| As the foundation of modern finance and economics, Efficient Market Hypothesis is an examination of the reaction, speed and degree of the stock price relevance to all sorts of information disclosure announcements, which determines the regulation of market motion, the stock value and the character of investment behavior. Piecing out the research of EMH can fasten the development of stock market, benefit the efficiency and control the excessive speculation.After being researched continuously, the theories and empirical studies on EMH become relatively perfect. However, the theories and empirical studies about the Semi-strong Form of stock market are on the beginning stage of China. In order to optimize the test of SF, Event Study should be adopted firstly. Most literatures focus on the Mandatory Disclosure Information of Corporation, ignores the Voluntary Disclosure Information of Corporation.In view of the these issues, based on the achievement of EMH theoretical and empirical studies, the thesis demonstrates the reasonableness of SM effectiveness according to the VDI announcements, analyzes the driving force's discrepancy of VDI level, systematically studies the SM effectiveness. The main conclusions are presented as follows:Firstly, the thesis combines the real conditions of China, and analyzes the driving force's discrepancy of VDI level in qualitative and quantities ways. It is shown core value, loan maximum, financial standing, corporation governance and stock market influence VDI level in China.Secondly, the thesis employs 180 companies listed in SSE Constituent Index in 2003, estimates those samples' VDI Index, and finds that different industries constitution have significant impartations to VDI Index.Thirdly, according to VDI Index, the thesis divides the line of strong group and weak group, statistically analyzes the samples in estimation period and examination period based on ES, which concludes Shang Hai stock market hasn't been placed in the SM effectiveness. |
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