An Empirical Analysis Of China's Securities Market Efficiency And Institutional Arrangements

Until now, Efficient Market Theory (EMT) of securities market has the biggest influence on the working rules of capital market in Western academia. It is also one of the basic problems which securities market often studies on. "Enron Event" and "World Message Event" of USA have made securities people all over the world concentrate on the efficiency of securities market again. Although Chinese securities market has rapidly developed in recent years, it still has many problems. What degree can Chinese securities market be efficient? On the other hand, currently the management level continuously put forward new policies to accommodate the total supply and the total demand which effect securities market in a short period. But with many fundamental problems of securities market unsolved, these policies' efficiency is doubtful. At the same time, investors disagree with each other on whether technical analysis is useful in our country's securities market in factual work. All these problems will be studied and solved in this paper with the use of EMT and the association with securities market's factual situation.The research has important meaning on the system design, macro-control and the market participators' profit patterns of Chinese securities market.At first, this paper elaborates EMT and Asymmetric Information Theory (AIT) in order to make a theoretical base. Then based on the practical test technique of EMT, it checks up whether Chinese securities market is at weak-form-market phase by analyzing that whether the price is random whether the yield can be forecasted by the characters of company, whether the information lingeringly or overly reacts and whether the technical analysis is efficient. The result expresses that the securities market has not reach weak-form-market, it still has low efficiency. This low efficiency certainly produces asymmetric information, causes to contrary selection and demoralization , results in bad social resources distribution, consequently it will do harm to the health development of securities market. There are two reasons for this low efficiency. One is that our securities market has tremendous limitation in the beginning of its system conformation so that it can not be a very normative market, which may be the root of the low efficiency. The other is that serious limitation still exists in policy control during the development of securities market.To the low efficient securities market, the paper considers that: The government should eliminate the limitation on system design and macro-control. Onsystem design, the paper puts forward that the securities market must pay attention to the function of resources distribution instead of collecting money. It must perfect the stockholders' equity structure and the mechanism of exiting the market and market working. On macro-control, the paper arises that macro-control of securities market must focus on information control instead of the whole command control. It also gives some practical advises on how to strengthen the information-given-out of securities market.This paper's theoretical innovation shows on these aspects hereinafter: (1) it does a general and deeply research and analysis on the "calendar effects" of Chinese securities market, sums up monthly effect season's effect half year's effect a week's effect and such calendar effects with clear characters. It summarizes low-price-stock effect small corporations effect and bad-achievement-stock effect in Chinese securities market. It selects more representative technique analysis index to study, and points out that technique analysis in China has some operational meaning. The studies of above three aspects not only approve the low efficiency of Chinese securities market but also give important practical meaning to market participators to make investment strategy. (2) It imports Asymmetric-information Theory to Chinese securities market research, and indicates that there is serious asymmetric information in Chinese securities market. (3) It analysis the causes o...