An Empirical Study Of The Weak-form Efficiency Of The Chinese Stock Market

This paper mainly deals with the weak-form efficiency of the stock market of China. The Chinese stock market developed 15 years, but whether it achieved weak-form efficiency or not is not familiar. Based on the research results have been made, I have studied the behavior characteristic of the Chinese stock market's price by using the biggest sample and the econometrics method as far as possible in order to prove the stock market's weak-form efficiency.At first, the paper has carried on the analysis to the present situation and the basic statistical characteristic of the Chinese stock market in order to lay the foundation for analysis behind. The conclusion is the distribution of the stock market's date-returns-ratio is not a normal distribution, but a peaked-distribution. Then, using the serial correlation analysis and the Run-test, I analysesed the correlation of the stock market's date-returns-ratio and discovered that there was strong relevance. Thirdly, I have made the research to the Week-day Effect and the holiday effect of the Chinese stock market. The conclusion obtained is the Week-day Effect is true, namely: Monday's average returns-ratio of the Chinese stock market is the smallest in a week, the Wednesday's returns-ratio of Shanghai and the Friday's returns-ratio of Shenzhen is the biggest in a week. When examining the holiday effect, I had discovered the "the Spring Festival effect" espacily in China, but this effect has tendency to dying down. Also, the Shenzhen market has " December effect" obviously. These results also proved the Chinese stock market did not achieve weak-form efficiency. Afterwards, by using R/S I has conducted the research to the market's endurance, and estimated the Hurst Exponent and the length of the nonperiodic cycle. The conclusion demonstrated the markets have bigger Hurst Exponent, so the market displays the tendency of enhancement. Finaly, I generalized the conclusion has obtained and discovered the stock market of china has not achieved the weak-form efficiency. Based on these conclution I have carried on analysis on the possible reasons, and have put forward some related policy proposals.