Inspection, Based On The Efficient Market Hypothesis In Chinese B-share Market Efficiency

Stock market exerts its inherent function by market mechanism, efficiently allocate society capital by market running mechanism and pricing mechanism. Its action process behaves as:market running -market pricing mechanism-resource collocate efficiency. In this thesis, the efficiency of stock market is defined as two aspects: information efficiency and function efficiency. Efficient Market Hypothesis (EMH) has studied the relationship between stock price and information in stock market. The information efficiency includes: Weak-Form Efficiency, Semistrong-Form Efficiency and Strong-Form Efficiency. Function efficiency reflects the degree of stock market to collocate society capital.The thesis is totally divided into three greatly part of research background and basic theories, the substantial evidence research, conclusion and suggestion.This paper takes our B-share market efficiency as the research target, and the Efficient Market Hypothesis as the basis. It researched our B-share market efficiency in three different ways. The paper consists of three parts: the background theories, empirical study, and conclusions and prospects.In the first part, the paper first explains the theoretical and practical meaning of the research, then systematically reviewed the basic theories and empirical studies.In the second part, the paper researches the daily returns of the indexes of Shenzhen and Shanghai B-share markets in three different ways (self-correlation analysis, linear regression analysis and run test analysis).The main conclusion is The daily returns of china' s B-share markets are random walk, the markets are weak-form efficient markets.In the third part, the paper first concludes the study, then gives several pieces of suggestion on how to improve the efficiency of china' s B-share markets.