Study On The Efficiency Of Domestic Stock Markets

With the theoretical foundation of Efficient Market Hypothesis and Fractal Market Hypothesis first, this article demonstrates the theory background, main ideas and theory prerequisites of the two theories, and then testes the daily and weekly indexes of interest rate in Shenzhen and Shanghai with the consideration of the stock market in China, founding the interest rate of the stock market of China is not in agreement with normal distribution, contradicting the prerequisites of Efficient Market Hypothesis. On this basis, this article testes the effectiveness in Shanghai stock and Shenzhen stock with the relevant methods of distributing statistics.The results show that the Shanghai stock market and the Shenzhen stock market take on the distributing structure, the Hurst indexes of these two markets are 0.62 and 0.63, the long memory periods are about 120 days and 225 days. With all these findings, this article concludes that the effectiveness of the stock market of China is low. It also analyzes the reasons why the effectiveness of the stock market of China is low, putting forward the ways to improve the effectiveness of the stock market, hoping to be able to provide basis for management and strategies for macro administers, to provide reference for the broad masses of investors to make suitable investment policies.