A Study Of China's Stock Markets' Efficiency

Having summarized the existing literature about the efficiency of stock market, this paper concluded an interconnecting indexes system, which consists of function efficiency, operation efficiency and pricing efficiency. Through data comparing and numerical model testing, this paper compared China's stock markets' efficiency with other countries' in many aspects and brings forward several usable policy suggestions for the purposes of increasing the markets' efficiency.According to the literature this paper consulted, in or out of China, most of the present related researches had centered of the testes of EMH in stock markets, and the literature that analyzed the efficiency indexes roundly have not been frequently seen. After the 14 years' development, China's stock markets had made great progress, at the same time, the limitations and problems had been discovered. If we only depend on the tests of EMH to evaluate the markets' efficiency, we couldn't grasp the sticking point and couldn't put forward effective policy suggestions.This paper used both of basic analysis and empirical analysis to evaluate the efficiency of China's stock markets. According to the content, the main conclusions are as following:1.China's stock markets had made a great progress after 14 years' development, their functions of financing, resource disposal, liquidity providing and company management bettering had got well exerted. This means the function efficiency had been improved.2.As for the market structure, operating method and regulations conditions, the participants' structure and quality had been increased fast, the transaction cost had been greatly reduced, and issuing and liquating method had become more fair and effective, the relative laws and regulations had been better and better, the operation efficiency had been improved.3.Compared with other stock markets, China's stock markets' indexes had performed a good random walk property, which means that the pricing efficiency had been improved.4.Compared with other advanced markets in the world, by and large, on the basis of China's rapid improvement on economy recently, China's stock markets' efficiency was relatively low. To increase the efficiency, we should execute effective reforming aiming at the limitations and problems.