An Empirica Analysis Of Efficiency For China Capital Market

An efficient market helps to the allocation of resources, which is a basic premise of the traditional economics theories. With the aim to research the Efficiency of china capital market, this thesis provides a base of view that the market has been approximately in accord with the semi-strong form Efficiency Markets Hypothesis (EMH).In the first part of the paper, the former research achievements of the study area is reviewed and evaluated. Then the efficiency of the capital market is classified into three types: interior exchange efficiency, exterior information efficiency, and macro-function efficiency.In the second and the third part, econometric testing is used to the empirical analysis with a sample of listed companies on the Stock Exchange before 1997. First, verified the stock price Random Walk model to proved the weak from the EMH in China. Then an Expected Negotiable Market Value Model (ENMV Model) for the whole market is conceived and calculated. This positive analysis generates the following major insights: the most primary independent variables that influence the market value are the Net Assets & the Volume of Turnover. The large quantity of the individual shares test also strongly supports this conclusion. Finally, the ENMV model is approvingly used as a measurement to verify the abnormal fluctuations of stock price in China capital market.In the last part, according to the evidents above, the paper deduces that China capital market has developed from the "weak from EMH" to "semi-strong from EMH" in recent years. The information reason and the institution reason that results in the loss of the information efficiency are discussed finally. Naturally, asymmetric information owes to the different ability to manufacture & screen in the information. More essentially, the earlier institution arrangement of the capital market in China is corporate financing rather than investment. Under this background of overtake develop strategy, "Policy Rents" have come forth and brought many interest groups to seek rents. To promote the market efficiency, the regulators should take policy to enhance the information disclosure system, and less government interven but guarantee the fair competition environment.