China's Securities Market The Martingale Is Assumed That Inspection

Efficient Market Hypothesis (EMH) is the cornerstone of financial theory. Testing the EMH is the basis of other research work. EMH conforms to martingale hypothesis. So it is a special case of martingale hypothesis. Therefore, it is more comprehensive for stock market to test martingale hypothesis. And the majority efficiency studies on China stock market are aimed at random walk and autocorrelation analysis. Because the empirical methods were different from one to another, they got different conclusions. Martingale hypothesis is the basic work of testing the weak form effectiveness of China stock market, that is to say, only if martingale hypothesis is suitable for China stock market, it is reasonable for testing China stock market efficiency. However, few someone studied whether martingale hypothesis is suitable for China stock market. Therefore, this paper has the important meaning to test martingale hypothesis in China stock market.This paper first introduces the basic theory of martingale hypothesis and effectiveness market hypothesis, and it analyzes the relationship of martingale hypothesis and effectiveness market hypothesis. And this paper briefly describes Fama-French three factors model theory and the improved ideological. Then, this paper introduces the theory of the traditional variance ratio test, compares these methods and determines the testing method of martingale hypothesis.On the basis of the above theories, this paper respectively does the empirical research of martingale hypothesis on Shanghai and Shenzhen stock market with the wild bootstrap variance ratio test, and tests the efficiency of China stock market. Then, based on Fama-French three factors model, this paper improves the model and gets the factors of affecting China stock market.Finally, according to the research results, this paper analyzes the existing problems, and puts forward relevant suggestions.