the fundamental causation. Contraposing present state and procreant causation of the inefficient China's stock market, educing from the inherent mechanism of an efficient market, the paper brings forward a feasible blue print that will lead to a leap on the improvement of market framework of China's stock market and enhance the change from inefficient market to efficient market.