Stock Market Efficiency And Information: Theoretical, Empirical And Policy Recommendations

Since the security market of china was set up, it has made much progresses. Compared with the mature security markets of the developed countries, it stays at the initial stage of development. As a kind of commodity, securities are standardized highly. If supplier and demander of securities are both free to enter or retreat from the market, theoretically, the normative security market approaches competitive mechanism of market, which leads to the efficient distribution of resource (capital).From the angle of information economics, if prices of securities reflect all the information of securities, and prices of securities reflect value of securities, we can take it for granted that the security market is efficient for the pricing mechanism of market. Otherwise, the security market is inefficient. Inevitably, we have to face an important issue: Is the security market of China efficient? And how? The answer is very important for us to develop and consummate the security market of China. On one hand, only basing on it, government can institute strategy of market; on the other hand, it has a great pushing effect on the participants to establish their tactics and means of gains. Now there are lots of researches on the issue. But most of them focus more on the positive analysis with a simple statistical approach than on systematic discussion. That is why this theme is chosen for the dissertation.In style of writing, this dissertation adopts the logical deduction approach, drawing on the principle of modern economics, and following the positive analysis. In theoretical analysis, adopting the principle of information economics, it elaborates the fundamental frame of the security market efficiency, and endeavors to elucidate the viewpoint that the security market efficiency is based on perfect information. In positive analysis, this dissertation adopts the Marxism historical analysis approach, and deduces that the security market of China doesn't reach perfect weak-form efficiency from the angle of international comparison, avoiding the inclination that the past researches focused on more citing conclusions than reviewed them, applying the methods of exemplication and demonstration. On the basis of them, this dissertation probes into the reasons that the security market of China doesn't reach perfect efficiency from ultimate institution, and makes some corresponding suggestions. Following the systematic deduction, this dissertation consists of four chapters in structure. The first chapter is the base of the whole dissertation, which establishes the fundamental frame of the security market efficiency. The second chapter endeavors to discuss the crucial relation between information and security market efficiency, which is the theoritical pivot of the whole dissertation. As the trunk of the whole dissertation, the third and forth ones positively analyze the security market efficiency, and make some suggestions how to improve the security market efficiency of China respectively.The main contents and viewpoints are as follows:Chapter One gives us a perfect conception of the security market efficiency, which is divided into external efficiency and internal efficiency. Simultaneously, three premises are crucial: competitive profit-maxmizied participants, new information at random and competitive investors endeavoring to rapidly modulate price to reflect new information. On the basis of a fair game model, Fama divided security market efficiency into weak-form efficiency, semi-strong-form efficiency and strong-form efficiency, which reflect historical information, public information and the insider's information respectively. According to the different market efficiency, investors can design corresponding tactics of investment.Chapter Two emphasizes the relations between information and security market efficiency. It studies the mutual impact of information and functioning mechanism of market, and figures that it is issuing mechanism of securities that makes issuers and investors choose one another, which leads t...