Empirical Test Of The Validity Of The Chinese A-share Market Weak

The definition of efficient market hypothesis is that the price of a financial asset in a efficient market reflects all the information available. It includes three forms: weak-form efficiency, semi-strong form efficiency, and strong form efficiency. However, whether there exist efficient market has always been a controversial problem. So the research and testify on this problem has a significant influence in theory and reality. This paper tests the weak form efficiency of China's stock market in terms of the profitability of the technical analysis, choosing Shanghai Composite A Stock Index and Shenzheng Composite Index from the year 1999 to 2006 as the statistic sample. Compare the rate of return from the technical analysis and that from the buy and hold strategy, using the sign test method and T test method to find out whether the two kinds of rate of return differ significantly. The result shows that,although, technical analysis could bring extra return some years, both sign test and T test show that the two rates of return do not differ significantly. While using statistics before 1999, researchers got different result that technical analysis could bring extra return every year. So we could get the conclusion that the weak form efficiency in China's stock market has been strengthened.