China's Stock Market Efficiency Of Evolution Of Empirical Research

The efficiency of the stock market determines stock market development in a market economy and can, how to play a role, only to play an efficient stock market can only be properly optimized allocation of resources, adjusting the industrial structure and promote the economic health of the role of sustainable development. Effectiveness of capital market theory is theory of capital markets and investment, on the basis of theoretical branch. Effectiveness of capital markets, the decision of government regulatory policies should be adopted, investors should take the investment strategy and corporate financial strategy should be adopted. China introduced the theory of financial asset pricing research is in the 20th century after 90 years, despite a late start, but with the development of China's stock market to the capital asset pricing model and arbitrage pricing model for the pricing of financial assets on behalf of the theory has more and more widely applied to China's investment practice. Most of them are in the CAPM model assumes that China's stock market Fugue, under the circumstances the use of model asset valuation, portfolio performance measurement, investment risk analysis, did not systematically these asset pricing model in the effectiveness of China's stock market inspection, and this issue relates to the fact that these models can be applied to our current stock market. Therefore, the Chinese stock market, a new capital market, the efficiency of the stock market is particularly important.Based on the Shanghai and Shenzhen stock market from 1991 to 2008, the 18 years the stock market's daily return data to study the dynamic changes of the Chinese stock market efficiency, allowing better analysis of the impact of changes in the Chinese stock market factors, combined with different impact factors economic measurement and qualitative analysis of the sound development of the entire stock market to provide policy recommendations.First, the efficiency of the stock market and the efficient market theory, the research status analysis; according to the general characteristics of the Chinese stock market, select the corresponding empirical research model and research methods. Characterization of different year in accordance with the effective edge of the Chinese stock market to calculate the market position of the most market portfolio; take advantage of the market value of the proportion of the overall stock market, stock market, the actual annual calculation of different portfolio positions. Made by examining the stock market portfolio and the most actual market risk of the portfolio yield spreads between the units to show the efficiency of the stock market change; the risk of income based on unit changes in the margin, through econometric regression method to find explanatory variables; further integration national policy changes and stock market events, qualitative analysis of the stock market factor. Comprehensive quantitative analysis and qualitative analysis of the results, the stock market's healthy development policy recommendations.Based on this portfolio for the Chinese stock market efficiency test and analysis of the development process to illustrate the efficiency of the state of Chinese stock market trends and national policies are closely related, be confirmed. From the analysis of the outcome, as China's stock market continue to explore, reform, regulate and improve the international market has started the process, the efficiency level of the stock market has experienced fluctuations, fell, and the adjustment process. Based on this research and analysis, we can draw the following conclusions:(1) the efficiency of stock market volatility is a dynamic process, only through the efficiency level of a particular period of testing to judge the efficiency of the overall market condition is not scientific. (2) The adoption of the proposed optimal market portfolio and the actual portfolio risk-return unit long-term difference to the efficiency of the stock market trend analysis and testing, and then analyzed according to the evolution of stock market efficiency influencing factors. (3) changes in the stock market efficiency is the result of many factors, but one factor to take into account the impact of changes to market efficiency and not enough on the stock market development is expected to be assessed. Based on this analysis, the efficiency of the stock market to adjust interest rates and stamp duty will have an effect on the market, standardize government behavior will help to promote the healthy and stable China's stock market move forward.