A Study Of The Price Performance On The Stock Market Of China

With the development of China market economy, the stock market is booming in all the places in our country because of its unique glamour. But how to analyze and evaluate the characters of the price performance, how to find out the origin of the fluctuation and how to decrease it have become urgent task which need to be solved. The essay wants to do something in these fields.This essay applies all kinds of ways to analyses the characters of the price performance, especially by the econometrics models.Altogether, there are six chapters. Chapter one is a brief introduction of our stock market, including its characters and some problems, aid gives some statistics data about our stock market. The second chapter introduces the theory of market efficiency, and researches the informational efficiency of china stock market by different ways. In chapter three, the market anomaly-weekday effect is analysed using the normal ways and the GARCH models. Chapter four is an research on the risk, return and fluctuation of our market. Chapter five analyzes the relation between the fractural theory and the informational efficiency andcalculates the Hurst exponent of our market by R/S. The last chapter makes some deep analysis about our stock market and gives some suggestions based on the whole paper.