The Efficiency Of China's Securities Market

In this article, the author focuses on the test of the efficiency of China's stockmarket. The author develops the paper by the test methods of market efficiency, theempirical analysis of market efficiency, the nonnative analysis of China's securitymarket and the proposal of policy.Charpter One mainly introduces the conception of market efficiency, the plottingcriterion of weak-form efficient market, semistrong-form efficient market andstrong-form efficient market and the test methods of them. This charpter emphasisesthe introduction of the test techniques for weak-form efficiency, raise somecomparatively new methods.Charpter Two is about the empirical test for weak-form efficiency andseniistrong-form efficiency of Chain's stock market. Among tlmeni, the test forweak-form efficiency includes unit root test, first-order serial correlation test,second-order serial correlation test, BDS test, RIS analysis and hurst index test. Thetest of semistrong-formu efficiency includes the estimation for market overreact, thedetermination of relation of different moving between market behavior andcorporations' achievement and the analysis for corporations coming into the capitalmarket by purchasing "shell" of other companies. The conclusion is that bothweak-form efficiency amid semistrong-formn efficiency are utmheld.Chapter Tliree,based on conclusion of chapter two, gives a normative analysis oflow efficiency of Chain's stock market, and then generalizes the characters of "policymarket" ,"message market","speculation market","unequi librium market" of China'sstock market amid the defects of market-structure, market-behavior amidoperation-mechanism. They confirm the unlmold of China's stock market efficiencyfrom another side.Chapter Four is the natural extension of the content above. The author gives someshallow suggestions of improving the efficiency of security market in view of the causeof inefficiency of Chain's security market, which include quickening system innovation,strengthening law regulation, reinforceimig policy regulation, enhancing marketregulation and perfect self-discipline mechanism.