Theory And Empirical Study Of Stock Market Efficiency And Economic Efficiency

This paper uses statistic method,econometric method and mathematical model to research the stock market efficiency in China and the relationship between stock market efficiency and economic efficiency .This paper consists of four parts: general discussion (chapter 1); stock market efficiency analysis in China (chapter 2~4); the relationship between stock market efficiency and economic efficiency (chapter 5); finally, some advised policy is given(chapter 6) . The detailed content is as follow:Chapter 1 summarizes theory and empirical conclusion on stock market efficiency,stock market efficiency and economic efficiency and explains research target,research method and research innovation,finally, the structure in paper is given.Chapter 2 overcomes different conclusion on random walk model in Chinese stock market, we divide random walk model into three levels , so we can give which level that Chinese stock market stand on .Chapter 3 surmounts different conclusion on weak-form efficiency of Chinese stock market, we use random walk model and long term memory model, so we can make conclusions on Chinese stock market from postive and negative perspectives.Chapter 4 overcomes classical event method in testing semi-strong form efficiency of Chinese stock market, and applies variance bound method to test semi-strong form efficiency wholly.In chapter 5, because stock market efficiency and economic efficiency are not equal, we construct a model on the relationship between stock market efficiency and economic efficiency, based on the characteristic of stock market efficiency and economic efficiency, and analysis economic efficiency of Chinese stock market by this model.Lastly, chapter 6 puts forward the advised policy and sums up the full text.