Statistical Analysis Of EMH In China Stock Market

Efficient Market Hypothesis (EMH) is the foundation of modern financial marketing, it study the theory of stock price react to all information.The article introduces EMH briefly and current studied situation both at home and abroad, reviews the theory and method of EMH testing from angle of the suitable Chinese market, thinks normal distribution isn't the one that the fluctuation of stock price obey, and Random Walk Model (RWM) doesn't meet the research of EMH in stock market of China. Capital Asset Pricing Model (CAPM) is not suitable also because of Jointly Establish Hypothesis. For the sake of research suiting to data, under the prerequisite theory and method, EMH study in domestic and international stock market, be analyzed and absorbed synthetically, this select Hurst index, find out the average circulation cycle of stock market through V statistic, calculate Hurst index, deem the fluctuate of stock price isn't the process of RWM in China, but a stochastic one with offset. The fluctuation of stock price is not separate but possess a memory for long time. It should not exist in an efficient market that investor can win super-profit through using the technological analytic approach to analyze historical message of the stock price. Combined the practical problem on the stock market of China, enumerated several phenomenon not conforming of weak form efficiency, make conclusion with inefficiency in stock market of China."Predictability" is a strong process concept of following efficiency. Testing for "predictability" of stock market of China, this selected representative everyday index, Apr. 20 to Aug. 30 in 2004, from Shanghai and Shenzhen Stock Market, calculate α and f(α) spectral coefficient of Multiple scale fractal, explore relationship between △α and △p, △f with the change of closing index fluctuations of next day. This article deemed the rise or fall of closing price can be probability predicted with the fluctuations of Af between last two days.Finally, Analyzed the reason of inefficiency market from five aspects as market mechanism, market supervision, etc. Proposed raise efficiency of stock market in China from perfecting market mechanism, strengthening market supervision, etc.