Efficient Market Hypothesis Testing Of Shanghai Stock Exchange By The Method Of Rescaled Range

I test for the efficiency in the Shanghai Stock Exchange, an emerging capital market. The Hurst exponent is estimated using the R/S method. This paper has researched the subdivision market. The Hurst exponent of B share index is significant which means B shares market is long-memory dynamics, so we can reject the efficient market hypothesis on B share market. The Hurst exponent of real estate market is significant less than the E (H) that means real estate market is not only inefficiency but also show the antipersistent process. Similar to findings for major developed capital markets, I cannot reject the efficient market hypothesis in the Shanghai Stock Exchange, especially excluding the B shares market. The empirical results obtained in this study do not support the technical analysis in the Shanghai Stock Exchange.