A Comparative Analysis On The Efficiency Of ShangHai, HongKong And Australia Stock Market

EMH, stands for Efficiency Market Hypothesis, is the keystone of modern financial market theory. It has important implications on many of today's asset pricing principles, such as Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), the Fama and French three-factor model. This paper states and appraises the evolution and headway of EMH researches.On the basis of progress made by former researchers, the paper has an eye on current EMH mathematical treatment. Using advanced AR-GARCH model, it examines the daily market indexes of Sydney Security Market, Hong Kong Security Market and Shang Hai Security Market from 2005 to 2008, comparatively. The result shows that both Sydney market and Hong Kong market had reached weak-form efficient market, while Shang Hai market data refused the hypothesis. The time lag of information reflected on market was found longest in Shang Hai, and the most lasting influences about market return of exterior impact, the existence of speculating phenomenon, as well.The paper illustrates the results disclosed in mathematical demonstration part. Including the common reasoning previously considered by others, this paper lays out the effect of Non-Tradable Shares going public in China's capital market, the government policies and regulations, and the available variety of market free-trading shares.