A Research On Weak Form Efficiency Of China's Stock Market Based On Moving Average Rules

Whether China's stock market is weak form efficient has always been a controversial problem. This paper examined the weak form efficiency of China's stock market in terms of the profitability of Variable-Length Moving Rules. The statistical test based on the Shanghai Composite Index suggested that Variable-Length Moving Rules should be able to gain stable excess profit, which demonstrates that China's stock market is not weakly efficient. However, the statistical test based on Hang Seng Index suggested that above rules should not always be able to gain stable excess profit. Thus, it can be concluded that Hong Kong stock market is more efficient than China's stock market within the sample period.