Non-validity Characteristics Of The Chinese Stock Market Research

Improving the efficiency of the stock market is the key to full play the stock market's role in the national economy. Analysis of China's stock market may reveal the inefficient characteristics in the operation of the market, which can enhance the efficiency of China's stock market and provide the standardization of the stock market. In this paper, we empirically analysis the inefficient characteristics of China's stock market by using the index returns of Shanghai stock exchange composite index(SHCI), Shenzhen stock exchange component index(SZCI), etc. The following is the main content:1. The distributions of returns are not normal. We check that whether the yield distributions of SHCI and SZCI are normal by three ways, and changes of the thick tails by tail index. The conclusions are the returns do not follow the normal distribution. Distributions of the returns vary gradually become normal. The left and right tail indices of the return distributions with daily, weekly and monthly become bigger and bigger which means that tails become thinner. The right tails of every distribution are fatter than the left tails, which shows the expansion of the stock market. All the tails of SHCI returns' distributions are thinner than that of SZCI returns' distributions.2. Autocorrelation of returns. AR models and Q statistic are used for the autocorrelation analysis. The main conclusions are that the autocorrelation exists in the daily, weekly and monthly returns. All lags are somewhat different and no significant changes in the law. The current return of SZCI contains more historic information than that of SHCI, which means Shenzhen stock market is more efficient. The autocorrelation coefficients (AC) of daily, weekly and monthly returns have no trend of weakening zero with the lag number increasing. The changes of coefficients of weekly and monthly returns further confirm the existence of the long run autocorrelation of daily returns.3. ARCH effect of returns. We use the ARCH models to analyze the clustering of volatility of returns. The conclusions are that ARCH effect exist in the daily returns but not in the weekly and monthly returns. The sustainability of impact often exists in the daily returns. The strength of sustainability becomes weaker in a certain degree, but remains generally strong. The sustainability of SHCI is slightly stronger than that of SZCI. The leverage effect exists in the whole sample interval and the second interval of SHCI returns and does not exist in the SZCI returns. The sensitivity of risk premium in the SHCI and SZCI returns is not strong. The high-risk high-yield exists in the second interval of SHCI returns. The amazing thing is that high-risk low-yield or low-risk high-yield exists in the first interval of SZCI returns.4. The day of the week effect. The lowest average return of various indices is on Tuesday and the highest average return is on Friday. The average return on Monday is smaller than that on some other trading days and the corresponding risk is the highest. The existence and modes of the day of the week effect in Shanghai stock exchange composite index returns and Shanghai stock exchange A-share index returns are the same, but which contradicts the result of SZCI. The day of the week effect does not exist in SHCI and SZCI returns, which is inconsistent with the results of three intervals. So we should be an objective view about the existence of the day of the week effect and the efficiency of China's stock market.