Analysis And Application Of Weak-form Efficient Market Hypothesis In Chinese Stock Market And Agricultural Portfolio

Employed with the qualitative and quantitative research methods, this dissertation probed into the analysis and application of Efficient Market Hypothesis (EMU) in Chinese stock market and agricultural portfolio, then put forward the efficient ways to improve the efficiency of Chinese stock market. First of all, begun with the literature review of overseas research and domestic researches in weak-form EMH, this dissertation found out the characteristics and shortcomings of domestic researches in EMH. Secondly, this dissertation analyzed in the qualitative view from three aspects, which are the issuing and distributing situation of information in stock market, the symmetry of information, and the behavior of investors, also analyzing the efficiency level of Chinese stock market and agricultural portfolio. The conclusion is that Chinese stock market and agricultural porlfblio meet the requirements of weak-form EMH. Then this dissertation analyzed the hypothesis with quantitative methods such as random walk and filter tests. Used nearly 40,000 daily data and 5,000 weekly data, this dissertation got the conclusion as the qualitative method did. Also this dissertation found that the efficiency level of Chinese stock market is not so high as foreign stock maikets. At last, this dissertation clarified the relationships and responsibilities among the equities in stock market, and categorized the characteristics of information quality, bring into the suggestions to improve the efficiency of stock market.