| Chinese Capital Market, especially the stock market, went to a rapid growing period after 1990's. There appear some certain degree of inefficiency and volatility in the developing process, and appear the trend of the more uncertain factor and market risk in China's security market. At the same time, the systematic risk is not positive correlation with the expected return in Shanghai and Shenzhen Stock Market. It shows some degree of asymmetry volatility, which is an important typical characteristic of our country stock. Therefore, our positive analysis of stock returns and volatilities in China's stock markets is aimed, which is very important to the risk mechanism and circulate mechanism of the growing stock market developments.This thesis is divided into four chapters. The first chapter introduces Chinese Capital Market's development, characteristic, future and some problems. In the second chapter we introduce efficient market hypothesis, development and significance to our country's capital market. The third chapter gives some conclusions of efficient market hypothesis from literates in China, and introduces the relationship of weak form efficient of stock market with random travel. We also tested the time sequence of stock yield before March, 2004, and concluded that there are no evident characteristic of weak-form efficient market no matter in the stock of Shanghai or Shenzhen. In the four chapter, we introduce co-integration relationship testing model, ECM (error correct model) and some kinds of GARCH (Generalized Autoregressive Conditional Heteroscedasticity). We find that there is long run co-integration relationship in Shanghai and Shenzhen Stock Markets. By using the asymmetric GARCH models we also find that there are significant spillover effects and leverage effects in these two markets. Finally, by using EGAECH model, we find that there exists the asymmetric volatility in our stock market. The impact of "good news" is obviously stronger than that "bad news". In fourth chapter, combining the inefficient phenomenon of China's stock markets and using the conclusion drawn from above analysis, we put forward to some reasonable and valuable policy suggestions.Efficiency of security market is one of the core problems. Based on the positive study of efficient market hypothesis and systematic risk, we examine the current information asymmetry in China's security market. At the same time, our positive studies show that the systematic risk is not positive correlative with the expected return of security as the CAPM. That is to say, the attentions of investors don't focus on the time value of capital but high return with risk. Those bring investors more risk. It is imperative to further open our stock market, enhance transparency and build a regular and fair information disclosure system and market environment.There are interactions and influences of returns and volatilities between Shanghai and Shenzhen Stock Exchange Centers in China. We find that there is long run co-integration relationship in these two stock markets. So the two stock markets have similar cyclical components and trends. Using the asymmetric GARCH model, we also find that there are significant spillover efforts and leverage efforts in the two markets. The capital liquidity constraints are very low in these two stock markets, and show some degrees of integrations and correlate each other closely. Using EGARCH model, we find the asymmetric of volatility in our stock market. The function of the "good news" is obviously stronger than that of "bad news".Compared with mature stock market in west, the stock market of our country still exits more problems to be solved. So we put forward the following suggestions:1. The government should supervise more seriously, avid the excessive administration. Stock market should be legalization be as soon as possible.2. Regarding norm according system as the core factor, we should establish perfect information disclosure system, which should be fit to the international tradition...
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