Empirical Research Of Chinese Capital Market Efficiency Based On Statistical Arbitrage

Capital market efficiency adopts the definition of American finance scholar Eugen Fama, that is prices react to available information fully in capital market. Since capital market efficiency was put forward, finance researchers pay great attention to it, debating about it hasn't stop for forty years. For joint hypothesis in the empirical research of capital market efficiency, that is capital market efficiency and capital pricing model must test together, supporters and opponents can't convince each other. How to avoid joint hypothesis is difficult problem of academia for long time. Whether we can not use capital pricing model, then avoid joint hypothesis in the empirical process, arbitrage the kernel of finance theory becomes the breach of the problem.In the first place the paper educes preparation theorem by the tool of martingale: no arbitrage equilibrium is the necessary condition of capital market efficiency. Then introducing the concept of statistical arbitrage that put forward newly, it is the extended form of standard arbitrage. By comparing standard arbitrage and statistical arbitrage, educes that statistical arbitrage is standard arbitrage under the condition that expected return is positive; even though the condition that expected return is negative, statistical arbitrage converges to standard arbitrage faster than exponential function. So the basis of empirical test for capital market efficiency is that the existence of statistical arbitrage opportunities is not compatible with capital market efficiency. Because the definition of statistical arbitrage needn't capital pricing model, the empirical research can avoid joint hypothesis.The paper adopts new method of empirical research on capital market efficiency under the direction of theoretical conclusions above. According to the method, the paper checks up whether the investment strategies of price momentum, price contrarian and value contrarian generate statistical arbitrage opportunity. Finding out seven strategies in value contrarian strategies generate statistical arbitrage. For empirical research of capital market efficiency based on the history information of stock market, avoiding joint hypothesis, the paper concludes that stock market of our country hasn't attain weak-efficiency form.