| The efficiency of capital market is one of the basic issue in the financial research. Many overseas and domestic scholars have made all kinds of studies on the efficiency of different capital market. This paper gives a weak-form efficient test of Chinese securities market through the serial correlation coefficient test, run test and variance ratio test. The study samples include the Shanghai Composite Index, Shenzhen Composition Index, Shanghai A(B) Share Index, Shenzhen A(B) share index. The sample data include the data before Jun 30th, 2005. The test results show that the Shanghai and Shenzhen' s B Share Index are not weak-form efficient even now and the Shanghai and Shenzhen' s A Share Index were not weak-form efficient before Dec 16th,1996, but they are weak-form efficient now.According to the Efficient Market Hypothesis,the technical analysis can not gain the abnormal returns. This paper gives the Moving Average' s forcasting capability test for the Moving Averages' data from Dec 17th , 1996 to Jun 30th, 2005. The sample is including the Shanghai Composite Index, Shenzhen Composition Index, Shanghai(Shenzhen) A Share Index. The results shows that the daily Moving Average' s forcasting capability is insignificant in the Shanghai Composite Index, Shenzhen Composition Index, but the forcasting capability is significant in the Shanghai (Shenzhen) A Share Index. In the other hand, the weekly Moving Average' s forcasting capability is insignificant in all the sample indices. According to the above results, it also proves that A share market is weak-form efficient but the B share market is not weak-form efficient.In a word, the paper shows that chinese A share market is weak-form efficient but Chinese B share market is still not weak-form efficient. It also tells us that the technical analysis can not make abnormal returns in the A share markets but it can make some abnormal returns in the B share markets. |
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