Research On The Effectiveness Of Stock Market In Mainland China

The efficiency of the stock market not only affects the value of listed companies and capital costs, but also affects the development of real economy. Efficient market theory suggests that the market is divided into weak-form efficient market, semi-strong efficient market, strong form efficient market. To study the effectiveness of Chinese mainland stock market, the efficiency of stock price reaction on the information, To the regulatory level, the study can eliminate insider information and other inequities. To investors, we can use reasonable technical means to make investment decisions to earn more money.Significance of this study lies in the effectiveness of market is changing over time, macroeconomic policy is changing, previous studies on the effectiveness of the market may not have been suitable for the current market conditions.Firstly, the stock data and index returns data is processing, whether the unit root method Inspection and Quarantine index returns and stock return series are smooth. Secondly,we use a random walk model and runs testto test Chinese mainland stock market,to see whether the mainland market has reached the weak effective form. Finally, the next step is to apply the event study with the test of the market,to see whether the market has reached the semi-strong form, we select the "crash event" which has the sudden and unpredictable nature, for everyone, it is fair to get the message which can avoid interference inside information on study results. In the event empirical research,we choose the market model to estimate the normal rate of return, and then use the T test method tosee the cumulative the abnormal returns is obvious or not.The empirical results show that China’s mainland stock market to a certain extent, achieved weak-level, but has not yet reached the semi-strong efficiency, and then make recommendations for the investors.