China 's Stock Market Weak And Effective Re - Inspection

Prices have been fully reflect all available information, which is the basic proposition of the efficient market hypothesis. From an economic sense or reality operating perspective, this theory meaning EMH means no one can continue to obtain excess returns. Chinese stock market has reached the weak-form efficiency has been a hot topic of debate. With high-frequency trading in the market, more and more prevalent and play an increasingly important influence, western developed capital market side is often seen in the media coverage of high-frequency trading strategies to take hedge funds get huge gains, one side is the high-frequency trading generated accidents and the use of high-frequency trading transaction market manipulation gradually revealed. China’s stock market is weak-specific research semi-strong efficient and strong form what stage has important practical value, even for the development of high-frequency trading strategies have a direct significance. This article first empirical study of the relationship between the stock market and volatility characteristics of risk and return via ARCH-M model; select ARCH Model Stock Market Efficiency is measured in order to integrate into the risk rate of return generation, which is the basis for many theoretical asset pricing model. According to the development of risk appetite and market volatility characteristics of the corresponding high-frequency trading strategies; An Empirical Study of the possibility of another high-frequency trading strategies through simulated trading the stock market if there is excess returns; thus study of whether the stock market is weak form efficient.Since the Efficient Market Hypothesis since the introduction of modern financial theory had a very profound impact, it makes use of probability in the analysis of capital markets calculus to justify, on this basis, like Markowitz mean-variance model, CAPM, APT, B-S option pricing models and other theoretical models to flourish. These models are the most important in modern finance model. China’s socialist market economy and improve the financial theory, let the market play a decisive role with government and play better, efficient market hypothesis and deepen research has a very important practical value and theoretical significance in resource allocation.