Stock Supply And China's Stock Market Efficiency

Efficient Market Hypothesis (EMH) is the core proposition of economics in the last 30 years, and its extraction asset pricing, options pricing and other major economic theory. Efficient Market means that the price of the securities in the securities market is a reflection of the relevant information. And the corresponding different information sets, the market will be divided into three categories: the weak-effective market, semi-strong efficient market and strong market effective. However, a price, is necessarily a reflection of the supply-demand relationship. In the stock market, as the demand side of funds by financial institutions as well as public expectations on the stock market and interest rates and tax implications. The number of listed shares in the stock market is the supply, it is mainly by the initial public offering, repurchase stock from the stock market, such as the impact of additional. When demand is much greater than the supply, stock prices are soaring, stock prices have been unable to reflect their true value. News has also been unable to have an impact on the stock, price volatility is not the random walk model.As China's securities market has just established more than 10 years, It is planned economy at the beginning of the stock, in particular the arrangements for the initial public offering, IPO system determines which company can be listed, and it has also decided the quality and characteristics of the market. This paper summarized the China's IPO system , we find that China's IPO system is gradually developing to the direction of the market.After more than 10 years of development, especially in the reform in stock market, the successful implementation of China's stock market form explosive development, the success of a number of large state-owned enterprises listed. Large state-owned enterprises listed on the one hand to improve the composition of the listed companies, so that such acts before the manipulation of stock prices received will be limited at the same time improve the ownership structure of listed companies to improve the corporate governance structure. In this paper based on the success in share reform, the paper made the ICBC listed as selected events, application events classic method, select the text in all 30 industry leading shares as a sample observation points, through the listing of the Industrial and Commercial Bank, October 27, 2006 5 days and 20 days after the expected yield and yield is the difference between the zero significantly to China's stock market empirical test. In the semi-strong efficient market information company stock after the announcement samples basic zero cumulative abnormal returns that investors can not through public information and analysis through access to extraordinary receipts, because samples company's stock price has been made of the information in advance of reaction. The excess receipts concluded notable not zero, finally come to the conclusion that China's stock market does not have a semi-effectiveness. It is generally because of large, high-quality state-owned enterprises listed on China's stock markets after the improvement of a positive view, people can be made redundant receipts.In the semi-effectiveness studies in the stock market, there is no literatures on the large-scale enterprises listed on the stock market by a semi-effectiveness study , this is the innovation of this paper.