Study On The Efficiency Of China's Exchange Bond Market

A fully-fledged bond market is not only the footstone of a country's financial market, but also an important medium for communicating the central bank's monetary policy. It plays a critical role in the long-term development of the capital market. The question that what kind of hypothesis is feasible for the market has close relation to problems such as the formulation of policies by the management echelon and the adoption of investment strategies by the mass of investors.Efficient Matket Hypothesis assumes capital values fully reflect all the public information, investors can make quick and non-bias estimation on attainable in-formation.Because the random walk of the market price must be in the efficient market, so we usually take random walk model in the efficient market.With the development of theory and practice, Efficient Market Hypothesis takes great challenge in every way. In this background, some researchers put forward Fractal Market Hypothesis. This theory assumes: The aim of market being is to provide a stable and liquid market for exchange, the same information has great different impaction on the behavior of different period investors and we couldn't insure the full liquid of market lacking short-time investors etc.This thesis verified two market hypothesis, namely Efficient Market Hypothesis (EMH) and Fractal Market Hypothesis (FMH), and demonstrates the validity characteristic of China's exchange bond market through the test of the national bond market' and the corporation bond market' normality and the volalidity term structure of the return on the investment , the calculation of the Hurst index and characteristic index of the incremental rate of return on investment in different...