China's Stock Market Efficiency Study

Stock market plays very important role in the economy development of China, but it's still in a very primary phase, its efficiency is low. Stock market exerts its inherent function by market mechanism, efficiently allocate society capital by market running mechanism and pricing mechanism. Its action process behaves as: market running -market pricing mechanism-resource collocate efficiency. In this thesis, the efficiency of stock market is defined as two aspects: information efficiency and function efficiency. Efficient Market Hypothesis (EMH) has studied the relationship between stock price and information in stock market. The information efficiency includes: Weak-Form Efficiency, Semi-strong-Form Efficiency and Strong-Form Efficiency. Function efficiency reflects the degree of stock market to collocate society capital. Because non-rational bubble, sheep effect and moral hazard, adverse selection, imperfection competition induced by information asymmetry in stock market, the information efficiency in Chinese stock market is low. On the other sides, the conjunction between stock market and economy development isn't very evident, there has structural shortcoming or defect. The existence of such problems indicates the function efficiency in Chinese stock market is low too.In this thesis, the author tried to explain the causes why the efficiency in Chinese stock is low, and pointed out that the system defect is the main cause. In order to advance Chinese stock market efficiency, must take ways to innovate system, try to convert development model of stock market from "government dominated style" to "market oriented style", try to convert market function from mainly serve for resource of enterprises financing to advance efficiency of resource collocation. Many measures should be considered and adopted, such as Many measures should be considered and adopted, such as perfect government behavior, set up united, multi-administrative levels securities business, perfect codes of stock market and perfect supervision system; perfect administration fabric and information display mechanism of company in stock market; foster institution investor; quicken internationalization process, and so on.