The Weak Form Efficiency Of Convertible Bond Market In China

Since long time ago, Chinese securities market thinkd much of equity capital and little of bond. It leads to the antinomy that the stock market and bond market develop with different steps. These years, along with change of economics environment and financing demand, Chinese convertible bond market has marked development. But there are also many problems about it, such as the restrict of laws and criterion, the limit of issuers, lack of organization investors bad fluidity of trading market and so on. These problems largely restrict the investing worth and financing function of convertible bond in securities market, affect running efficiency and health development of convertible market. So, the efficiency of Chinese convertible market becomes the pop issue in and out academia.The paper will from demonstration aspect, test the efficient degree of Chinese convertible market. Through analyzing the factors which affect the convertible bond market efficiency, it aims to find out a feasible way to improve its efficiency, so as to offer some reference for investors making decision and government establishing managing mechanism. Firstly, the paper introduces the background, meanings and the researching status about efficiency market hypothesis(EMH) domestic and overseas. Then, considering the theory sustain demand of demonstration analysis, it introduces the content, significance and limitation about EMH, mainly recommend the challenge from fractal market hypothesis(FMH). Following, from two different aspects presents traditional test means based on EMH and R/S method based on FMH. Both the emphases and the main work of the paper, is testing the efficiency of Chinese convertible bond market in two methods from EMH and FMH. The testing results both indicate that Chinese convertible market has not achieved weak form efficient market. Especially, the Hurst value in Rescaled range analysis is 1, indicating the correlation of income serial is very strong,.At last, the paper analyzes the factors that affect the efficiency of convertible market based on the quantitative analysis results and the fact of market. Then brings forward some advices from analyzing the reasons.