The B-share Market Efficiency Based On The Efficient Market Hypothesis

As Fama brought forward the theory of efficient market hypothesis, the capital market efficiency has become a hot topic and one of the most forefront issues. Many scholars has been devoting to it for decades. But in such an emerging stock market for china, the low market efficiency has been always obsessed investors and market supervisors, how to improve our market efficiency becomes a very important issue.This paper takes our B-share market efficiency as the research target, and the Efficient Market Hypothesis as the basis. It researched our B-share market efficiency in three different ways. The paper consists of three parts: the background theories, empirical study, and conclusions and prospects.In the first part, the paper first explains the theoretical and practical meaning of the research, then systematically reviewed the basic theories (CAPM and EMH) and empirical studies.In the second part, the paper researches the daily returns of 40 shares (20 respectively in Shenzhen and Shanghai B-share markets) and those of the indexes of Shenzhen and Shanghai B-share markets in three different ways (self-correlation analysis, linear regression analysis and run test analysis). The main conclusion is as follows:1. The daily returns of china' s B-share markets are random walk, the markets are weak-form efficient markets.2. China' s B-share Markets haven' t reached the semi strong-form efficiency.In the third part, the paper first concludes the study, then gives several pieces of suggestion on how to improve the efficiency of china' s B-share markets.